Empirical evidence on periodically collapsing stock price bubbles

Applied Economics Letters

Volumn 11, Issue 1, 2004, Pages 61-69

  Capelle Blancard, G ^a   Raymond, H ^a  

^a UNIV LILLE   (France)

Author keywords

[No Author keywords available]

Indexed keywords

COINTEGRATION ANALYSIS; FINANCIAL MARKET; PRICE DYNAMICS; STOCK MARKET;

ASIA; CENTRAL EUROPE; EURASIA; EUROPE; FAR EAST; FRANCE; GERMANY; JAPAN; NORTH AMERICA; UNITED KINGDOM; UNITED STATES; WESTERN EUROPE;

EID: 1242344110     PISSN: 13504851     EISSN: None     Source Type: Journal    
DOI: 10.1080/1350485042000187480     Document Type: Article

References (8)

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3. Diba, B. T. and Grossman, H. T. (1987) On the inception of rational bubbles, Quarter1y Journal of Economics, 102, 697-700.
4. Engle, R. and Granger, C. W. J. (1987) Cointegration and error correction: representations, estimation and testing, Econometrica, 55, 252-76.
5. Evans, G. (1991) Pitfalls in testing for explosive bubbles in asset prices, American Economic Review, 81, 922-30.
6. Froot, K. and Obstfeld, M. (1991) Intrinsic bubbles: the case of stock prices, American Economic Review, 81, 1189-214.
7. Sarno, L. and Taylor, M. P. (1999) Moral hazard, asset price bubbles, capital flows, and the East-Asian crisis: the first tests, Journal of International Money and Finance, 18, 637-57.
8. Taylor, M. P. and Peel, D. A. (1998) Periodically collapsing stock price bubbles: a robust test, Economics Letters, 61, 221-8.