Publication details

Stock Market Bubbles Investigation in the Czech Republic



Year of publication 2012
Type Article in Proceedings
Conference European Financial Systems 2012
MU Faculty or unit

Faculty of Economics and Administration

Field Economy
Keywords Stock bubble; regime switching test; Hurst persistence test
Attached files
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 ARCH effects. 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.

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