A Direct Test of Rational Bubbles
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Refet S. Gürkaynak, 2008.
"Econometric Tests Of Asset Price Bubbles: Taking Stock,"
Journal of Economic Surveys, Wiley Blackwell, vol. 22(1), pages 166-186, February.
- Refet Gurkaynak, 2005. "Econometric Tests of Asset Price Bubbles: Taking Stock," Finance 0504008, University Library of Munich, Germany.
- Refet S. Gürkaynak, 2005. "Econometric tests of asset price bubbles: taking stock," Finance and Economics Discussion Series 2005-04, Board of Governors of the Federal Reserve System (U.S.).
- J. Carlos Escanciano & Ignacio N. Lobato, 2009. "Testing the Martingale Hypothesis," Palgrave Macmillan Books, in: Terence C. Mills & Kerry Patterson (ed.), Palgrave Handbook of Econometrics, chapter 20, pages 972-1003, Palgrave Macmillan.
- John Y. Campbell & Robert J. Shiller, 1988.
"Stock Prices, Earnings and Expected Dividends,"
Cowles Foundation Discussion Papers
858, Cowles Foundation for Research in Economics, Yale University.
- Campbell, J.Y. & Shiller, R.J., 1988. "Stock Prices, Earnings And Expected Dividends," Papers 334, Princeton, Department of Economics - Econometric Research Program.
- John Y. Campbell & Robert J. Shiller, 1988. "Stock Prices, Earnings and Expected Dividends," NBER Working Papers 2511, National Bureau of Economic Research, Inc.
- Campbell, John & Shiller, Robert, 1988. "Stock Prices, Earnings, and Expected Dividends," Scholarly Articles 3224293, Harvard University Department of Economics.
- Shiller, Robert J, 1981.
"Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?,"
American Economic Review, American Economic Association, vol. 71(3), pages 421-436, June.
- Robert J. Shiller, 1980. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," NBER Working Papers 0456, National Bureau of Economic Research, Inc.
- Evans, George W, 1991. "Pitfalls in Testing for Explosive Bubbles in Asset Prices," American Economic Review, American Economic Association, vol. 81(4), pages 922-930, September.
- Manuel Dominguez & Ignacio Lobato, 2003. "Testing the Martingale Difference Hypothesis," Econometric Reviews, Taylor & Francis Journals, vol. 22(4), pages 351-377.
- Deo, Rohit S., 2000. "Spectral tests of the martingale hypothesis under conditional heteroscedasticity," Journal of Econometrics, Elsevier, vol. 99(2), pages 291-315, December.
- repec:bla:jfinan:v:43:y:1988:i:3:p:661-76 is not listed on IDEAS
- Kuan Chung-Ming & Lee Wei-Ming, 2004.
"A New Test of the Martingale Difference Hypothesis,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(4), pages 1-26, December.
- Chung-Ming Kuan & Wei-Ming Lee, 2003. "A New Test of the Martingale Difference Hypothesis," IEAS Working Paper : academic research 03-A001, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- Froot, Kenneth A & Obstfeld, Maurice, 1991.
"Intrinsic Bubbles: The Case of Stock Prices,"
American Economic Review, American Economic Association, vol. 81(5), pages 1189-1214, December.
- Kenneth A. Froot & Maurice Obstfeld, 1989. "Intrinsic Bubbles: The Case of Stock Prices," NBER Working Papers 3091, National Bureau of Economic Research, Inc.
- Kenneth D. West, 1987.
"A Specification Test for Speculative Bubbles,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 102(3), pages 553-580.
- Kenneth D. West, 1986. "A Specification Test for Speculative Bubbles," NBER Working Papers 2067, National Bureau of Economic Research, Inc.
- Grossman, Sanford J & Shiller, Robert J, 1981.
"The Determinants of the Variability of Stock Market Prices,"
American Economic Review, American Economic Association, vol. 71(2), pages 222-227, May.
- S. Grossman & R. Shiller, "undated". "The Determinants of the Variability of Stock Market Price," Rodney L. White Center for Financial Research Working Papers 18-80, Wharton School Rodney L. White Center for Financial Research.
- Sanford J. Grossman & Robert J. Shiller, 1980. "The Determinants of the Variability of Stock Market Prices," NBER Working Papers 0564, National Bureau of Economic Research, Inc.
