Testing for bubbles in stock markets with irregular dividend distribution

Itamar Caspi and Meital Graham Rozen

Finance Research Letters, 2018, vol. 26, issue C, 89-94

Abstract: Recursive right-tailed unit root tests have recently become a popular tool to test the existence of stock price bubbles. These tests require continuous data on dividend distribution that is not always available, in particular when it comes to sectoral indexes or individual stocks. In this paper we show that it is possible to circumvent this problem by applying the test to an equity bubble using the book-to-market ratio. We illustrate our framework by testing for a bubble in the Israeli stock market, where data on continuous dividend distribution are uncommon.

Keywords: Bubbles; Stock markets; Book-to-market; Explosive root; GSADF Test; Israel (search for similar items in EconPapers)
JEL-codes: C12 C15 G12 G15 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612317306657
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Testing for Bubbles in Stock Markets with Irregular Dividend Distribution (2017)
Working Paper: Testing for Bubbles in Stock Markets With Irregular Dividend Distribution (2016)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:26:y:2018:i:c:p:89-94

DOI: 10.1016/j.frl.2017.12.015

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().