Evidence of nonlinear speculative bubbles in pacific-rim stock markets

Episodic Non-Linearities and Market Efficiency in the Mexican Stock Market

“…Since then, evidence for episodes of non-linear behavior in financial asset markets has continued to grow. Studies have reported non-linearity in the American market, as demonstrated by Hinich and Patterson (1985), Scheinkman and LeBaron (1989), Hsieh (1991), Brock et al (1992), Hsieh (1995), Kohers et al (1997), Patterson and Ashley (2000) and Skaradzinski (2003); in European markets, as shown in Panunzi and Ricci (1993), Brooks (1996), Abhyankar et al (1997), Afonso and Teixeira (1998), Brooks and Hinich (1998), Opong et al (1999), Brooks and Hinich (2001), Kosfeld andRobé (2001), Fernandez-Serrano andSosvilla-Rivero (2003) and Panagiotidis (2005); in Asian markets, as discovered by Antoniou et al (1997), Ahmed et al (1999), Ammermann (1999), Ammermann and Patterson (2003), and ; and finally, in Latin American markets, as revealed by the findings of Bonilla et al (2006) and Romero-Meza et al (2007).…”

“…(1999), Brooks and Hinich (2001), Kosfeld and Robé (2001), Fernandez‐Serrano and Sosvilla‐Rivero (2003) and Panagiotidis (2005); in Asian markets, as discovered by Antoniou et al. (1997), Ahmed et al. (1999), Ammermann (1999), Ammermann and Patterson (2003), Lim and Hinich (2005) and Lim et al.…”

Rational Speculative Bubbles in the Frontier Emerging Stock Markets

“…McQueen and Thorley (1994) rejected the no-bubble hypothesis based on duration dependence tests and found significant evidence of a negative hazard function in runs of positive abnormal returns for the equally-weighted portfolios of NYSE stocks. Ahmed, Rosser and Uppal (1999) found the evidence of nonlinear speculative bubbles in Pacific-Rim stock markets. They rejected the absence of trends which can be interpreted as speculative and they also rejected the absence of nonlinearities beyond ARCH effects in the residual series for all countries.…”

Testing Bubbles: Exuberance and collapse in the Shanghai A-share stock market

“…Taylor and David (1998) proposed a bubble test based on non-cointegration test. Ahmed et al (1999) use a vector autoregression model to examine nonlinearities in stock market movement in 10 Pacific Rim countries and districts, although they do not offer certainty that the estimated fundamentals are correct. After learning from the existing test failure, Wu (1997) proposes that if a bubble can be treated as an unobserved state vector in the state-space model, the Kalman filter technique should easily detect market bubbles.…”