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Detecting and Date-Stamping Rational Bubbles in Asset Price: An Empirical Investigation in the Tunisian Stock Market

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  • Siwar Mehri Helali

Abstract

This study tests the existence of periodically collapsing speculative bubbles in the Tunisian stock market. We use the Phillips, Wu, and Yu (2011) and Phillips, Shi, and Yu (2015) approaches, based on right-tailed unit root tests, in order to explore the existence and to date-stamp the origination and termination of bubbles. An empirical application was conducted in the Tunisian stock market, using monthly data on stock price-dividend ratio, for the period running from January 2004 to December 2014. The empirical findings provide evidence for the existence of exuberance in the Tunisian stock market over the period and date-stamp its origination and collapse.

Suggested Citation

  • Siwar Mehri Helali, 2019. "Detecting and Date-Stamping Rational Bubbles in Asset Price: An Empirical Investigation in the Tunisian Stock Market," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(8), pages 1-91, August.
    • Handle: RePEc:ibn:ijefaa:v:11:y:2019:i:8:p:91
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    References listed on IDEAS

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    1. van Norden Simon & Vigfusson Robert, 1998. "Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 3(1), pages 1-24, April.
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    3. McQueen, Grant & Thorley, Steven, 1994. "Bubbles, Stock Returns, and Duration Dependence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(3), pages 379-401, September.
    4. Kenneth D. West, 1987. "A Specification Test for Speculative Bubbles," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 102(3), pages 553-580.
    5. LeRoy, Stephen F & Porter, Richard D, 1981. "The Present-Value Relation: Tests Based on Implied Variance Bounds," Econometrica, Econometric Society, vol. 49(3), pages 555-574, May.
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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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