A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach
In this paper we test for the presence of rational bubbles in the NASDAQ stock market index over the period 1994:06–2003:11 by means of a methodology based on fractional processes. The results suggest that the existence of bubbles depends on the sampling frequency used in the analysis. We cannot rej...
Gespeichert in:
| Veröffentlicht in: | Journal of banking & finance 2005-10, Vol.29 (10), p.2633-2654 |
|---|---|
| Hauptverfasser: | , , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 2654 |
|---|---|
| container_issue | 10 |
| container_start_page | 2633 |
| container_title | Journal of banking & finance |
| container_volume | 29 |
| creator | Cuñado, J. Gil-Alana, L.A. de Gracia, F. Perez |
| description | In this paper we test for the presence of rational bubbles in the NASDAQ stock market index over the period 1994:06–2003:11 by means of a methodology based on fractional processes. The results suggest that the existence of bubbles depends on the sampling frequency used in the analysis. We cannot reject the unit root hypothesis when using monthly data on price–dividend ratios, which according to the present value model suggests the existence of rational bubbles. However, we reject this hypothesis in favor of fractional alternatives when using daily and weekly data. This might be explained by the temporal aggregation and/or the sample sizes used in the application. |
| doi_str_mv | 10.1016/j.jbankfin.2004.10.003 |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_miscellaneous_38224730</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><els_id>S0378426604002481</els_id><sourcerecordid>882221771</sourcerecordid><originalsourceid>FETCH-LOGICAL-c525t-25f59f22d983d63bae444a8724c3f4ac3db3c277ecd58262076801dfa60d24683</originalsourceid><addsrcrecordid>eNqFUE2P1SAUbYwmPkf_giEu3PUNBQqtK5vxY0xGjVEXrgiFi49OX1uBN_H9e29TdeFGErjk5JzD4RTF04ruK1rJy2E_9Ga69WHaM0oFgntK-b1iVzWKlZIrdr_YUa6aUjApHxaPUhoorqbiu-JbRzKkTPwcSTQ5zJMZSX_q-xESCRPJByAfus-vuk8k5dneIubg5wvSER-N3fjjGdEM31EPjphlibOxh8fFA2_GBE9-z4vi65vXX66uy5uPb99ddTelrVmdS1b7uvWMubbhTvLegBDCYHJhuRfGctdzy5QC6-qGSUaVbGjlvJHUMSEbflE833zx2R8n_Is-hmRhHM0E8ylp3jAmFKdIfPYPcZhPEfMnXbWipW2tFJLkRrJxTimC10sMRxPPuqJ6rVsP-k_deq17xbFuFL7fhBEWsH9VADD0yDX6TnPDWjzO64XSGkfAjXpulhWTnGsma6EP-Yh-Lzc_wO7uAkSdbIDJggsRbNZuDv-L9AvqC6Ro</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>194909577</pqid></control><display><type>article</type><title>A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach</title><source>RePEc</source><source>Elsevier ScienceDirect Journals Complete</source><creator>Cuñado, J. ; Gil-Alana, L.A. ; de Gracia, F. Perez</creator><creatorcontrib>Cuñado, J. ; Gil-Alana, L.A. ; de Gracia, F. Perez</creatorcontrib><description>In this paper we test for the presence of rational bubbles in the NASDAQ stock market index over the period 1994:06–2003:11 by means of a methodology based on fractional processes. The results suggest that the existence of bubbles depends on the sampling frequency used in the analysis. We cannot reject the unit root hypothesis when using monthly data on price–dividend ratios, which according to the present value model suggests the existence of rational bubbles. However, we reject this hypothesis in favor of fractional alternatives when using daily and weekly data. This might be explained by the temporal aggregation and/or the sample sizes used in the application.