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@inproceedings{991895,
author = {Deev, Oleg and Kajurová, Veronika and Stavárek, Daniel},
address = {Karviná},
booktitle = {Proceedings of the 30th International Conference Mathematical Methods in Economics},
editor = {Ramík, J. and Stavárek, D.},
keywords = {stock bubble; regime switching test; Hurst persistence test},
howpublished = {tištěná verze "print"},
language = {eng},
location = {Karviná},
isbn = {978-80-7248-779-0},
pages = {107-111},
publisher = {Silesian University, School of Business Administration},
title = {Stock market speculative bubbles: the case of Visegrad countries},
url = {http://mme2012.opf.slu.cz/proceedings/pdf/019_Deev.pdf},
year = {2012}
}
TY - JOUR
ID - 991895
AU - Deev, Oleg - Kajurová, Veronika - Stavárek, Daniel
PY - 2012
TI - Stock market speculative bubbles: the case of Visegrad countries
PB - Silesian University, School of Business Administration
CY - Karviná
SN - 9788072487790
KW - stock bubble
KW - regime switching test
KW - Hurst persistence test
UR - http://mme2012.opf.slu.cz/proceedings/pdf/019_Deev.pdf
L2 - http://mme2012.opf.slu.cz/proceedings/pdf/019_Deev.pdf
N2 - 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.
ER -
DEEV, Oleg, Veronika KAJUROVÁ a Daniel STAVÁREK. Stock market speculative bubbles: the case of Visegrad countries. In Ramík, J. and Stavárek, D. \textit{Proceedings of the 30th International Conference Mathematical Methods in Economics}. Karviná: Silesian University, School of Business Administration, 2012, s.~107-111. ISBN~978-80-7248-779-0.
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