Testing for rational bubbles
AbstractThis paper presents new results on the rational bubbles hypothesis for a panel of 9 OECD countries using Campbell, Lo and MacKinsay (1997) model. The contribution offered by this paper is an analysis of international data that exploits increased power deriving from the panel unit root and cointegration methodology, together with the flexibility of allowing explicitly for multiple endogenous structural breaks in the individual series. Differently from the time series methodology, the panel data approach allows for a global analysis of the Financial crashes that are related to rational bubbles. Strong evidence in favor of bubbles phenomena is found. Classification-C12, C33, G15.
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Bibliographic InfoPaper provided by University of Molise, Dept. SEGeS in its series Economics & Statistics Discussion Papers with number esdp06030.
Length: 25 pages
Date of creation: 21 Dec 2006
Date of revision:
Panel data; Co-integration; International Financial markets; Rational bubbles.;
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- Gerdesmeier, Dieter & Reimers, Hans-Eggert & Roffia, Barbara, 2013. "Testing for the existence of a bubble in the stock market," Wismar Discussion Papers 01/2013, Hochschule Wismar, Wismar Business School.
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