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

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

Ibrahim Onour (Contact Author)

University of Khartoum ( email )

Shumbat
Khartoum North
Khartoum, Khartoum 13314
Sudan

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