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dc.contributor.authorGan, C.en
dc.contributor.authorNartea, Gilberten
dc.contributor.authorDou, Ling Lingen
dc.contributor.authorHu, Baidingen
dc.date.accessioned2017-04-27T02:34:21Z
dc.date.issued2012en
dc.identifier.citationGan, C., Nartea, G.V., Dou, L.L., & Hu, B. (2012). Duration dependence test of rational speculative bubbles: a case study of the Hong Kong stock market. Investment Management and Financial Innovations, 9(2), 37-48.en
dc.identifier.issn1810-4967en
dc.identifier.urihttps://hdl.handle.net/10182/8038
dc.description.abstractThis study tests the presence of rational speculative bubbles in the Hong Kong stock market over a sample period from 1993-2008 using the duration dependence test. The duration dependence test shows no evidence of duration dependence, suggesting that the Hong Kong stock market did not exhibit rational speculative bubbles before (1993-1997) and after (1998-2008) the 1997 Asian financial crisis. The results also suggest that the tests are not sensitive to the choice of different models, monthly versus weekly runs of returns and equally- versus value-weighted portfolio in the Hong Kong stock market. The results imply that the stock prices could be a reflection of the market fundamentals.en
dc.format.extent37-48en
dc.language.isoenen
dc.publisherBusiness Perspectivesen
dc.relationThe original publication is available from - Business Perspectives - http://businessperspectives.org/journals/investment-management-and-financial-innovations/issue-89/duration-dependence-test-of-rational-speculative-bubbles-a-case-study-of-hong-kong-stock-marketen
dc.rights© Christopher Gan, Gilbert V. Nartea, Dou Ling Ling, Baiding Hu, 2012.en
dc.rightsAttribution-NonCommercial 4.0 International*
dc.subjectduration dependence testen
dc.subjectspeculative bubblesen
dc.subjectstock marketsen
dc.subjectHong Kong stock marketen
dc.titleDuration dependence test of rational speculative bubbles: a case study of the Hong Kong stock marketen
dc.typeJournal Article
lu.contributor.unitLincoln Universityen
lu.contributor.unitFaculty of Agribusiness and Commerceen
lu.contributor.unitDepartment of Financial and Business Systemsen
lu.contributor.unitDepartment of Global Value Chains and Tradeen
dc.subject.anzsrc140210 International Economics and International Financeen
dc.subject.anzsrc150308 International Businessen
dc.subject.anzsrc1502 Banking, Finance and Investmenten
dc.relation.isPartOfInvestment Management and Financial Innovationsen
pubs.issue2en
pubs.organisational-group/LU
pubs.organisational-group/LU/Faculty of Agribusiness and Commerce
pubs.organisational-group/LU/Faculty of Agribusiness and Commerce/FABS
pubs.organisational-group/LU/Faculty of Agribusiness and Commerce/GVCT
pubs.organisational-group/LU/Research Management Office
pubs.organisational-group/LU/Research Management Office/PE20
pubs.organisational-group/LU/Research Management Office/QE18
pubs.publication-statusPublisheden
pubs.publisher-urlhttp://businessperspectives.org/journals/investment-management-and-financial-innovations/issue-89/duration-dependence-test-of-rational-speculative-bubbles-a-case-study-of-hong-kong-stock-marketen
pubs.volume9en
dc.publisher.placeUkraineen
dc.identifier.eissn1812-9358en
lu.identifier.orcid0000-0002-5618-1651
lu.identifier.orcid0000-0002-0991-1375


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