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Does Rational Bubbles Exist in the Taiwan Stock Market? Evidence from a Nonparametric Cointegration Test

Author

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  • Tsangyao Chang

    (Department of Economics & Finance, Feng Chia University, Taichung, Taiwan)

  • Chi-Wei Su

    (College of Business, Feng Chia University, Taichung, Taiwan)

  • Hsiao-Ping Chu

    (Department of Commerical Technology Management, Ling Tung College, Taichung, Taiwan)

  • Hsu-Ling Chang

    (Department of Accounting, Ling Tung College, Taichung, Taiwan)

Abstract

In this study, we revisit the issue as to the presence of rational bubbles in the Taiwan stock market during the June 1991 to February 2005 period using the Bierens (1997) nonparametric cointegration tests. The results from the Bierens nonparametric cointegration test attest to the absence of rational bubbles in the Taiwan stock market.

Suggested Citation

  • Tsangyao Chang & Chi-Wei Su & Hsiao-Ping Chu & Hsu-Ling Chang, 2005. "Does Rational Bubbles Exist in the Taiwan Stock Market? Evidence from a Nonparametric Cointegration Test," Economics Bulletin, AccessEcon, vol. 3(41), pages 1-9.
    • Handle: RePEc:ebl:ecbull:eb-05c50005
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    References listed on IDEAS

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    2. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    3. Abhyankar, A & Copeland, L S & Wong, W, 1997. "Uncovering Nonlinear Structure in Real-Time Stock-Market Indexes: The S&P 500, the DAX, the Nikkei 225, and the FTSE-100," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 1-14, January.
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    5. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 33(1), pages 125-132.
    6. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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    Cited by:

    1. Ibrahim Onour, "undated". "Financial Integration of North Africa Stock Markets," API-Working Paper Series 0908, Arab Planning Institute - Kuwait, Information Center.

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    More about this item

    Keywords

    Rational Bubbles Taiwan Stock Market Nonparametric Cointegration Test;

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G2 - Financial Economics - - Financial Institutions and Services

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