</description><identifier>ISSN: 0378-4266</identifier><identifier>EISSN: 1872-6372</identifier><identifier>DOI: 10.1016/j.jbankfin.2004.10.003</identifier><identifier>CODEN: JBFIDO</identifier><language>eng</language><publisher>Amsterdam: Elsevier B.V</publisher><subject>Data analysis ; Econometrics ; Economic behaviour ; Empirical tests ; Financial analysis ; Financial research ; Fractional integration ; Hypotheses ; Indexes ; Market analysis ; Mean reversion ; NASDAQ ; Securities markets ; Stock exchange ; Stock market bubbles ; Studies</subject><ispartof>Journal of banking & finance, 2005-10, Vol.29 (10), p.2633-2654</ispartof><rights>2004 Elsevier B.V.</rights><rights>Copyright Elsevier Sequoia S.A. Oct 2005</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c525t-25f59f22d983d63bae444a8724c3f4ac3db3c277ecd58262076801dfa60d24683</citedby><cites>FETCH-LOGICAL-c525t-25f59f22d983d63bae444a8724c3f4ac3db3c277ecd58262076801dfa60d24683</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://dx.doi.org/10.1016/j.jbankfin.2004.10.003$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>314,780,784,3550,4008,27924,27925,45995</link.rule.ids><backlink>$$Uhttp://econpapers.repec.org/article/eeejbfina/v_3a29_3ay_3a2005_3ai_3a10_3ap_3a2633-2654.htm$$DView record in RePEc$$Hfree_for_read</backlink></links><search><creatorcontrib>Cuñado, J.</creatorcontrib><creatorcontrib>Gil-Alana, L.A.</creatorcontrib><creatorcontrib>de Gracia, F. Perez</creatorcontrib><title>A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach</title><title>Journal of banking & finance</title><description>In this paper we test for the presence of rational bubbles in the NASDAQ stock market index over the period 1994:06–2003:11 by means of a methodology based on fractional processes. The results suggest that the existence of bubbles depends on the sampling frequency used in the analysis. We cannot reject the unit root hypothesis when using monthly data on price–dividend ratios, which according to the present value model suggests the existence of rational bubbles. However, we reject this hypothesis in favor of fractional alternatives when using daily and weekly data. This might be explained by the temporal aggregation and/or the sample sizes used in the application.</description><subject>Data analysis</subject><subject>Econometrics</subject><subject>Economic behaviour</subject><subject>Empirical tests</subject><subject>Financial analysis</subject><subject>Financial research</subject><subject>Fractional integration</subject><subject>Hypotheses</subject><subject>Indexes</subject><subject>Market analysis</subject><subject>Mean reversion</subject><subject>NASDAQ</subject><subject>Securities markets</subject><subject>Stock exchange</subject><subject>Stock market bubbles</subject><subject>Studies</subject><issn>0378-4266</issn><issn>1872-6372</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2005</creationdate><recordtype>article</recordtype><sourceid>X2L</sourceid><recordid>eNqFUE2P1SAUbYwmPkf_giEu3PUNBQqtK5vxY0xGjVEXrgiFi49OX1uBN_H9e29TdeFGErjk5JzD4RTF04ruK1rJy2E_9Ga69WHaM0oFgntK-b1iVzWKlZIrdr_YUa6aUjApHxaPUhoorqbiu-JbRzKkTPwcSTQ5zJMZSX_q-xESCRPJByAfus-vuk8k5dneIubg5wvSER-N3fjjGdEM31EPjphlibOxh8fFA2_GBE9-z4vi65vXX66uy5uPb99ddTelrVmdS1b7uvWMubbhTvLegBDCYHJhuRfGctdzy5QC6-qGSUaVbGjlvJHUMSEbflE833zx2R8n_Is-hmRhHM0E8ylp3jAmFKdIfPYPcZhPEfMnXbWipW2tFJLkRrJxTimC10sMRxPPuqJ6rVsP-k_deq17xbFuFL7fhBEWsH9VADD0yDX6TnPDWjzO64XSGkfAjXpulhWTnGsma6EP-Yh-Lzc_wO7uAkSdbIDJggsRbNZuDv-L9AvqC6Ro</recordid><startdate>20051001</startdate><enddate>20051001</enddate><creator>Cuñado, J.</creator><creator>Gil-Alana, L.A.