Title of article
Periodically collapsing stock price bubbles: a robust test
Author/Authors
Mark P. Taylor، نويسنده , , David A. Peel، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1998
Pages
8
From page
221
To page
228
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 , cointegration , Test size , Power
Journal title
Economics Letters
Serial Year
1998
Journal title
Economics Letters
Record number
434668
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