Arbeitspapier
Rational bubbles and fractional integration
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Diskussionsbeitrag ; No. 394
- Klassifikation
-
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
- Thema
-
Fractional integration
bubbles
changing persistence
Börsenkurs
Bubbles
Rationales Verhalten
Zeitreihenanalyse
Strukturbruch
Statistischer Test
Großbritannien
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kruse, Robinson
- Ereignis
-
Veröffentlichung
- (wer)
-
Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
- (wo)
-
Hannover
- (wann)
-
2008
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kruse, Robinson
- Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Entstanden
- 2008
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