Publication details

Stock market speculative bubbles: the case of Visegrad countries



Year of publication 2012
Type Article in Proceedings
Conference Proceedings of the 30th International Conference Mathematical Methods in Economics
MU Faculty or unit

Faculty of Economics and Administration

Field Economy
Keywords stock bubble; regime switching test; Hurst persistence test
Description Conventional theory of speculative bubbles describes stock bubbles as stock prices that exceed their fundamental value because current owners believe that the stocks can be resold at an even higher price in the future. We employ a special methodological technique examine the presence of the phenomenon of stock market bubbles in the Visegrad group countries (Czech Republic, Hungary, Poland, and Slovakia) and selected developed European stock markets. The methodology is based on the examining of residuals of VAR fundamentals with exclusion of ARCH effects. The presence of bubbles is studied by regime switching tests and Hurst persistence tests. Although we examine the bubbles presence over various time periods we found almost no evidence of speculative bubbles across the markets.

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