Rational Speculative Bubbles in Central European Emerging Stock Markets

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F14%3A00075843" target="_blank" >RIV/00216224:14560/14:00075843 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/47813059:19520/14:#0002931

Výsledek na webu

<a href="http://www.tandfonline.com/doi/abs/10.2753/EEE0012-8775520403#.VRXIw0aJJAY" target="_blank" >http://www.tandfonline.com/doi/abs/10.2753/EEE0012-8775520403#.VRXIw0aJJAY</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.2753/EEE0012-8775520403" target="_blank" >10.2753/EEE0012-8775520403</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Rational Speculative Bubbles in Central European Emerging Stock Markets

Popis výsledku v původním jazyce

This study examines the existence of rational speculative bubbles in three Central European stock markets. The possibility of stock bubbles arises from historical stock market inefficiency as well as the most recent stock market boom and crash resultingfrom the US sub-prime mortgage crisis. In this study, we employ the duration dependence test for bubble detection, which provides reliable results for the specific properties of the studied markets. In addition to the stock market indices, the prices ofindividual blue chip stocks are investigated in order to identify the source of the bubble. We determined that there was an asset bubble in the Polish stock market in the period from 2004-2007 and narrow it down to chemical and energy company stocks. Speculative bubbles are also found in Hungarian renewable energy technology company stocks.

Název v anglickém jazyce

Rational Speculative Bubbles in Central European Emerging Stock Markets

Popis výsledku anglicky

This study examines the existence of rational speculative bubbles in three Central European stock markets. The possibility of stock bubbles arises from historical stock market inefficiency as well as the most recent stock market boom and crash resultingfrom the US sub-prime mortgage crisis. In this study, we employ the duration dependence test for bubble detection, which provides reliable results for the specific properties of the studied markets. In addition to the stock market indices, the prices ofindividual blue chip stocks are investigated in order to identify the source of the bubble. We determined that there was an asset bubble in the Polish stock market in the period from 2004-2007 and narrow it down to chemical and energy company stocks. Speculative bubbles are also found in Hungarian renewable energy technology company stocks.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

AE - Řízení, správa a administrativa

OECD FORD obor

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Projekt

<a href="/cs/project/GAP403%2F11%2F2073" target="_blank" >GAP403/11/2073: Procykličnost finančních trhů, bubliny v cenách aktiv a makroprudenční regulace</a><br>

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2014

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Eastern European Economics

ISSN

0012-8775

e-ISSN

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Svazek periodika

52

Číslo periodika v rámci svazku

4

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

45

Strana od-do

47-91

Kód UT WoS článku

000348662500004

EID výsledku v databázi Scopus

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