Abstract
Speculative finance has played a major part in the recent crises of emerging countries. Speculative bubbles theories are coming back not only as a mean of evaluating the nature of these crises but also as a tool of early detection of financial fragility. Such an early detection could enable Central Banks to stabilise efficiently financial markets thus avoiding the moral hazard involved in the last resort lender intervention. A large array of speculative bubbles tests are currently available. But periodically exploding bubbles (Evans, 1991 ; Froot and Obstfeld, 1991) - which can generate the most realistic stock price processes - can escape detection by traditional co-integration tests. Correction of those tests for the bias and kurtosis introduced by bubbles can improve their detection and make co-integration tests a better tool for preventing crises. Implementing such corrected co-integration tests on stock data for Germany, France, the United States, Japan and the United Kingdom does not allow here to reject the speculative bubble hypothesis. Keywords : Financial crisis, speculative bubble, stock market
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