Tests of Rational Bubbles Using Cointegration Theory
Publication Type
Journal Article
Publication Date
1991
Abstract
This paper provides results of tests of cointegration of stock price and stock dividend payments. Taking into account the problems of nuisance parameters and size distortion in the test statistics used in these tests, we find evidence that stock price and stock dividends are not cointegrated. More specifically, we have not ruled out the presence of rational bubbles.
Discipline
Finance and Financial Management | Management Sciences and Quantitative Methods
Research Areas
Finance
Publication
Applied Financial Economics
Volume
1
Issue
2
First Page
85
Last Page
87
ISSN
0960-3107
Identifier
10.1080/759368491
Publisher
Taylor and Francis
Citation
LIM, Kian Guan and PHOON, Kok Fai.
Tests of Rational Bubbles Using Cointegration Theory. (1991). Applied Financial Economics. 1, (2), 85-87.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/1499
Additional URL
https://doi.org/10.1080/759368491