Periodically collapsing stock price bubbles: a robust test

Authors
Taylor, MP Peel, DA
Citation
Mp. Taylor et Da. Peel, Periodically collapsing stock price bubbles: a robust test, ECON LETT, 61(2), 1998, pp. 221-228
Citations number
6
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
61
Issue
2
Year of publication
1998
Pages
221 - 228
Database
ISI
SICI code
0165-1765(199811)61:2<221:PCSPBA>2.0.ZU;2-4
Abstract
Rational bubbles imply non-cointegration of stock prices and dividends, but standard tests are subject to size distortion. We present a new test with much smaller size distortion and good power characteristics, which rejects the bubbles hypothesis on US data. (C) 1998 Published by Elsevier Science S .A. All rights reserved.