Does Rational Bubbles Exist in the Taiwan Stock Market? Evidence from a Nonparametric Cointegration Test
AbstractIn this study, we revisit the issue as to the presence of rational bubbles in the Taiwan stock market during the June 1991 to February 2005 period using the Bierens (1997) nonparametric cointegration tests. The results from the Bierens nonparametric cointegration test attest to the absence of rational bubbles in the Taiwan stock market.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 3 (2005)
Issue (Month): 41 ()
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Rational Bubbles Taiwan Stock Market Nonparametric Cointegration Test;
Find related papers by JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G2 - Financial Economics - - Financial Institutions and Services
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