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ASSESSING PRE-CRISIS FUNDAMENTALS IN SELECTED ASIAN STOCK MARKETS.
- Source :
- Singapore Economic Review; Oct2005, Vol. 50 Issue 2, p175-196, 22p
- Publication Year :
- 2005
-
Abstract
- 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. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 02175908
- Volume :
- 50
- Issue :
- 2
- Database :
- Complementary Index
- Journal :
- Singapore Economic Review
- Publication Type :
- Academic Journal
- Accession number :
- 18701398
- Full Text :
- https://doi.org/10.1142/S0217590805001962