Rational bubbles and fractional integration

Arbeitspapier

In this article we provide evidence for a rational bubble in S\&P 500 stock prices by applying a test for changing persistence under fractional integration proposed by Sibbertsen and Kruse (2007). We find strong evidence for stationary long memory before the estimated change point in 1955 and a unit root afterwards. These results bring two empirical findings in line: on one hand they confirm the previous result of fractional integration and on the other hand they support the hypothesis of a rational bubble.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Diskussionsbeitrag ; No. 394

Classification and Topics

• Classification: Wirtschaft ; Hypothesis Testing: General ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Asset Pricing; Trading Volume; Bond Interest Rates
• Subject: Fractional integration ; bubbles ; changing persistence ; Börsenkurs ; Bubbles ; Rationales Verhalten ; Zeitreihenanalyse ; Strukturbruch ; Statistischer Test ; Großbritannien

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Kruse, Robinson
• Event: Veröffentlichung
• (who): Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
• (where): Hannover
• (when): 2008

Further information

• Handle: http://hdl.handle.net/10419/27204
• Last update: 10.03.2025, 11:42 AM CET