[go: up one dir, main page]
create a website
Rational Bubbles in the Korea Stock Market? Further Evidence based on Nonlinear and Nonparametric Cointegration Tests. (2008). Chang, Tsangyao ; Liu, Wen-Chi .
In: Economics Bulletin.
RePEc:ebl:ecbull:eb-08c30021.

Full description at Econpapers || Download paper

Cited: 3

Citations received by this document

Cites: 27

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Testing for Multiple Bubbles in Inflation for Pakistan. (2019). Ahmed, Mumtaz ; Butt, Muhammad Danial.
    In: MPRA Paper.
    RePEc:pra:mprapa:96847.

    Full description at Econpapers || Download paper

  2. Testing for Multiple Bubbles in Inflation for Pakistan. (2019). Ahmed, Mumtaz ; Butt, Muhammad Danial.
    In: MPRA Paper.
    RePEc:pra:mprapa:96705.

    Full description at Econpapers || Download paper

  3. Which Matters the Most for the Trading Index? (Law and Order or Weather Conditions). (2011). Subhani, Muhammad ; Hasan, Syed ; Hasan, Dr. Syed Akif, ; Subhani, Dr. Muhammad Imtiaz, .
    In: MPRA Paper.
    RePEc:pra:mprapa:34736.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Abhyankar, A., L. S. Copeland, and W. Wong (1997), Uncovering Nonlinear Structure in Real Time Stock Market Indexes: The S&P 500, the DAX, the Nikkei 225, and the FTSE-100, Journal of Business and Economic Statistics, 15, 1-14.

  2. Barnett, W. A. and A. Serletis (2000), Martingales, Nonlinearity, and Chaos, Journal of Economic Dynamics and Control, 24, 703-724.

  3. Bierens, H. J. (1997), Nonparametric Cointegration Analysis, Journal of Econometrics, 77, 379-404.

  4. Bohl, M. T. (2003), Periodically Collapsing Bubbles in the US Stock Market? International Review of Economics and Finance, 12, 385-397.

  5. Campbell, J. Y. and P. Perron (1991), Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots, NBER/Macroeconomics Annual, 1991, 6, 141-201.

  6. Campbell, J. Y. and R. J. Shiller (1987), Cointegration and Tests of Present Value Models, Journal of Political Economy, 95, 1062-1088.

  7. Chang, T., C. C. Chiu, and C. C. Nieh (2007), Rational Bubbles in the US Stock Market? Further Evidence from a Nonparametric Cointegration Test, Applied Economics Letters, 14, 517-521.

  8. Crowder, W. J. and M. E. Wohar (1998), Stock Price Effects of Permanent and Transitory Shocks, Economic Inquiry, 36, 540-552.

  9. Cunado, J., L. A. Gil-Alana, and F. Perez de gracia (2005) A Test for Rational Bubbles in the NASDAQ Stock Index: A Fractionally Integrated Approach, Journal of Banking and Finance, 29, 2633-2654.

  10. Diba, B. T. and H. I.Grossman (1988), The Theory of Rational Bubbles in Stock Prices, The Economic Journal, 98, 746-754.

  11. Dickey, D. A. and W. A. Fuller (1981), Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, Econometrica,49(4),1057-1072.

  12. Engle, R. F. and C. W. J. Granger (1987), Co-integration and Error Correction: Representation, Estimation, and Testing, Econometrica, 55(2), 251-276.

  13. Froot, K. A. and M. Obstfeld (1991), Intrinsic Bubbles: The Case of Stock Prices, The American Economic Review, 81, 1189-1214.

  14. Granger, C. W. J. and T. Terasvirta (1993), Modeling Nonlinear Economic Relationships, Oxford University Press, Oxford.

  15. Hsieh, D. A. (1991), Chaos and Nonlinear Dynamic: Application to Financial Markets, The Journal of Finance, 46, 1839-1877.

  16. Johansen, S. (1988), Statistical Analysis of Cointegration Vectors, Journal of Economic Dynamics and Control, 12, 231-254.

  17. Johansen, S. and K. Juselius. (1990), Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money, Oxford Bulletin of Economics and Statistics, 52, 169-210.

  18. Kapetanios, G., Y. Shin, and A. Snell (2003), Testing for a Unit Root in the Nonlinear STAR Framework, Journal of Econometrics, 112, 359-379.

  19. Kapetanios, G., Y. Shin, and A. Snell (2006), Testing for Cointegration in Nonlinear Smooth Transition Error Correction Models, Econometric Theory, 22(2), 279-303.

  20. Kwiatkowski, D., P. C. B. Phillips, P. Schmidt, and Y. Shin (1992), Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We that Economic Time Series Have a Unit Root? Journal of Econometrics, 54, 159-178.

