Periodically collapsing bubbles in the German stock market, 1876-1913

Christian Pierdzioch

Applied Economics Letters, 2010, vol. 17, issue 9, 907-908

Abstract: The present-discounted value model of stock price determination implies that, rational bubbles being absent, stock prices and dividends should be cointegrated. The results of tests for noncointegration indicate that the possibility of periodically collapsing rational bubbles in the German stock market before World War I cannot be ruled out.

Date: 2010
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DOI: 10.1080/17446540802552324

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