</creator><creator>de Gracia, F. Perez</creator><general>Elsevier B.V</general><general>Elsevier</general><general>Elsevier Sequoia S.A</general><scope>DKI</scope><scope>X2L</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>20051001</creationdate><title>A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach</title><author>Cuñado, J. ; Gil-Alana, L.A. ; de Gracia, F. Perez</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c525t-25f59f22d983d63bae444a8724c3f4ac3db3c277ecd58262076801dfa60d24683</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2005</creationdate><topic>Data analysis</topic><topic>Econometrics</topic><topic>Economic behaviour</topic><topic>Empirical tests</topic><topic>Financial analysis</topic><topic>Financial research</topic><topic>Fractional integration</topic><topic>Hypotheses</topic><topic>Indexes</topic><topic>Market analysis</topic><topic>Mean reversion</topic><topic>NASDAQ</topic><topic>Securities markets</topic><topic>Stock exchange</topic><topic>Stock market bubbles</topic><topic>Studies</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Cuñado, J.</creatorcontrib><creatorcontrib>Gil-Alana, L.A.</creatorcontrib><creatorcontrib>de Gracia, F. Perez</creatorcontrib><collection>RePEc IDEAS</collection><collection>RePEc</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Journal of banking & finance</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Cuñado, J.</au><au>Gil-Alana, L.A.</au><au>de Gracia, F. Perez</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach</atitle><jtitle>Journal of banking & finance</jtitle><date>2005-10-01</date><risdate>2005</risdate><volume>29</volume><issue>10</issue><spage>2633</spage><epage>2654</epage><pages>2633-2654</pages><issn>0378-4266</issn><eissn>1872-6372</eissn><coden>JBFIDO</coden><abstract>In this paper we test for the presence of rational bubbles in the NASDAQ stock market index over the period 1994:06–2003:11 by means of a methodology based on fractional processes. The results suggest that the existence of bubbles depends on the sampling frequency used in the analysis. We cannot reject the unit root hypothesis when using monthly data on price–dividend ratios, which according to the present value model suggests the existence of rational bubbles. However, we reject this hypothesis in favor of fractional alternatives when using daily and weekly data. This might be explained by the temporal aggregation and/or the sample sizes used in the application.</abstract><cop>Amsterdam</cop><pub>Elsevier B.V</pub><doi>10.1016/j.jbankfin.2004.10.003</doi><tpages>22</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0378-4266 |
| ispartof | Journal of banking & finance, 2005-10, Vol.29 (10), p.2633-2654 |
| issn | 0378-4266 1872-6372 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_38224730 |
| source | RePEc; Elsevier ScienceDirect Journals Complete |
| subjects | Data analysis Econometrics Economic behaviour Empirical tests Financial analysis Financial research Fractional integration Hypotheses Indexes Market analysis Mean reversion NASDAQ Securities markets Stock exchange Stock market bubbles Studies |
| title | A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2025-01-05T00%3A21%3A44IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=A%20test%20for%20rational%20bubbles%20in%20the%20NASDAQ%20stock%20index:%20A%20fractionally%20integrated%20approach&rft.jtitle=Journal%20of%20banking%20&%20finance&rft.au=Cu%C3%B1ado,%20J.&rft.date=2005-10-01&rft.volume=29&rft.issue=10&rft.spage=2633&rft.epage=2654&rft.pages=2633-2654&rft.issn=0378-4266&rft.eissn=1872-6372&rft.coden=JBFIDO&rft_id=info:doi/10.1016/j.jbankfin.2004.10.003&rft_dat=%3Cproquest_cross%3E882221771%3C/proquest_cross%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=194909577&rft_id=info:pmid/&rft_els_id=S0378426604002481&rfr_iscdi=true |