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ARTÍCULO
TITULO

Study of Speculative Bubbles: The Contribution of Approximate Entropy

Imen Mahmoud    
kamel Naoui    
Hatem Jemmali    

Resumen

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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