Research Repository

Rational Speculative Bubbles in the Thai Stock Market: Econometric Tests and Implications

Watanapalachaikul, Sethapong and Islam, Sardar M. N (2007) Rational Speculative Bubbles in the Thai Stock Market: Econometric Tests and Implications. Review of Pacific Basin Financial Markets and Policies, 10 (1). pp. 1-13. ISSN 0219-0915

Full text for this resource is not available from the Research Repository.

Abstract

Understanding of factors like economic fundamentals or bubbles that normally determine the returns of stock in any emerging market such as the Thai stock market is essential for academic, investment planning and public policy reasons. An empirical study of the existence of rational speculative bubbles in the Thai stock market is undertaken by using the Weibull Hazard model. The conventional Weibull Hazard model is used as a benchmark model for other speculative bubble models. Empirical results suggest the presence of rational speculative bubbles in the Thai stock market, especially during the pre-crisis period. While rational speculative bubbles were not present immediately after the post-crisis period, some were observed a few years after the crisis. A possible explanation for such a result concerning rational speculative behaviour and bubbles in the emerging stock markets could be attributed to the presence of market imperfections in emerging stock markets, requiring institutional and policy developments to ensure efficient operation of the stock market.

Item Type: Article
Uncontrolled Keywords: ResPubID13795, financial markets, bubbles, Thai stock market, Weibull Hazard model, market imperfections
Subjects: FOR Classification > 1403 Econometrics
SEO Classification > 9199 Other Economic Framework
Faculty/School/Research Centre/Department > Centre for Strategic Economic Studies (CSES)
FOR Classification > 1401 Economic Theory
Related URLs:
Depositing User: VUIR
Date Deposited: 11 May 2012 01:36
Last Modified: 04 Mar 2015 06:32
URI: http://vuir.vu.edu.au/id/eprint/3436
ePrint Statistics: View download statistics for this item
Citations in Scopus: 2 - View on Scopus

Repository staff only

View Item View Item

Search Google Scholar