کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
978628 | 1480198 | 2006 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Testing for rational bubbles in banking indices
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
In this paper a simple test for detecting bilinearity in a stochastic unit root process is used to test for the presence of rational bubbles in banking equity indices. The empirical evidence for a set of 39 banking indices for different countries, after adjusting for GARCH effects, suggests that for more than 69% of these indices, the hypothesis of no unit root bilinearity is rejected. Therefore, the dynamics of banking asset prices in most countries are in conformity with rational bubbles and high speculation. This is true for both developed and emerging economies.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 366, 1 July 2006, Pages 365–376
Journal: Physica A: Statistical Mechanics and its Applications - Volume 366, 1 July 2006, Pages 365–376
نویسندگان
Daniel O. Cajueiro, Benjamin M. Tabak,