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Testing for bubbles: an application of tests for change in persistence

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  • Robert Sollis

Abstract

This study investigates changes in the persistence of the S&P Composite dividend-price ratio. Recently developed tests are employed that allow for breaks between periods in which the data are integrated of order zero, I(0), and integrated of order one, I(1). One of the tests finds a break from I(0) to I(1) in the mid-1970s and two of the tests find a break from I(0) to I(1) in the early, to mid-1950s. The results are discussed in light of the rational bubble hypothesis.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/13504850500398989
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Bibliographic Info

Article provided by Taylor and Francis Journals in its journal Applied Financial Economics.

Volume (Year): 16 (2006)
Issue (Month): 6 ()
Pages: 491-498

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Handle: RePEc:taf:apfiec:v:16:y:2006:i:6:p:491-498

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Cited by:
  1. Otavio Ribeiro de Medeiros and Vitor Leone, 2012. "Multiple Changes in Persistence vs. Explosive Behaviour: The Dotcom Bubble," Working Papers 2012/02, Nottingham Trent University, Nottingham Business School, Economics Division.
  2. Kruse, Robinson, 2008. "Rational bubbles and fractional integration," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Leibniz Universität Hannover dp-394, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  3. Park, Cheolbeom, 2010. "When does the dividend-price ratio predict stock returns?," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 81-101, January.
  4. M. Frömmel & R. Kruse, 2011. "Testing for a rational bubble under long memory," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 11/722, Ghent University, Faculty of Economics and Business Administration.

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