- Martin Dufwenberg & Tobias Lindqvist & Evan Moore, 2005. "Bubbles and Experience: An Experiment," American Economic Review, American Economic Association, vol. 95(5), pages 1731-1737, December.
- Olivier J. Blanchard & Mark W. Watson, 1982. "Bubbles, Rational Expectations and Financial Markets," NBER Working Papers 0945, National Bureau of Economic Research, Inc.
- Diba, Behzad T & Grossman, Herschel I, 1988. "Explosive Rational Bubbles in Stock Prices?," American Economic Review, American Economic Association, vol. 78(3), pages 520-530, June.
- Driffill, John & Sola, Martin, 1998. "Intrinsic bubbles and regime-switching," Journal of Monetary Economics, Elsevier, vol. 42(2), pages 357-373, July.
- Tirole, Jean, 1985. "Asset Bubbles and Overlapping Generations," Econometrica, Econometric Society, vol. 53(6), pages 1499-1528, November.
Citations
Blog mentions
As found by EconAcademics.org, the blog aggregator for Economics research:- Are bubbles observable?
by Economic Logician in Economic Logic on 2010-06-01 20:01:00 - Weekly Wisdom Roundup # 81 â The Smartest Linkfest On The Web
by Miguel in Simoleon Sense on 2010-06-07 00:53:02
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Refet S. Gürkaynak, 2008.
"Econometric Tests Of Asset Price Bubbles: Taking Stock,"
Journal of Economic Surveys, Wiley Blackwell, vol. 22(1), pages 166-186, February.
- Refet Gurkaynak, 2005. "Econometric Tests of Asset Price Bubbles: Taking Stock," Finance 0504008, University Library of Munich, Germany.
- Refet S. Gürkaynak, 2005. "Econometric tests of asset price bubbles: taking stock," Finance and Economics Discussion Series 2005-04, Board of Governors of the Federal Reserve System (U.S.).
- Chen, Shyh-Wei & Hsu, Chi-Sheng & Xie, Zixong, 2016. "Are there periodically collapsing bubbles in the stock markets? New international evidence," Economic Modelling, Elsevier, vol. 52(PB), pages 442-451.
- Peter C. B. Phillips & Yangru Wu & Jun Yu, 2011.
"EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(1), pages 201-226, February.
- Peter C. B. Phillips & Yangru Wu & Jun Yu, 2007. "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?," Working Papers 222007, Hong Kong Institute for Monetary Research.
- Peter C.B. Phillips & Yangru Wu & Jun Yu, 2009. "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?," Cowles Foundation Discussion Papers 1699, Cowles Foundation for Research in Economics, Yale University.
- Peter C.B. PHILIPS & Yangru WU & Jun YU, 2009. "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?," Working Papers 19-2009, Singapore Management University, School of Economics.
- Peter C.B.Phillips & Yangru Wu & Jun Yu, 2009. "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?," Working Papers CoFie-03-2008, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
- Peter C.B. Philips & Yangru Wu & Jun Yu, 2009. "Explosive Behavior in the 1990s Nasdaq : When Did Exuberance Escalate Asset Values?," Finance Working Papers 23050, East Asian Bureau of Economic Research.
- Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.
- Xie, Zixiong & Chen, Shyh-Wei, 2015. "Are there periodically collapsing bubbles in the REIT markets? New evidence from the US," Research in International Business and Finance, Elsevier, vol. 33(C), pages 17-31.
- Esteban Gómez & Sandra Rozo, 2008.
"Beyond Bubbles: The Role of Asset Prices in Early-Warning Indicators,"
Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 26(56), pages 114-148, June.
- Esteban Gómez & Sandra Rozo, 2007. "Beyond Bubbles: The role of asset prices in early-warning indicators," Borradores de Economia 4245, Banco de la Republica.
- Esteban Gómez & Sandra Rozo, 2007. "Beyond Bubbles: The role of asset prices in early-warning indicators," Borradores de Economia 457, Banco de la Republica de Colombia.
- Esteban Gómez & sandra Rozo, 2007. "Beyond Bubbles:The role of asset prices in early-warning indicators," Borradores de Economia 4050, Banco de la Republica.
