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Statements

Subject Item
n2:RIV%2F00216224%3A14560%2F12%3A00060883%21RIV13-MSM-14560___
rdf:type
skos:Concept n10:Vysledek
rdfs:seeAlso
http://mme2012.opf.slu.cz/proceedings/pdf/019_Deev.pdf
dcterms:description
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. 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.
dcterms:title
Stock market speculative bubbles: the case of Visegrad countries Stock market speculative bubbles: the case of Visegrad countries
skos:prefLabel
Stock market speculative bubbles: the case of Visegrad countries Stock market speculative bubbles: the case of Visegrad countries
skos:notation
RIV/00216224:14560/12:00060883!RIV13-MSM-14560___
n10:predkladatel
n11:orjk%3A14560
n3:aktivita
n8:P n8:V
n3:aktivity
P(GAP403/11/2073), V
n3:dodaniDat
n4:2013
n3:domaciTvurceVysledku
n6:3176681 n6:2854996
n3:druhVysledku
n22:D
n3:duvernostUdaju
n13:S
n3:entitaPredkladatele
n21:predkladatel
n3:idSjednocenehoVysledku
171474
n3:idVysledku
RIV/00216224:14560/12:00060883
n3:jazykVysledku
n19:eng
n3:klicovaSlova
stock bubble; regime switching test; Hurst persistence test
n3:klicoveSlovo
n7:stock%20bubble n7:regime%20switching%20test n7:Hurst%20persistence%20test
n3:kontrolniKodProRIV
[1DAA32CC4890]
n3:mistoKonaniAkce
Karviná
n3:mistoVydani
Karviná
n3:nazevZdroje
Proceedings of the 30th International Conference Mathematical Methods in Economics
n3:obor
n14:AH
n3:pocetDomacichTvurcuVysledku
2
n3:pocetTvurcuVysledku
3
n3:projekt
n20:GAP403%2F11%2F2073
n3:rokUplatneniVysledku
n4:2012
n3:tvurceVysledku
Kajurová, Veronika Stavárek, Daniel Deev, Oleg
n3:typAkce
n5:WRD
n3:wos
000316715900019
n3:zahajeniAkce
2012-01-01+01:00
s:numberOfPages
5
n23:hasPublisher
Silesian University, School of Business Administration
n15:isbn
9788072487790
n9:organizacniJednotka
14560