Rational bubbles in the US stock market? Further evidence from a nonparametric cointegration test
AbstractIn this study, we revisit the issue as to the presence of rational bubbles in the US stock market during the 1871 to 2002 period using both the Johansen cointegration and the Bierens 1997 nonparametric cointegration tests. The results from the conventional Johansen cointegration test fully support the existence of rational bubbles, whereas those from the Bierens nonparametric cointegration test attest to the absence of rational bubbles. On account of the superiority of the nonparametric method to detect cointegration when the error-correction mechanism is nonlinear, we firmly believe that the results from the nonparametric cointegration test are considerably more reliable than those derived from the conventional Johansen approach.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 14 (2007)
Issue (Month): 7 ()
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- Cerqueti, Roy & Costantini, Mauro, 2011. "Testing for rational bubbles in the presence of structural breaks: Evidence from nonstationary panels," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2598-2605, October.
- Tsangyao Chang & Wen-Chi Liu, 2008. "Rational Bubbles in the Korea Stock Market? Further Evidence based on Nonlinear and Nonparametric Cointegration Tests," Economics Bulletin, AccessEcon, vol. 3(34), pages 1-12.
- repec:ebl:ecbull:v:3:y:2008:i:34:p:1-12 is not listed on IDEAS
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