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A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach

  • Cunado, J.
  • Gil-Alana, L.A.
  • de Gracia, F. Perez

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File URL: http://www.sciencedirect.com/science/article/pii/S0378-4266(04)00248-1
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 29 (2005)
Issue (Month): 10 (October)
Pages: 2633-2654

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Handle: RePEc:eee:jbfina:v:29:y:2005:i:10:p:2633-2654
Contact details of provider: Web page: http://www.elsevier.com/locate/jbf

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  1. Kenneth A. Froot & Maurice Obstfeld, 1989. "Intrinsic Bubbles: The Case of Stock Prices," NBER Working Papers 3091, National Bureau of Economic Research, Inc.
  2. Koustas, Zisimos & Serletis, Apostolos, 2005. "Rational bubbles or persistent deviations from market fundamentals?," Journal of Banking & Finance, Elsevier, vol. 29(10), pages 2523-2539, October.
  3. Eli Ofek & Matthew Richardson, 2003. "DotCom Mania: The Rise and Fall of Internet Stock Prices," Journal of Finance, American Finance Association, vol. 58(3), pages 1113-1138, 06.
  4. Phillips, P C B, 1987. "Time Series Regression with a Unit Root," Econometrica, Econometric Society, vol. 55(2), pages 277-301, March.
  5. Campbell, John & Shiller, Robert, 1987. "Cointegration and Tests of Present Value Models," Scholarly Articles 3122490, Harvard University Department of Economics.
  6. Ng, Serena, 1995. "Testing for unit roots in flow data sampled at different frequencies," Economics Letters, Elsevier, vol. 47(3-4), pages 237-242, March.
  7. William D. Nordhaus, 2000. "Productivity Growth and the New Economy," Cowles Foundation Discussion Papers 1284, Cowles Foundation for Research in Economics, Yale University.
  8. P. M. Robinson & J. Hualde, 2003. "Cointegration in Fractional Systems with Unknown Integration Orders," Econometrica, Econometric Society, vol. 71(6), pages 1727-1766, November.
  9. Craine, Roger, 1993. "Rational bubbles : A test," Journal of Economic Dynamics and Control, Elsevier, vol. 17(5-6), pages 829-846.
  10. Owen Lamont, 1996. "Earnings and Expected Returns," NBER Working Papers 5671, National Bureau of Economic Research, Inc.
  11. Michael Dueker & Richard Startz, 1998. "Maximum-Likelihood Estimation Of Fractional Cointegration With An Application To U.S. And Canadian Bond Rates," The Review of Economics and Statistics, MIT Press, vol. 80(3), pages 420-426, August.
  12. Lobato, Ignacio N & Savin, N E, 1998. "Real and Spurious Long-Memory Properties of Stock-Market Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 261-68, July.
  13. Stephen D. Oliner & Daniel E. Sichel, 2000. "The resurgence of growth in the late 1990s: is information technology the story?," Finance and Economics Discussion Series 2000-20, Board of Governors of the Federal Reserve System (U.S.).
  14. Alan M. Taylor, 2000. "Potential Pitfalls for the Purchasing-Power-Parity Puzzle? Sampling and Specification Biases in Mean-Reversion Tests of the Law of One Price," NBER Working Papers 7577, National Bureau of Economic Research, Inc.
  15. Bohl, Martin T., 2003. "Periodically collapsing bubbles in the US stock market?," International Review of Economics & Finance, Elsevier, vol. 12(3), pages 385-397.
  16. Schwert, G William, 2002. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 5-17, January.
  17. Velasco, Carlos, 2000. "Non-Gaussian Log-Periodogram Regression," Econometric Theory, Cambridge University Press, vol. 16(01), pages 44-79, February.
  18. Luis A. Gil-Alana, 2003. "Testing of Fractional Cointegration in Macroeconomic Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(4), pages 517-529, 09.
  19. Lobato, Ignacio N & Savin, N E, 1998. "Real and Spurious Long-Memory Properties of Stock-Market Data: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 280-83, July.
  20. Dale W. Jorgenson, 2001. "Information Technology and the U.S. Economy," American Economic Review, American Economic Association, vol. 91(1), pages 1-32, March.
  21. Baillie, R.T. & Bollerslev, T., 1993. "Cointegration, Fractional Cointegration, and Exchange RAte Dynamics," Papers 9103, Michigan State - Econometrics and Economic Theory.
  22. Crowder, William J & Wohar, Mark E, 1998. "Stock Price Effects of Permanent and Transitory Shocks," Economic Inquiry, Western Economic Association International, vol. 36(4), pages 540-52, October.
  23. Diba, Behzad T & Grossman, Herschel I, 1988. "Explosive Rational Bubbles in Stock Prices?," American Economic Review, American Economic Association, vol. 78(3), pages 520-30, June.
  24. Cheung, Yin-Wong & Lai, Kon S, 1993. "A Fractional Cointegration Analysis of Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 103-12, January.
  25. Robinson, Peter M. & Yajima, Yoshihiro, 2002. "Determination of cointegrating rank in fractional systems," Journal of Econometrics, Elsevier, vol. 106(2), pages 217-241, February.
  26. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
  27. Hassler, Uwe & Wolters, Jurgen, 1994. "On the power of unit root tests against fractional alternatives," Economics Letters, Elsevier, vol. 45(1), pages 1-5, May.
  28. Alan M. Taylor, 2000. "A Century of Purchasing-Power Parity," NBER Working Papers 8012, National Bureau of Economic Research, Inc.
  29. Lobato, Ignacio N., 1999. "A semiparametric two-step estimator in a multivariate long memory model," Journal of Econometrics, Elsevier, vol. 90(1), pages 129-153, May.
  30. Timmermann, Allan, 1995. "Cointegration Tests of Present Value Models with a Time-Varying Discount Factor," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(1), pages 17-31, Jan.-Marc.
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