Open AccessDo Periodically Collapsing Bubbles In Latin American And Asian Emerging Markets Really Exist?
Author(s) -
Eric Girard,
Amit K. Sinha,
Megan Y. Sun
Publication year - 2011
Publication title -
the international business and economic research journal/the international business and economics research journal
Language(s) - English
Resource type - Journals
eISSN - 2157-9393
pISSN - 1535-0754
DOI - 10.19030/iber.v7i7.3274
Subject(s) - emerging markets , market liquidity , asset (computer security) , latin americans , capital market , economics , monetary economics , financial economics , macroeconomics , finance , political science , computer security , computer science , law
As asset pricing, especially in emerging markets has been of continued interest in finance, this paper contributes by investigating the presence of periodically collapsing bubbles in seven Asian and seven Latin American emerging markets. Although a number of studies, using different approaches have studied presence of bubbles in emerging markets, none have applied the Hall, et als (1999) Markov regime switching unit root test procedure to such markets. The major finding of the investigation is that asset prices may not result in periodically collapsing bubbles in most emerging markets. Thus, our findings provide support against the current arguments that emerging capital markets have benefited from increased liquidity rather than improved fundamentals.