Duration dependence testing for speculative bubbles

Yvette Harman () and Thomas Zuehlke

Journal of Economics and Finance, 2004, vol. 28, issue 2, 147-154

Abstract: Prior research has employed a number of methods to test for speculative bubbles in asset prices, including a method based on the concept of duration dependence. This study explores whether duration dependence tests for speculative bubbles are sensitive to specification decisions. Our results question the efficacy of using measures of duration dependence to test for speculative bubbles. In particular, we find that evidence of duration dependence is sensitive to the method of correcting for discrete observation of continuous duration, the use of value-weighted versus equally weighted portfolios, and the use of monthly versus weekly runs of abnormal returns. (JEL C41, G12) Copyright Springer 2004

Date: 2004
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DOI: 10.1007/BF02761607

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