Rational bubbles in the stock market: Accounting for the U.S. stock-price volatility

Economic Inquiry

Volumn 35, Issue 2, 1997, Pages 309-319

  Wu, Yangru ^a,b  

^a WEST VIRGINIA UNIVERSITY   (United States)

^b RUTGERS UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0031535305     PISSN: 00952583     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1465-7295.1997.tb01912.x     Document Type: Article

References (41)

1. Blanchard, Olivier. "Speculative Bubbles, Crashes and Rational Expectations." Economics Letters, March 1979, 387-89.
2. Blanchard, Olivier, and Mark W. Watson. "Bubbles, Rational Expectations and Financial Markets," in Crises in the Economic and Financial Structure, edited by Paul Wachtel. Lexington, Mass.: Lexington Books, 1982, 295-315.
3. Burmeister, Edwin, and Kent D. Wall. "Kalman Filtering Estimation of Unobserved Rational Expectations with an Application to the German Hyperinflation." Journal of Econometrics, 20(2), 1982, 255-84.
4. Campbell, John Y., and Robert J. Shiller. "Cointegration and Tests of Present Value Models." Journal of Political Economy, 95(5), 1987, 1062-88.
5. _. "The Dividend-Price Ratio and the Expectations of Future Dividends and Discount Factors." Review of Financial Studies, 1(3), 1988a, 195-228.
6. _. "Stock Prices, Earnings and Expected Dividends." Journal of Finance, July 1988b, 661-76.
7. Cecchetti, Stephen G., Pok-sang Lam, and Nelson C. Mark. "Mean Reversion in Equilibrium Asset Prices." American Economic Review, June 1990, 398-418.
8. Dezhbakhsh, H., and A. Demirguc-Kunt. "On the Presence of Speculative Bubbles in Stock Prices." Journal of Financial and Quantitative Analysis, March 1990, 101-12.
9. Diba, Behzad T., and Herschel I. Grossman. "The Theory of Rational Bubbles in Stock Prices." Economic Journal, September 1988a, 746-54.
10. _. "Explosive Rational 'Bubbles in Stock Prices?" American Economic Review, June 1988b, 520-30.
11. Dickey, David A., and Wayne A. Fuller. "Distribution of the Estimators for Autoregressive Time Series with a Unit Root." Journal of the American Statistical Association, June 1979, 427-81.
12. Evans, George E. "Pitfalls in Testing for Explosive Bubbles in Asset Prices." American Economic Review, September 1991, 922-30.
13. Flavin, Marjorie A. "Excess Volatility in Financial Markets: A Reassessment of the Empirical Evidence." Journal of Political Economy, 91(6), 1983, 929-56.
14. Flood, Robert P., and Peter M. Garber. "Market Fundamentals versus Price Level Bubbles: The First Tests." Journal of Political Economy, 88(4), 1980, 745-70.
15. Froot, Kenneth A., and Maurice Obstfeld. "Intrinsic Bubbles: The Case of Stock Prices." American Economic Review, December 1991, 1189-214.
16. Gilles, Christian, and Stephen F. LeRoy. "Bubbles and Charges." International Economic Review, May 1992, 323-39.
17. Hamilton, James D. "Uncovering Financial Market Expectations of Inflation." Journal of Political Economy, 93(6), 1985, 1224-41.
18. _. "On Testing for Self-fulfilling Speculative Price Bubbles." International Economic Review, October 1986, 545-52.
19. Hamilton, James D., and Charles H. Whiteman. "The Observable Implications of Self-Fulfilling Expectations." Journal of Monetary Economics, 16(3), 1985, 353-73.
20. Hansen, Lars P. "Large Sample Properties of Generalized Method of Moments Estimators." Econometrica, July 1982, 1029-54.
21. Ikeda, Shinsuke, and Akihisa Shibata. "Fundamentals-Dependent Bubbles in Stock Prices." Journal of Monetary Economics, 30(1), 1992, 143-68.
22. Kleidon, Allan W. "Variance Bounds Tests and Stock Price Valuation Models." Journal of Political Economy, 94(5), 1986, 953-1001.
23. LeRoy, Stephen F., and William R. Parke. "Stock Price Volatility: Tests Based on the Geometric Random Walks." American Economic Review, 82(4), 1992, 981-92.
24. LeRoy, Stephen F., and Richard D. Porter. "The Present-Value Relation: Tests Based on Implied Variance Bounds." Econometrica, May 1981, 555-74.
25. MacKinnon, J. G. "Critical Values for Cointegration Tests," in Long-run Economic Relationships: Readings in Cointegration, edited by R. F. Engle, and C. W. J. Granger. Oxford: Oxford University Press, 1990, 267-76.
26. Marsh, Terry A., and Robert C. Merton. "Dividend Variability and Variance Bounds Tests for the Rationality of Stock Market Prices." American Economic Review, June 1986, 483-98.
27. Newey, Whitney K., and Kenneth D. West. "A Simple, Positive Semidefinite, Heteroskedasticity and Auto-correlation Consistent Covariance Matrix." Econometrica, May 1987, 703-8.
28. Obstfeld, Maurice, and Kenneth Rogoff. "Speculative Hyperinflations in Maximizing Models: Can We Rule Them Out?" Journal of Political Economy, 91(4), 1983, 675-87.
29. Phillips, Peter C. B., and Pierre Perron. "Testing for a Unit Root in Time Series Regression." Biometrika, 75(2), 1988, 335-46.
30. Rappoport, Peter, and Eugene N. White. "Was There a Bubble in the 1929 Stock Market?" Journal of Economic History, September 1993, 549-74.
31. _. "The New York Stock Market in the 1920s and 1930s: Did Stock Prices Move Together Too Much?" NBER Working Paper, No. 4627, 1994.
32. Said, S. E., and David A. Dickey. "Testing for Unit Roots in Autoregressive Moving Average Models of Unknown Order." Biometrika, December 1984, 599-608.
33. Shiller, Robert J. "Rational Expectations and the Dynamic Structure of Macroeconomic Models." Journal of Monetary Economics, 4(1), 1978, 1-44.
34. _. "Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividends?" American Economic Review, June 1981, 421-36.
35. _. "Stock Prices and Social Dynamics." Brookings Papers on Economic Activity 2, 1984, 457-98.
36. Tirole, Jean. "On the Possibility of Speculation under Rational Expectations." Econometrica, September 1982, 1163-81.
37. _. "Asset Bubbles and Overlapping Generations." Econometrica, November 1985, 1499-528.
38. Weil, Philippe. "On the Possibility of Price Decreasing Bubbles." Econometrica, November 1990, 1467-74.
39. West, Kenneth D. "A Specification Test for Speculative Bubbles." Quarterly Journal of Economics, August 1987, 553-80.
40. _. "Dividend Innovations and Stock Price Volatility." Econometrica, January 1988, 37-61.
41. Wu, Yangru. "Are There Rational Bubbles in Foreign Exchange Markets?" Journal of International Money and Finance, 14(1), 1995, 27-46.