Document Type

Book Chapter

Publication Date



This paper investigates empirically the existence of periodically collapsing bubbles in the Asian emerging stock markets using the Enders-Siklos (2001) momentum threshold autoregressive model. As explained in Bohl (2003), this non-linear time series technique can be used to analyze bubble driven run-ups in stock prices followed by a crash in a non- cointegration framework with asymmetric adjustment. This technique offers a more potent insight in the stock prices behavior than can possibly be obtained using conventional non-cointegration tests. The empirical findings for ten Asian emerging stock markets from 1993 to 2005 refute the bubble hypothesis.


This paper won the Best paper Prize award at the 2007 Asian Finance Association Conference held in Hong Kong, China, July 5-7. Award sponsored by the University Utara Malaysia.

JEL classification: G14, G15

Version posted is a preprint.

Published in its final version as:

Doffou, A. (2007). Periodically collapsing bubbles in the Asian emerging stock markets. In S-J. Kim & M. D. Mckenzie (Eds.), Asia-Pacific financial markets: Integration, innovation and challenges (pp. 143-155). (International Finance Review, Volume 8), Emerald Group Publishing Limited.




To view the content in your browser, please download Adobe Reader or, alternately,
you may Download the file to your hard drive.

NOTE: The latest versions of Adobe Reader do not support viewing PDF files within Firefox on Mac OS and if you are using a modern (Intel) Mac, there is no official plugin for viewing PDF files within the browser window.