@article{7139bfa759c84d12b4587a198ce14820,
title = "Complex bubble persistence in closed-end country funds",
abstract = "We seek to resolve the 'misspecified fundamental' problem in speculative bubbles through examining the behavior of closed-end country funds which possess well-defined fundamentals based on their net asset values. We study six funds during an episode when large premia emerged and subsequently disappeared. We apply rescaled range and regime switching tests which reject the 'no bubble' null hypothesis for these premia. These results are placed in a complex bubble model framework interpretable according to the 'Big Player' model.",
keywords = "Asset pricing, International financial markets",
author = "Ehsan Ahmed and Roger Koppl and Rosser, {J. Barkley} and White, {Mark V.}",
note = "Funding Information: We find strong evidence for the existenceo f persistencea nd trends in the series. We fail to reject differences in the nature of that persistenceb etween identified bubble and non-bubble periods, indicating a probable general structural shift. These results are supportedb y Wald testsr un on our regime-switchingm odel results.T he CECFs we study include the Germany Fund, the Spain Fund, the Mexico Fund, the Thai Fund, the Taiwan Fund, and the ROC Taiwan Fund. We note that this is a broad group including advanced countries with no restrictions on foreign investment (e.g. Germany and Spain), through less-developedc ountries (LDCs) reasonablyo pen to investment( Mexico), to LDCs with more closed environments (Thailand, the two Tawain funds), with the latter affected by anticipations of market opening which occurred on January 1, 1991.{\textquoteright}",
year = "1997",
month = jan,
doi = "10.1016/s0167-2681(96)00017-0",
language = "English (US)",
volume = "32",
pages = "19--37",
journal = "Journal of Economic Behavior and Organization",
issn = "0167-2681",
publisher = "Elsevier",
number = "1",
}