Abstract
:This study examines the existence of rational speculative bubbles in three Central European stock markets. The possibility of stock bubbles arises from historical stock market inefficiency as well as from the most recent stock market boom and crash resulting from the U.S. subprime mortgage crisis. In this study, we employ the duration dependence test for bubble detection, which provides reliable results for the specific properties of the studied markets. In addition to the stock market indexes, the prices of individual blue chip stocks are investigated in order to identify the sources of bubbles. We determined that there was an asset bubble in the Polish stock market in the period 2004-7 and narrow its origins down to chemical and energy company stocks. Speculative bubbles also were detected in Hungarian renewable-energy technology stocks.
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