Study of Speculative Bubbles: The Contribution of Approximate Entropy
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 en...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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EconJournals
2013-06-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://www.econjournals.com/index.php/ijefi/article/view/443 |
| _version_ | 1797923722814816256 |
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| author | Imen Mahmoud kamel Naoui Hatem Jemmali |
| author_facet | Imen Mahmoud kamel Naoui Hatem Jemmali |
| author_sort | Imen Mahmoud |
| collection | DOAJ |
| description |
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.
Keywords: Speculative bubbles; approximate entropy; financial crashes; speculation.
JEL Classifications: C32; C63
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| first_indexed | 2024-04-10T14:50:40Z |
| format | Article |
| id | doaj.art-f3dee64701e0489c84fa5a662db6dbc2 |
| institution | Directory Open Access Journal |
| issn | 2146-4138 |
| language | English |
| last_indexed | 2024-04-10T14:50:40Z |
| publishDate | 2013-06-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Economics and Financial Issues |
| spelling | doaj.art-f3dee64701e0489c84fa5a662db6dbc22023-02-15T16:07:37ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382013-06-0133Study of Speculative Bubbles: The Contribution of Approximate EntropyImen Mahmoudkamel Naoui0Hatem JemmaliBusiness School of Tunis 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. Keywords: Speculative bubbles; approximate entropy; financial crashes; speculation. JEL Classifications: C32; C63 https://www.econjournals.com/index.php/ijefi/article/view/443 |
| spellingShingle | Imen Mahmoud kamel Naoui Hatem Jemmali Study of Speculative Bubbles: The Contribution of Approximate Entropy International Journal of Economics and Financial Issues |
| title | Study of Speculative Bubbles: The Contribution of Approximate Entropy |
| title_full | Study of Speculative Bubbles: The Contribution of Approximate Entropy |
| title_fullStr | Study of Speculative Bubbles: The Contribution of Approximate Entropy |
| title_full_unstemmed | Study of Speculative Bubbles: The Contribution of Approximate Entropy |
| title_short | Study of Speculative Bubbles: The Contribution of Approximate Entropy |
| title_sort | study of speculative bubbles the contribution of approximate entropy |
| url | https://www.econjournals.com/index.php/ijefi/article/view/443 |
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