A test for rational bubbles in stock prices

Yuichi Fukuta ()
Additional contact information
Yuichi Fukuta: Graduate School of Business Administration, Kobe University, 2-1 Rokkodai, Nada, Kobe, Hyogo 657-8501, Japan

Empirical Economics, 2002, vol. 27, issue 4, 587-600

Abstract: This paper presents two necessary conditions for the absence of rational bubbles on the assumption that the discount rate is stationary. One condition is that real stock prices and real dividends are cointegrated with the time-varying cointegrating vector. The other is that the order of integration of real stock prices is equal to that of real dividends. The first condition is different from that proposed on the assumption of a constant discount rate. In contrast, the second condition is the same as that presented on this assumption. Examining the second condition using Japanese data, we find that Japanese stock prices and dividends satisfy the necessary condition.

Keywords: Rational; bubbles; ·; time; varying; real; interest; rate; and; risk; premium; ·; cointegration; ·; order; of; integration (search for similar items in EconPapers)
Date: 2002-07-29
Note: received: May 2000/Final version accepted: April 2001
References: Add references at CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://link.springer.de/link/service/journals/00181/papers/2027004/20270587.pdf (application/pdf)
Access to the full text of the articles in this series is restricted

Related works:
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:spr:empeco:v:27:y:2002:i:4:p:587-600

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().