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Testing for persistent deviations of stock prices to dividends in the Nasdaq index

Listed author(s):
  • Cuñado, J.
  • Gil-Alana, L.A.
  • Perez de Gracia, F.

In this paper we test for the presence of bubbles in the Nasdaq stock market index over the period 1994–2003 applying fractional integration techniques and allowing for structural breaks and non-linear adjustments of prices to dividends. The results show a significant structural break in 1998 for all model specifications and data periodicity. Furthermore, we do not find evidence of asymmetric adjustment of prices to dividends when using M-TAR and TAR models. The evidence of bubbles varies depending on the data periodicity and model specification used in the analysis. Finally, the results show persistent deviations of stock prices to dividends in all cases considered, though we only find evidence of bubbles in the Nasdaq index when using weekly data for the time period after June 1998.

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File URL: http://www.sciencedirect.com/science/article/pii/S0378437112003883
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Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

Volume (Year): 391 (2012)
Issue (Month): 20 ()
Pages: 4675-4685

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Handle: RePEc:eee:phsmap:v:391:y:2012:i:20:p:4675-4685
DOI: 10.1016/j.physa.2012.05.017
Contact details of provider: Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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