Speculative Bubbles: Lyfecycle of Various Financial Assets

Student: Berdnikova Anna

Educational Programme: Financial Engineering (Master)

Year of Graduation: 2019

The purpose of this study is firstly to analyze lifecycle of speculative bubbles and test for their existence in emerging and frontier stock markets for the period 1999-2019. We use the new non-cointegration test for monthly (emerging markets) and weekly (frontier markets) data of price indexes and dividends. The results show that emerging markets are very sensitive to speculative bubbles: their lifecycle and recovery longer than for frontier markets . We then link speculative bubbles with dynamic of financial liquidity provided by the biggest world central banks, which is an interesting contribution of this study.

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