Does Rational Bubbles Exist in the Taiwan Stock Market? Evidence from a Nonparametric Cointegration Test

In this study, we revisit the issue as to the presence of rational bubbles in the Taiwan stock market during the June 1991 to February 2005 period using the Bierens (1997) nonparametric cointegration tests. The results from the Bierens nonparametric cointegration test attest to the absence of rational bubbles in the Taiwan stock market.

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Year of publication:	2005-08-29
Authors:	Chang, Tsangyao ; Su, Chi-Wei ; Chu, Hsiao-Ping ; Chang, Hsu-Ling
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 3.2005, 41, p. 1-9
Publisher:	AccessEcon
Keywords:	Rational Bubbles Taiwan Stock Market Nonparametric Cointegration Test

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Extent:	application/pdf
Type of publication:	Article
Classification:	C5 - Econometric Modeling ; G2 - Financial Institutions and Services
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010835814