The study investigates the presence of rational speculative bubbles in Malaysian stock market by employing duration dependence test using the Weibull's hazard model and Log Logistic hazard model. Using abnormal monthly real returns, we report the existence of rational speculative bubbles in Malaysian stock market in before (1994–1996) and after (1999–2003) the Asian Financial Crisis 1997.This study provide a modest attempt to investigate the price behavior of stocks from a behavioral finance perspective. Source International Research Journal of Finance & Economics; 2006 Issue 6, p102-115, 14p. Authors: Mokhtar, Suraya Hanim, Nassir, Annuar Md & Hassan, Taufiz.