Nunes, Mauricio and Da Silva, Sergio (2007): Rational bubbles in emerging stockmarkets.
Download (195kB) | Preview
We detected rational bubbles in 22 emerging stockmarkets using both standard and threshold cointegration. Eighteen stockmarkets experienced explosive bubbles (and some of them periodically collapsing bubbles as well). The remaining four markets experienced periodically collapsing bubbles only.
|Item Type:||MPRA Paper|
|Institution:||Federal University of Santa Catarina|
|Original Title:||Rational bubbles in emerging stockmarkets|
|Keywords:||bubbles; stockmarkets; emerging markets|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates
E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy
|Depositing User:||Sergio Da Silva|
|Date Deposited:||30. Aug 2007|
|Last Modified:||19. Feb 2013 03:57|
Andrews D., and W. Ploberger (1994) Optimal tests when a nuisance parameter is present only under the alternative, Econometrica 62, 1383–1414.
Balke, N. S., and T. B. Fomby (1997) Threshold cointegration, International Economic Review 38, 627–643.
Bikhchandani, S., and S. Sharma (2000) Herd behavior in financial markets: a review, IMF Working Paper, 48.
Blanchard, O. (1979) Speculative bubbles, crashes, and rational expectations, Economics Letters 3, 387–389.
Blanchard, O., and M. W. Watson (1982) Bubbles, rational expectations, and financial markets, NBER Working Paper, 945.
Caner, M., and B. E. Hansen (2001) Threshold autoregression with a unit root, Econometrica 69, 1555–1596.
Chan, K. S. (1993) Consistency and limiting distribution of the least squares estimator of a threshold autoregressive model, The Annals of Statistics 21, 520–533.
Chan, K. S., and H. Tong (1989) A survey of the statistical analysis of a univariate threshold autoregressive model. In R. Mariano (ed.), Advances in Statistical Analysis and Statistical Computing: Theory and Applications, Vol. 2, pp. 1–42. Greenwich, Conn.: JAI Press Inc.
Enders, W., and C. W. J. Granger (1998) Unit-root tests and asymmetric adjustment with an example using the term structure of interest rates, Journal of Business & Economic Statistics 16, 304–311.
Enders, W., and B. Falk (1998) Threshold-autoregressive, median-unbiased, and cointegration tests of purchasing power parity, International Journal of Forecasting 14, 171–186.
Enders, W., and P. Siklos (2001) Cointegration and threshold adjustment, Journal of Business & Economic Statistics 19, 166–176.
Engle, R., and C. L. W. Granger (1987) Cointegration and error-correction: representation, estimation, and testing, Econometrica 55, 251–276.
Evans, G. (1991) Pitfalls in testing for explosive bubbles in asset prices, American Economic Review 81, 922–930.
Hansen, B. (1996) Inference when a nuisance parameter is not identified under the null hypothesis, Econometrica 64, 413–430.
Neftei, S. N. (1984) Are economic time series asymmetric over the business cycle? Journal of Political Economy 92, 307–328.
Petruccelli, J. D., and S. W. Woolford (1984) A threshold AR(1) model, Journal of Applied Probability 21, 270–286.
Potter, S. (1995) A nonlinear approach to U.S. GNP, Journal of Applied Econometrics 10, 109–125.
Selody, J., and C. Wilkins (2004) Asset prices and monetary policy: a Canadian perspective on the issues, Bank of Canada Review 127, 3–14.
Tong, H. (1983) Threshold Models in Non-Linear Time Series Analysis. New York: Springer-Verlag.