Study of Speculative Bubbles: The Contribution  of Approximate Entropy

Imen Mahmoud; Kamel Naoui; Hatem Jemmali

Makale detayları

Study of Speculative Bubbles: The Contribution of Approximate Entropy

Yazarlar:

Imen Mahmoud | Kamel Naoui | Hatem Jemmali

Yayıncı:

İlhan ÖZTÜRK

Dergi:

International Journal of Economics and Financial Issues 2013 Vol.3 Issue 3, pp.683-693

Belge Tipi:

Makale

Yayın Tarihi:

8/2013

Belge Dili:

Türkçe

Document ID (Org No.):

2000814618

Sıklık:

İki Aylık

eISSN:

2146-4138

Özet:

 

The purpose of this article is to provide a survey of the presence of speculative bubbles. The empirical study uses a new technique borrowed from statistical physics suggested by Pincus (1991). We use approximate entropy to test the presence of bubbles in the Tunisian and French markets. To this end, weekly data of primary stock markets of the countries under study (Tunisia, France) were used. Since our aim is to study the crisis, data before and after the crash was also analyzed. The crisis decade has been identified as the sample period for our study. More specifically, we consider weekly data over the 2002 to 2012 period. The obtained results confirm the presence of a speculative bubble during the "subprime" crisis (2008) in the two markets.

Makale detayları

Study of Speculative Bubbles: The Contribution of Approximate Entropy

Yazarlar: Imen Mahmoud | Kamel Naoui | Hatem Jemmali

Yayıncı: İlhan ÖZTÜRK

Dergi: International Journal of Economics and Financial Issues 2013 Vol.3 Issue 3, pp.683-693

Belge Tipi: Makale

Yayın Tarihi: 8/2013

Belge Dili: Türkçe

Document ID (Org No.): 2000814618

Sıklık: İki Aylık

eISSN: 2146-4138

Sayı

Yazarlar:

Imen Mahmoud | Kamel Naoui | Hatem Jemmali

Yayıncı:

İlhan ÖZTÜRK

Dergi:

International Journal of Economics and Financial Issues 2013 Vol.3 Issue 3, pp.683-693

Belge Tipi:

Makale

Yayın Tarihi:

8/2013

Belge Dili:

Türkçe

Document ID (Org No.):

2000814618

Sıklık:

İki Aylık

eISSN:

2146-4138