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Periodically collapsing stock price bubbles: a robust test

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Cited by:

  1. Refet S. Gürkaynak, 2008. "Econometric Tests Of Asset Price Bubbles: Taking Stock," Journal of Economic Surveys, Wiley Blackwell, vol. 22(1), pages 166-186, February.
  2. Maximilian Brauers & Matthias Thomas & Joachim Zietz, 2014. "Are There Rational Bubbles in REITs? New Evidence from a Complex Systems Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 49(2), pages 165-184, August.
  3. Michael Frömmel & Robinson Kruse, 2012. "Testing for a rational bubble under long memory," Quantitative Finance, Taylor & Francis Journals, vol. 12(11), pages 1723-1732, November.
  4. Jahan-Parvar, Mohammad R. & Waters, George A., 2010. "Equity price bubbles in the Middle Eastern and North African Financial markets," Emerging Markets Review, Elsevier, vol. 11(1), pages 39-48, March.
  5. George A. Waters & Thuy Bui, 2022. "An empirical test for bubbles in cryptocurrency markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 46(1), pages 207-219, January.
  6. Paulo M.M. Rodrigues & Rita Fradique Lourenço, 2015. "House prices: bubbles, exuberance or something else? Evidence from euro area countries," Working Papers w201517, Banco de Portugal, Economics and Research Department.
  7. Tsangyao Chang & Chi-Chen Chiu & Chien-Chung Nieh, 2007. "Rational bubbles in the US stock market? Further evidence from a nonparametric cointegration test," Applied Economics Letters, Taylor & Francis Journals, vol. 14(7), pages 517-521.
  8. Nguyen, Quynh Nhu & Waters, George A., 2022. "Detecting periodically collapsing bubbles in the S&P 500," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 83-91.
  9. M. Kabir Hassan & Jung Suk-Yu, 2007. "Rational Speculative Bubbles: An Empirical Investigation of the Middle East and North African Stock Markets," NFI Working Papers 2007-WP-31, Indiana State University, Scott College of Business, Networks Financial Institute.
  10. James Payne & George Waters, 2007. "Have Equity REITs Experienced Periodically Collapsing Bubbles?," The Journal of Real Estate Finance and Economics, Springer, vol. 34(2), pages 207-224, February.
  11. Jalan, Akanksha & Matkovskyy, Roman & Potì, Valerio, 2022. "Shall the winning last? A study of recent bubbles and persistence," Finance Research Letters, Elsevier, vol. 45(C).
  12. Catherine Araujo Bonjean & Catherine Simonet, 2016. "Are grain markets in Niger driven by speculation?," Oxford Economic Papers, Oxford University Press, vol. 68(3), pages 714-735.
  13. Berhan ÇOBAN & Esin FİRUZAN, 2019. "Convergence and Cointegration Analysis under Structural Breaks: Application of Turkey Tourism Markets," Sosyoekonomi Journal, Sosyoekonomi Society, issue 27(39).
  14. Waters, George A., 2008. "Unit root testing for bubbles: A resurrection?," Economics Letters, Elsevier, vol. 101(3), pages 279-281, December.
  15. Chen, Shyh-Wei & Hsu, Chi-Sheng & Xie, Zixong, 2016. "Are there periodically collapsing bubbles in the stock markets? New international evidence," Economic Modelling, Elsevier, vol. 52(PB), pages 442-451.
  16. Michael Berlemann & Julia Freese & Sven Knoth, 2012. "Eyes Wide Shut? The U.S. House Market Bubble through the Lense of Statistical Process Control," CESifo Working Paper Series 3962, CESifo.
  17. Gaia Garino & Lucio Sarno, 2004. "Speculative Bubbles in U.K. House Prices: Some New Evidence," Southern Economic Journal, John Wiley & Sons, vol. 70(4), pages 777-795, April.
  18. Gallagher, Liam A. & Taylor, Mark P., 2000. "Measuring the temporary component of stock prices: robust multivariate analysis," Economics Letters, Elsevier, vol. 67(2), pages 193-200, May.
  19. Andrea J. Heuson & Mark C. Hutchinson & Alok Kumar, 2020. "Predicting hedge fund performance when fund returns are skewed," Financial Management, Financial Management Association International, vol. 49(4), pages 877-896, December.
  20. Keith Anderson & Chris Brooks & Sotiris Tsolacos, 2011. "Testing for Periodically Collapsing Rational Speculative Bubbles in U.S. REITs," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 17(3), pages 227-241, January.
  21. Jose Eduardo de A. Ferreira, 2006. "Periodically Collapsing Rational Bubbles in Exchange Rates: A Markov-Switching Analysis for a Sample of Industrialised Markets," Studies in Economics 0604, School of Economics, University of Kent.
  22. Xie, Zixiong & Chen, Shyh-Wei & Wu, An-Chi, 2019. "Asymmetric adjustment, non-linearity and housing price bubbles: New international evidence," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).
  23. Chen, Shyh-Wei & Xie, Zixiong, 2017. "Asymmetric adjustment and smooth breaks in dividend yields: Evidence from international stock markets," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 339-354.
  24. Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2015. "Cointegration of the prices of gold and silver: RALS-based evidence," Finance Research Letters, Elsevier, vol. 15(C), pages 133-137.
  25. Yoon, Gawon, 2012. "Some properties of periodically collapsing bubbles," Economic Modelling, Elsevier, vol. 29(2), pages 299-302.