  21. Luukkonen, R., P. Saikkonen, and T. Terasvirta (1988), Testing Linearity against Smooth Transition Autoregressive Models, Biometrika, 75, 491-499.
    Paper not yet in RePEc: Add citation now
  22. Mokhtar, S. H., A. M. Nassir and T. Hassan (2006), Detecting Rational Speculative Bubbles in the Malaysian Stock Market, International Research Journal of Finance and Economics, 6, 102-115.
    Paper not yet in RePEc: Add citation now

  23. Nasseh, A. and J. Strauss (2004), Stock Prices and the Dividend Discount Model: Did Their Relation Break Down in the 1990s The Quarterly Review of Economics and Finance, 44, 191-207.

  24. Newey, W. K. and K. D. West (1987), A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix, Econometrica, 55, 703-708.

  25. Osterwald-Lenum, M. (1992), A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics, Oxford Bulletin of Economics and Statistics, 54, 461-472.

  26. Phillips, P. C. B. and P. Perron (1988), Testing for a Unit Root in Time Series Regression, Biometrika, 75, 335-346.
    Paper not yet in RePEc: Add citation now

  27. Timmermann, A. (1995), Cointegration Tests of Present Value Models with a Time-Varying Discount Factor, Journal of Applied Econometrics, 10, 17-31.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Efficient Market Hypothesis in South Africa: Evidence from Linear and Nonlinear Unit Root Tests. (2015). Phiri, Andrew.
    In: Managing Global Transitions.
    RePEc:mgt:youmgt:v:13:y:2015:i:4:p:369-387.

    Full description at Econpapers || Download paper

  2. Chaotic Structure of the BRIC Countries and Turkey’s Stock Market. (2015). Gunay, Samet.
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2015-02-24.

    Full description at Econpapers || Download paper

  3. Nonlinear volatility models in economics: smooth transition and neural network augmented GARCH, APGARCH, FIGARCH and FIAPGARCH models. (2012). Ersin, Özgür ; Bildirici, Melike.
    In: MPRA Paper.
    RePEc:pra:mprapa:40330.

    Full description at Econpapers || Download paper

  4. MARTINGALES, NONLINEARITY, AND CHAOS. (2012). Serletis, Apostolos ; Barnett, William.
    In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
    RePEc:kan:wpaper:201225.

    Full description at Econpapers || Download paper

  5. NONLINEAR AND COMPLEX DYNAMICS IN ECONOMICS. (2012). Serletis, Apostolos ; Barnett, William ; Medio, Alfredo .
    In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
    RePEc:kan:wpaper:201223.

    Full description at Econpapers || Download paper

  6. Chaotic Time Series Analysis in Economics: Balance and Perspectives. (2011). Faggini, Marisa.
    In: Working papers.
    RePEc:tur:wpaper:25.

    Full description at Econpapers || Download paper

  7. Nonlinear Dynamics of the Russian Stock Market in Problems of Risk Management. (2011). Borusyak, K..
    In: Journal of the New Economic Association.
    RePEc:nea:journl:y:2011:i:11:p:85-105.

    Full description at Econpapers || Download paper

  8. A search for long-range dependence and chaotic structure in Indian stock market. (2011). Bhanumurthy, N R ; Mishra, Ritesh ; Sehgal, Sanjay.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:20:y:2011:i:2:p:96-104.

    Full description at Econpapers || Download paper

  9. Recurrence quantification analysis of global stock markets. (2011). Caiado, Jorge ; Bastos, João.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:390:y:2011:i:7:p:1315-1325.

    Full description at Econpapers || Download paper

  10. Of Copulas, Quantiles, Ranks and Spectra - An L1-Approach to Spectral Analysis. (2011). Hallin, Marc ; Dette, Holger ; Kley, Tobias ; Volgushev, Stanislav.
    In: Working Papers ECARES.
    RePEc:eca:wpaper:2013/104763.

    Full description at Econpapers || Download paper

  11. Testing for Neglected Nonlinearity in Weekly Foreign Exchange Rates. (2011). Sadique, Shibley M..
    In: Review of Economics & Finance.
    RePEc:bap:journl:110306.

    Full description at Econpapers || Download paper

  12. Financial Integration of North Africa Stock Markets. (2009). Onour, Ibrahim.
    In: MPRA Paper.
    RePEc:pra:mprapa:14938.

    Full description at Econpapers || Download paper

  13. Is Malaysian Stock Market Efficient? Evidence from Threshold Unit Root Tests. (2009). Munir, Qaiser ; Mansur, Kasim.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-09-00250.

    Full description at Econpapers || Download paper

  14. Is There Any International Diversification Benefits in ASEAN Stock Markets?. (2009). Liew, Venus ; Lim, Kian-Ping ; Lee, Hock-Ann.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-08f30074.

