STOCK MARKET BUBBLES INVESTIGATION IN THE CZECH REPUBLIC
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F47813059%3A19520%2F12%3A%230001725" target="_blank" >RIV/47813059:19520/12:#0001725 - isvavai.cz</a>
Alternative codes found
RIV/00216224:14560/12:00061871
Result on the web
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DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
STOCK MARKET BUBBLES INVESTIGATION IN THE CZECH REPUBLIC
Original language description
In this paper, we employ a special methodological technique to examine the presence/absence of the phenomenon of stock market bubbles in the Czech Republic. The methodology is based on the examining of residuals of VAR fundamentals with exclusion of ARCHeffects. The presence/absence of bubbles is studied by Hurst persistence tests and regime switching tests. Although we observed the bubbles presence over various time periods, almost no evidence of speculative bubbles was found in the Czech stock market.
Czech name
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
AH - Economics
OECD FORD branch
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Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2012
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Article name in the collection
EUROPEAN FINANCIAL SYSTEMS 2012
ISBN
978-80-210-5940-5
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
35-40
Publisher name
Masarykova univerzita Brno
Place of publication
Brno
Event location
Brno
Event date
Jan 1, 2012
Type of event by nationality
EUR - Evropská akce
UT code for WoS article
000316422800006