文章基本信息

标题：Impact of Speculation and Bubble Detection in Stock Markets: The Tunisian and the Moroccan Cases
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作者：Bassem Salhi ; Saad Alflayyeh
期刊名称：Journal of Management and Strategy
印刷版ISSN：1923-3965
电子版ISSN：1923-3973
出版年度：2016
卷号：7
期号：2
页码：p73
DOI：10.5430/jms.v7n2p73
语种：English
出版社：Sciedu Press
摘要：The past few years have seen an unprecedented increase in speculative activities. While the exact tools remain controversial, the negative impact is not doubtful. This thesis attempts to explain speculation, what it actually is and what it is not.In this paper we seek to identify periods of mildly explosive or bubble-like, behaviour of the Tunisian market during the period 2004 to 2014. We do so on one hand using STATA’s rolling and recursive estimation techniques on the Tunisian stock market price index (TUNINDEX) then, we compare it to the Moroccan Index (MASI), On the other hand we apply the same testing procedure on 4 Big companies of the Tunisian market.These tests help detecting if prices deviate from a random walk and become mildly explosive since as stipulated above, the identification of explosive characteristics in the price is equivalent to the detection of stock bubble.
其他摘要：The past few years have seen an unprecedented increase in speculative activities. While the exact tools remain controversial, the negative impact is not doubtful. This thesis attempts to explain speculation, what it actually is and what it is not.In this paper we seek to identify periods of mildly explosive or bubble-like, behaviour of the Tunisian market during the period 2004 to 2014. We do so on one hand using STATA’s rolling and recursive estimation techniques on the Tunisian stock market price index (TUNINDEX) then, we compare it to the Moroccan Index (MASI), On the other hand we apply the same testing procedure on 4 Big companies of the Tunisian market.These tests help detecting if prices deviate from a random walk and become mildly explosive since as stipulated above, the identification of explosive characteristics in the price is equivalent to the detection of stock bubble.