Complex bubble persistence in closed-end country funds

Ehsan Ahmed, Roger Koppl, J. Barkley Rosser, Mark V. White

Research output: Contribution to journalArticlepeer-review

20 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)19-37
Number of pages19
JournalJournal of Economic Behavior and Organization
Volume32
Issue number1
DOIs
StatePublished - Jan 1997
Externally publishedYes

Keywords

  • Asset pricing
  • International financial markets

ASJC Scopus subject areas

  • Economics and Econometrics
  • Organizational Behavior and Human Resource Management

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