    Full description at Econpapers || Download paper

  15. Financial Integration of North Africa Stock Markets. (2009). Onour, Ibrahim.
    In: API-Working Paper Series.
    RePEc:api:apiwps:0908.

    Full description at Econpapers || Download paper

  16. Random walk and breaking trend in financial series: An econometric critique of unit root tests. (2008). Saadi, Samir ; Rahman, Abdul.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:17:y:2008:i:3:p:204-212.

    Full description at Econpapers || Download paper

  17. A dynamic factor approach to nonlinear stability analysis. (2008). Shintani, Mototsugu.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:32:y:2008:i:9:p:2788-2808.

    Full description at Econpapers || Download paper

  18. Non-stationarity and Non-linearity in Stock Prices: Evidence from the OECD Countries. (2008). Chen, Shyh-Wei.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:3:y:2008:i:11:p:1-11.

    Full description at Econpapers || Download paper

  19. Rational Bubbles in the Korea Stock Market? Further Evidence based on Nonlinear and Nonparametric Cointegration Tests. (2008). Chang, Tsangyao ; Liu, Wen-Chi .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-08c30021.

    Full description at Econpapers || Download paper

  20. Non-stationarity and Non-linearity in Stock Prices: Evidence from the OECD Countries. (2008). Chen, Shyh-Wei.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-08c20012.

    Full description at Econpapers || Download paper

  21. A Nonparametric Variance-Ratio Test of the Behavior of U.K. Real Estate and Construction Indices. (2007). Belaire-Franch, Jorge ; Webb, James R. ; McGreal, Stanley ; Opong, Kwaku K..
    In: International Real Estate Review.
    RePEc:ire:issued:v:10:n:02:2007:p:94-112.

    Full description at Econpapers || Download paper

  22. Convergencia y Estabilidad de los Tipos de Cambio Europeos: Una Aplicación de Exponentes de Lyapunov. (2007). Mateos de Cabo, Ruth ; Gimeno, Ricardo ; Olmedo, Elena ; Escot, Lorenzo .
    In: Latin American Journal of Economics-formerly Cuadernos de Economía.
    RePEc:ioe:cuadec:v:44:y:2007:i:129:p:91-108.

    Full description at Econpapers || Download paper

  23. Asymmetric temporary and permanent stock-price innovations. (2007). Shively, Philip A..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:1:p:120-130.

    Full description at Econpapers || Download paper

  24. Stock Prices and Dividends in Taiwans Stock Market: Evidence Based on Time-Varying Present Value Model. (2007). Su, Chi-Wei ; Chen, Yahn-Shir ; Chang, Hsu-Ling.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:7:y:2007:i:4:p:1-12.

    Full description at Econpapers || Download paper

  25. Stock Prices and Dividends in Taiwans Stock Market: Evidence Based on Time-Varying Present Value Model. (2007). Su, Chi-Wei ; Chen, Yahn-Shir ; Chang, Hsu-Ling.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-07g10003.

    Full description at Econpapers || Download paper

  26. Direction-of-Change Forecasting using a Volatility- Based Recurrent Neural Network. (2006). Georgoutsos, Dimitris ; Bekiros, Stelios.
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:06-16.

    Full description at Econpapers || Download paper

  27. Are the Australian and New Zealand stock prices nonlinear with a unit root?. (2005). Narayan, Paresh.
    In: Applied Economics.
    RePEc:taf:applec:v:37:y:2005:i:18:p:2161-2166.

    Full description at Econpapers || Download paper

  28. A Variance Ratio Test of the Behaviour of Some FTSE Equity Indices Using Ranks and Signs. (2005). Belaire-Franch, Jorge ; Opong, Kwaku.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:24:y:2005:i:1:p:93-107.

    Full description at Econpapers || Download paper

  29. Does Rational Bubbles Exist in the Taiwan Stock Market? Evidence from a Nonparametric Cointegration Test. (2005). Su, Chi-Wei ; Chang, Tsangyao ; Chu, Hsiao-Ping .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:3:y:2005:i:41:p:1-9.

    Full description at Econpapers || Download paper

  30. Does Rational Bubbles Exist in the Taiwan Stock Market? Evidence from a Nonparametric Cointegration Test. (2005). Chang, Tsangyao ; Su, Chi-Wei ; Chu, Hsiao-Ping .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-05c50005.

    Full description at Econpapers || Download paper

  31. Sources of Industry and Country Effects in Firm Level Returns. (2004). Phylaktis, Kate ; Xia, Lichuan .
    In: Money Macro and Finance (MMF) Research Group Conference 2004.
    RePEc:mmf:mmfc04:10.