- repec:zbw:bofism:2006_035 is not listed on IDEAS
- Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Scientific Monographs, Bank of Finland, number 2012_047.
- Chen, Shyh-Wei & Xie, Zixiong, 2017. "Asymmetric adjustment and smooth breaks in dividend yields: Evidence from international stock markets," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 339-354.
- Su, Chi-Wei & Li, Zheng-Zheng & Chang, Hsu-Ling & Lobonţ, Oana-Ramona, 2017. "When Will Occur the Crude Oil Bubbles?," Energy Policy, Elsevier, vol. 102(C), pages 1-6.
- Efsun Kürüm & Gerhard-Wilhelm Weber & Cem Iyigun, 2018. "Early warning on stock market bubbles via methods of optimization, clustering and inverse problems," Annals of Operations Research, Springer, vol. 260(1), pages 293-320, January.
- Drobyshevsky Sergey & Narkevich Sergey & E. Pikulina & D. Polevoy, 2009. "Analysis Of a Possible Bubble On the Russian Real Estate Market," Research Paper Series, Gaidar Institute for Economic Policy, issue 128.
- Taipalus, Katja, 2006. "Bubbles in the Finnish and US equities markets," Scientific Monographs, Bank of Finland, number 35/2006.
- repec:zbw:bofism:2012_047 is not listed on IDEAS
- Taipalus, Katja, 2012. "Detecting asset price bubbles with time-series methods," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2012_047, July.
- Zhao, Yanping & Chang, Hsu-Ling & Su, Chi-Wei & Nian, Rui, 2015. "Gold bubbles: When are they most likely to occur?," Japan and the World Economy, Elsevier, vol. 34, pages 17-23.
- Yiu, Matthew S. & Yu, Jun & Jin, Lu, 2013.
"Detecting bubbles in Hong Kong residential property market,"
Journal of Asian Economics, Elsevier, vol. 28(C), pages 115-124.
- Matthew S. Yiu & Jun Yu & Lu Jin, 2012. "Detecting Bubbles in Hong Kong Residential Property Market," Working Papers CoFie-03-2012, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
- Matthew S. Yiu & Jun Yu & Lu Jin, 2012. "Detecting Bubbles in Hong Kong Residential Property Market," Working Papers 31-2012, Singapore Management University, School of Economics.
- Gourieroux, C. & Jasiak, J. & Monfort, A., 2020.
"Stationary bubble equilibria in rational expectation models,"
Journal of Econometrics, Elsevier, vol. 218(2), pages 714-735.
- Christian Gouriéroux & Joann Jasiak & Alain Monfort, 2016. "Stationary Bubble Equilibria in Rational Expectation Models," Working Papers 2016-31, Center for Research in Economics and Statistics.
- Christian Gouriéroux & Joann Jasiak & Alain Monfort, 2020. "Stationary Bubble Equilibria in Rational Expectation Models," Post-Print hal-03330912, HAL.
- Tolhurst, Tor N., 2018. "A Model-Free Bubble Detection Method: Application to the World Market for Superstar Wines," 2018 Annual Meeting, August 5-7, Washington, D.C. 274387, Agricultural and Applied Economics Association.
- Uribe Gil, Jorge Mario, 2013. "Testing for multiple bubbles with daily data," Documentos de Trabajo 11028, Universidad del Valle, CIDSE.
- Rafiq Ahmed & Syed Tehseen Jawaid & Samina Khalil, 2021. "Bubble Detection in Housing Market: Evidence From a Developing Country," SAGE Open, , vol. 11(2), pages 21582440211, April.
- Yuchao Fan, 2022. "Dissecting the dot-com bubble in the 1990s NASDAQ," Papers 2206.14130, arXiv.org, revised Jul 2022.
More about this item
Keywords
speculative rational bubbles; martingale tests; fundamental value; dividend expectation;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2010-04-24 (Banking)
- NEP-ECM-2010-04-24 (Econometrics)
- NEP-FMK-2010-04-24 (Financial Markets)
- NEP-MKT-2010-04-24 (Marketing)
Lists
This item is featured on the following reading lists, Wikipedia, or ReplicationWiki pages:Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cqe:wpaper:1310. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Susanne Deckwitz (email available below). General contact details of provider: https://edirc.repec.org/data/cqmuede.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.