$A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach$

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...

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Veröffentlicht in:	Journal of banking & finance 2005-10, Vol.29 (10), p.2633-2654
Hauptverfasser:	Cuñado, J., Gil-Alana, L.A., de Gracia, F. Perez
Format:	Artikel
Sprache:	eng
Schlagworte:	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
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