  26. Bohl, Martin T., 2003. "Periodically collapsing bubbles in the US stock market?," International Review of Economics & Finance, Elsevier, vol. 12(3), pages 385-397.
  27. Kucher, Oleg & McCoskey, Suzanne, 2017. "The long-run relationship between precious metal prices and the business cycle," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 263-275.
  28. Herrera, Santiago & Perry, Guillermo, 2001. "Tropical bubbles : asset prices in Latin America, 1980-2001," Policy Research Working Paper Series 2724, The World Bank.
  29. Ahmad, Mahyudin, 2012. "Duration dependence test for rational speculative bubble: the strength and weakness," MPRA Paper 42156, University Library of Munich, Germany.
  30. Sarno, Lucio & Taylor, Mark P., 1999. "Moral hazard, asset price bubbles, capital flows, and the East Asian crisis:: the first tests," Journal of International Money and Finance, Elsevier, vol. 18(4), pages 637-657, August.
  31. Xie, Zixiong & Chen, Shyh-Wei, 2015. "Are there periodically collapsing bubbles in the REIT markets? New evidence from the US," Research in International Business and Finance, Elsevier, vol. 33(C), pages 17-31.
  32. Hassan, Mohammad Kabir & Yu, Jung-Suk & Rashid, Mamunur, 2015. "Rational Speculative Bubbles in the Frontier Emerging Stock Markets," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 49(2), pages 27-38.
  33. Gökhan Konat & Fatma Zeren, 2021. "Is Real Gross Domestic Product (GDP) Series Stationary in EU Countries? Evidence from the RALS-CIPS Test," Economics Bulletin, AccessEcon, vol. 41(3), pages 1813-1825.
  34. Nunes, Maurício Simiano & da Silva, Sérgio, 2009. "Bolhas Racionais no Índice Bovespa," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 63(2), June.
  35. G. Capelle-Blancard & H. Raymond, 2004. "Empirical evidence on periodically collapsing stock price bubbles," Applied Economics Letters, Taylor & Francis Journals, vol. 11(1), pages 61-69.
  36. Renatas Kizys & Christian Pierdzioch, 2013. "A note on decoupling, recoupling and speculative bubble: some empirical evidence for Latin America," Applied Financial Economics, Taylor & Francis Journals, vol. 23(13), pages 1057-1065, July.
  37. Gilbert V. Nartea & Muhammad A. Cheema & Kenneth R. Szulczyk, 2017. "Searching for rational bubble footprints in the Singaporean and Indonesian stock markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(3), pages 529-552, July.
  38. Catherine Araujo Bonjean & Catherine Simonet, 2012. "Are grain markets in Niger driven by speculation?," CERDI Working papers halshs-00626409, HAL.
  39. Tsangyao Chang & Ming Jing Yang & Chien-Chung Nieh & Chi-Chen Chiu, 2008. "Nonlinear short-run adjustments in US stock market returns," Applied Financial Economics, Taylor & Francis Journals, vol. 18(13), pages 1075-1083.
  40. Vijay Kumar Vishwakarma & Ohannes George Paskelian, 2012. "Bubble In The Indian Real Estate Markets: Identification Using Regime-Switching Methodology," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(3), pages 27-40.
  41. George A. Waters & James E. Payne, 2007. "REIT markets and rational speculative bubbles: an empirical investigation," Applied Financial Economics, Taylor & Francis Journals, vol. 17(9), pages 747-753.
  42. Mohammad Ali Mani & Davood Zahedi, 2008. "Bubbles in Tehran Stock Exchange," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 13(2), pages 143-155, fall.
  43. Tran, Thi Bich Ngoc, 2017. "Speculative bubbles in emerging stock markets and macroeconomic factors: A new empirical evidence for Asia and Latin America," Research in International Business and Finance, Elsevier, vol. 42(C), pages 454-467.
  44. Jung-Suk Yu & Kabir Hassan, 2008. "Rational Speculative Bubbles: An Empirical Investigation of the Middle East and North African (MENA) Stock Markets," Working Papers 388, Economic Research Forum, revised 01 Jan 2008.
  45. L. Sarno & M. P. Taylor, 2003. "An empirical investigation of asset price bubbles in Latin American emerging financial markets," Applied Financial Economics, Taylor & Francis Journals, vol. 13(9), pages 635-643.
  46. Hing Chan & Kai Woo, 2006. "Bubbles detection for inter-war European hyperinflation: A threshold cointegration approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 30(2), pages 169-185, June.
  47. Jung‐Suk Yu & M. Kabir Hassan, 2010. "Rational speculative bubbles in MENA stock markets," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 27(3), pages 247-264, August.
  48. Christian Pierdzioch & Renatas Kizys, 2013. "On the Linkages of the Stock Markets of the NAFTA Countries: Fundamentals or Speculative Bubbles?," International Economic Journal, Taylor & Francis Journals, vol. 27(3), pages 415-440, September.
  49. Mercedes Alda & Luis Ferruz, 2012. "Linear and nonlinear financial time series: evidence in a sample of pension funds in Spain and the United Kingdom," Applied Economics Letters, Taylor & Francis Journals, vol. 19(18), pages 1933-1937, December.
  50. Michael Berlemann & Julia Freese & Sven Knoth, 2020. "Dating the start of the US house price bubble: an application of statistical process control," Empirical Economics, Springer, vol. 58(5), pages 2287-2307, May.
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