    Full description at Econpapers || Download paper

  32. A Dynamic Factor Approach to Nonlinear Stability Analysis. (2004). Shintani, Mototsugu.
    In: Levine's Bibliography.
    RePEc:cla:levrem:122247000000000621.

    Full description at Econpapers || Download paper

  33. Weak-form Efficient Market Hypothesis, Behavioural Finance and Episodic Transient Dependencies: The Case of the Kuala Lumpur Stock Exchange. (2003). Liew, Venus ; Lim, Kian-Ping ; Wong, Hock-Tsen.
    In: Finance.
    RePEc:wpa:wuwpfi:0312012.

    Full description at Econpapers || Download paper

  34. International Diversification Benefits in ASEAN Stock Markets: a Revisit. (2003). Liew, Venus ; Lim, Kian-Ping ; Lee, Hock-Ann.
    In: Finance.
    RePEc:wpa:wuwpfi:0308003.

    Full description at Econpapers || Download paper

  35. Testing for Non-Linearity in ASEAN Financial Markets. (2003). Liew, Venus ; Lim, Kian-Ping.
    In: Finance.
    RePEc:wpa:wuwpfi:0308002.

    Full description at Econpapers || Download paper

  36. Are Non-Linear Dynamics a Universal Occurrence? Further Evidence From Asian Stock Markets. (2003). Liew, Venus ; Lim, Kian-Ping ; Habibullah, Muzafar Shah ; Azali, M..
    In: Finance.
    RePEc:wpa:wuwpfi:0308001.

    Full description at Econpapers || Download paper

  37. The Role of Intra-Day and Inter-Day Data Effects in Determining Linear and Nonlinear Granger Causality Between Australian Futures and Cash Index Markets. (2003). Peat, Maurice ; Eldridge, R. M. ; Stevenson, Max .
    In: Working Paper Series.
    RePEc:uts:wpaper:122.

    Full description at Econpapers || Download paper

  38. Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos. (2003). Shintani, Mototsugu ; LINTON, OLIVER.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:2097.

    Full description at Econpapers || Download paper

  39. The nonlinear dynamics of stock prices. (2003). Shively, Philip A..
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:43:y:2003:i:3:p:505-517.

    Full description at Econpapers || Download paper

  40. Explaining movements in UK stock prices:. (2003). Sensier, Marianne ; Osborn, Denise ; Aslanidis, Nektarios.
    In: Working Papers.
    RePEc:crt:wpaper:0302.

    Full description at Econpapers || Download paper

  41. Nonparametric neutral network estimation of lyapunov exponents and a direct test for chaos. (2002). Shintani, Mototsugu ; LINTON, OLIVER.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:58170.

    Full description at Econpapers || Download paper

  42. Nonparametric neural network estimation of Lyapunov exponents and a direct test for chaos. (2002). Shintani, Mototsugu ; LINTON, OLIVER.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:2093.

    Full description at Econpapers || Download paper

  43. The dual contributions of information instruments in return models: magnitude and direction predictability. (2002). Korkie, Bob ; Sivakumar, Ranjini ; Turtle, Harry .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:9:y:2002:i:5:p:511-523.

    Full description at Econpapers || Download paper

  44. Entropy and predictability of stock market returns. (2002). Racine, Jeffrey ; Maasoumi, Esfandiar.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:107:y:2002:i:1-2:p:291-312.

    Full description at Econpapers || Download paper

  45. Chaotic behavior in national stock market indices: New evidence from the close returns test. (2001). McKenzie, Michael D..
    In: Global Finance Journal.
    RePEc:eee:glofin:v:12:y:2001:i:1:p:35-53.

    Full description at Econpapers || Download paper

  46. Linear and nonlinear dependence in Turkish equity returns and its consequences for financial risk management. (2001). KÜÇÜKÖZMEN, CUMHUR ; Harris, Richard ; Harris, Richard D. F., .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:134:y:2001:i:3:p:481-492.

    Full description at Econpapers || Download paper

  47. Martingales, nonlinearity, and chaos. (2000). Serletis, Apostolos ; Barnett, William.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:24:y:2000:i:5-7:p:703-724.

    Full description at Econpapers || Download paper

  48. Martingales, Nonlinearity, and Chaos. (1998). Serletis, Apostolos ; Barnett, William.
    In: Econometrics.
    RePEc:wpa:wuwpem:9805003.

    Full description at Econpapers || Download paper

  49. Tick size, the compass rose and market nanostructure. (1998). Szpiro, George G..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:22:y:1998:i:12:p:1559-1569.

    Full description at Econpapers || Download paper

  50. Nonlinear and Complex Dynamics in Economics. (1997). Serletis, Apostolos ; Medio, Alfredo ; Barnett, William.
    In: Econometrics.
    RePEc:wpa:wuwpem:9709001.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-21 09:40:18 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.