Rational Bubbles and Volatility Persistence in India Stock Market
17 Pages Posted: 14 Nov 2012
Date Written: November 13, 2012
Abstract
This paper employs a combination of unit root tests and fractional integration technique to test for rational bubbles in Bombay Stock Exchange (BSE). The results in the paper strongly support evidence of rational bubbles in BSE. Evidence of rational bubbles in BSE reflect consistent divergence of stock prices from stocks fundamental values. Moreover, the paper also investigates the degree of persistence in conditional volatility to indicate that shocks to stock price volatility can persists only for short periods.
Suggested Citation: Suggested Citation
Onour, Ibrahim, Rational Bubbles and Volatility Persistence in India Stock Market (November 13, 2012). Available at SSRN: https://ssrn.com/abstract=2174840 or http://dx.doi.org/10.2139/ssrn.2174840
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