Abstract
In this paper we test for the presence of bubbles in the Nasdaq stock market index over the period 1994–2003 applying fractional integration techniques and allowing for structural breaks and non-linear adjustments of prices to dividends. The results show a significant structural break in 1998 for all model specifications and data periodicity. Furthermore, we do not find evidence of asymmetric adjustment of prices to dividends when using M-TAR and TAR models. The evidence of bubbles varies depending on the data periodicity and model specification used in the analysis. Finally, the results show persistent deviations of stock prices to dividends in all cases considered, though we only find evidence of bubbles in the Nasdaq index when using weekly data for the time period after June 1998.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: Physica A: Statistical Mechanics and its Applications
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
