Does Rational Bubbles Exist in the Taiwan Stock Market? Evidence from a Nonparametric Cointegration Test

Tsangyao Chang, Chi-Wei Su (), Hsiao-Ping Chu () and Hsu-Ling Chang ()
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Chi-Wei Su: College of Business, Feng Chia University, Taichung, Taiwan
Hsiao-Ping Chu: Department of Commerical Technology Management, Ling Tung College, Taichung, Taiwan
Hsu-Ling Chang: Department of Accounting, Ling Tung College, Taichung, Taiwan

Economics Bulletin, 2005, vol. 3, issue 41, 1-9

Abstract: In this study, we revisit the issue as to the presence of rational bubbles in the Taiwan stock market during the June 1991 to February 2005 period using the Bierens (1997) nonparametric cointegration tests. The results from the Bierens nonparametric cointegration test attest to the absence of rational bubbles in the Taiwan stock market.

Keywords: Rational; Bubbles; Taiwan; Stock; Market; Nonparametric; Cointegration; Test (search for similar items in EconPapers)
JEL-codes: C5 G2 (search for similar items in EconPapers)
Date: 2005-08-29
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Citations: View citations in EconPapers (2)

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