English, Article edition: ASSESSING PRE-CRISIS FUNDAMENTALS IN SELECTED ASIAN STOCK MARKETS EE LENG LAU; G. K. RANDOLPH TAN; SHAHIDUR RAHMAN

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Physical Description
  • article
Language
  • English

Edition details

Title
  • ASSESSING PRE-CRISIS FUNDAMENTALS IN SELECTED ASIAN STOCK MARKETS
Author
  • EE LENG LAU
  • G. K. RANDOLPH TAN
  • SHAHIDUR RAHMAN
Physical Description
  • article
Notes
  • In the folklore of emerging markets, there is a popular belief that bubbles are inevitable. In this paper, our objective is to estimate a state-space model for rational bubbles in selected Asian economies with the aid of the Kalman Filter. For each economy, we derive a possible picture of the bubble formation process that is implied by the state-space formulation. The estimation is based on the rational valuation formula for stock prices. Our results provide a possible way of defining the presence of rational bubbles in the stock markets of Taiwan, Singapore, Korea, and Malaysia.
  • Rational bubble, Kalmon Filter, financial market, volatility
  • RePEc:wsi:serxxx:v:50:y:2005:i:02:p:175-196
Language
  • English
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