Rational Bubbles in the Korea Stock Market? Further Evidence based on Nonlinear and Nonparametric Cointegration Tests

Wen-Chi Liu () and Tsangyao Chang ()
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Wen-Chi Liu: Department of Business Administration, Da-Yeh University, Chang-Hua, Taiwan
Tsangyao Chang: Department of Finance, Feng Chia University, Taichung, Taiwan

Economics Bulletin, 2008, vol. 3, issue 34, pages 1-12

Abstract: In this study, we revisit the issue as to the presence of Rational Bubbles in the Korea stock market during the May 1996 to November 2007 period using three cointegration tests, namely JJ (Johansen and Juselius, 1990), KSS (Kapetanois et al., 2006) and BN (Bierens, 1997, 2004) approaches. The results from the conventional JJ test support the existence of rational bubbles, whereas those from both nonlinear test of KSS and nonparametric test of BN attest to the absence of rational bubbles in the Korea stock market.

Keywords: Rational Bubbles; Korea Stock Market; Nonlinear and Nonparametric Cointegration Tests (search for similar items in EconPapers)
JEL-codes: C3 G1 (search for similar items in EconPapers)
Date: 2008-06-06
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