STOCK MARKET BUBBLES INVESTIGATION IN THE CZECH REPUBLIC
STOCK MARKET BUBBLES INVESTIGATION IN THE CZECH REPUBLIC

Author(s): Oleg Deev, Veronika Kajurová, Daniel Stavarek
Subject(s): Evaluation research, Financial Markets
Published by: Masarykova univerzita nakladatelství
Keywords: Stock bubble; regime switching test; Hurst persistence test;
Summary/Abstract: In this paper, we employ a special methodological technique to examine the presence/absence of the phenomenon of stock market bubbles in the Czech Republic. The methodology is based on the examining of residuals of VAR fundamentals with exclusion of ARCH effects. The presence/absence of bubbles is studied by Hurst persistence tests and regime switching tests. Although we observed the bubbles presence over various time periods, almost no evidence of speculative bubbles was found in the Czech stock market.

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