RATIONAL SPECULATIVE BUBBLES IN THE OIC (ORGANISATION OF ISLAMIC CONFERENCE)STOCK MARKETS

While OIC countries play a vital economic role in oil exports, tourism, and international investments, the stock market behavior in OIC countries has been largely unrevealed and bypassed by financial market research. To fill this gap, we examine the possibility of rational speculative bubbles in OIC stock markets by employing alternative bubble tests, such as fractional bubble tests and duration dependence tests. We confirm that log dividend yields of OIC stock markets are fractionally integrated and none of the nonparametric Nelson-Aalen smoothed hazard functions is monotonically decreasing. Therefore, we do not find strong evidence of rational speculative bubbles in OIC stock markets without regard to currency denominations