Please use this identifier to cite or link to this item: https://repositorio.ucb.br:9443/jspui/handle/123456789/7391
Type: Artigo
Title: Testing for rational bubbles in banking indices
Authors: Cajueiro, Daniel Oliveira
Tabak, Benjamin Miranda
Abstract: 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.
Keywords: Bilinear unit root
GARCH
Rational bubbles
Emerging markets
Citation: TABAK, Benjamin Miranda; CAJUEIRO, Daniel Oliveira. Testing for Rational Bubbles in banking indices. Physica. A , v. 366, p. 365-376, 2006.
Access Type: Acesso Aberto
URI: http://twingo.ucb.br:8080/jspui/handle/10869/355
https://repositorio.ucb.br:9443/jspui/handle/123456789/7391
Document date: 2006
Appears in Collections:PPG - Revistas e Artigos Científicos

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