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Rational Bubbles in the Korea Stock Market? Further Evidence based on Nonlinear and Nonparametric Cointegration Tests

Author

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  • Tsangyao Chang

    (Department of Finance, Feng Chia University, Taichung, Taiwan)

  • Wen-Chi Liu

    (Department of Business Administration, Da-Yeh University, Chang-Hua, Taiwan)

Abstract

In this study, we revisit the issue as to the presence of Rational Bubbles in the Korea stock market during the May 1996 to November 2007 period using three cointegration tests, namely JJ (Johansen and Juselius, 1990), KSS (Kapetanois et al., 2006) and BN (Bierens, 1997, 2004) approaches. The results from the conventional JJ test support the existence of rational bubbles, whereas those from both nonlinear test of KSS and nonparametric test of BN attest to the absence of rational bubbles in the Korea stock market.

Suggested Citation

  • 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.
    • Handle: RePEc:ebl:ecbull:eb-08c30021
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    References listed on IDEAS

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    More about this item

    Keywords

    Rational Bubbles Korea Stock Market Nonlinear and Nonparametric Cointegration Tests;

    JEL classification:

    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
    • G1 - Financial Economics - - General Financial Markets

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