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Equity Price Bubbles in the Middle Eastern and North African Financial Markets

By Mohammad Jahan-Parvar and George Waters


We empirically investigate the existence of periodically collapsing bubbles in seven Middle East and North African (MENA) financial markets for the period ending in May 2009. We use the Taylor and Peel (1998) residual augmented least square Dickey and Fuller test (RALS DF) to detect the bubbles. We find that the hypothesis of a bubble formation cannot be rejected for all seven markets investigated in our study, leading us to believe that in fact there has been a break down in the cointegration relationship between real equity prices and real dividends and also between real market capitalizations and real dividends.

Topics: G12 - Asset Pricing; Trading volume; Bond Interest Rates, G15 - International Financial Markets, C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
Year: 2009
DOI identifier: 10.1016/j.ememar.2009.11.001
OAI identifier:

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