Journal of
Marketing Development and Competitiveness
Scholar Gateway
Abstracts prior to volume 5(1) have been archived!Issue 5(1), October 2010 -- Paper AbstractsGirard (p. 9-22)Cooper (p. 23-32)Kunz-Osborne (p. 33-41)Coulmas-Law (p.42-46)Stasio (p. 47-56)Albert-Valette-Florence (p.57-63)Zhang-Rauch (p. 64-70)Alam-Yasin (p. 71-78)Mattare-Monahan-Shah (p. 79-94)Nonis-Hudson-Hunt (p. 95-106) 
JOURNAL OF APPLIED BUSINESS AND ECONOMICS
Financialization and Speculative Bubbles – International Evidence
Author(s): Ehsan Ahmed, J. Barkley Rosser, Jamshed Y. Uppal
Citation: Ehsan Ahmed, J. Barkley Rosser, Jamshed Y. Uppal, (2017) "Financialization and Speculative Bubbles – International Evidence," Journal of Applied Business and Economics, Vol. 19, Iss.4, pp. 10-29
Article Type: Research paper
Publisher: North American Business Press
Abstract:
This paper tests the possible presence of nonlinear speculative bubbles in 23 international markets using daily data from January 1993-March 2015, and its possible link to the financialization phenomenon. To estimate fundamental values, we estimate VAR. Residuals from these VAR are tested for significant movements away from the fundamentals using Hamilton regime switching and Hurst rescaled range tests. We also test the data for nonlinearities using BDS statistics. Our results indicate the presence of speculative bubbles in all 23 of these markets with increasing incidence over time, which suggest a linkage with the phenomenon of financialization in these economies.
