Periodically collapsing stock price bubbles: A robust test

Mark P. Taylor; David A. Peel

doi:10.1016/s0165-1765(98)00171-2

Periodically collapsing stock price bubbles: A robust test

Mark P. Taylor
, David A. Peel

Research output: Contribution to journal › Article › peer-review

58 Scopus citations

Abstract

Rational bubbles imply non-cointegration of stock prices and dividends, but standard tests are subject to size distortion. We present a new test with much smaller size distortion and good power characteristics, which rejects the bubbles hypothesis on US data.

Original language	English
Pages (from-to)	221-228
Number of pages	8
Journal	Economics Letters
Volume	61
Issue number	2
DOIs	https://doi.org/10.1016/s0165-1765(98)00171-2
State	Published - Nov 1 1998

Keywords

Bubbles
C15
Cointegration
G12
Power
Test size

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10.1016/s0165-1765(98)00171-2

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title = "Periodically collapsing stock price bubbles: A robust test",

abstract = "Rational bubbles imply non-cointegration of stock prices and dividends, but standard tests are subject to size distortion. We present a new test with much smaller size distortion and good power characteristics, which rejects the bubbles hypothesis on US data.",

keywords = "Bubbles, C15, Cointegration, G12, Power, Test size",

author = "Taylor, \{Mark P.\} and Peel, \{David A.\}",

year = "1998",

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doi = "10.1016/s0165-1765(98)00171-2",

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T2 - A robust test

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AU - Peel, David A.

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N2 - Rational bubbles imply non-cointegration of stock prices and dividends, but standard tests are subject to size distortion. We present a new test with much smaller size distortion and good power characteristics, which rejects the bubbles hypothesis on US data.

AB - Rational bubbles imply non-cointegration of stock prices and dividends, but standard tests are subject to size distortion. We present a new test with much smaller size distortion and good power characteristics, which rejects the bubbles hypothesis on US data.

KW - Bubbles

KW - C15

KW - Cointegration

KW - G12

KW - Power

KW - Test size

UR - https://www.scopus.com/pages/publications/0032357914

U2 - 10.1016/s0165-1765(98)00171-2

DO - 10.1016/s0165-1765(98)00171-2

M3 - Article

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VL - 61

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EP - 228

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JF - Economics Letters

IS - 2

ER -

Periodically collapsing stock price bubbles: A robust test

Abstract

Keywords

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