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Rational Bubbles : Theoretical Basis, Economic Relevance, and Empirical Evidence with a Special Emphasis on the German Stock Market - M. Salge

Rational Bubbles

Theoretical Basis, Economic Relevance, and Empirical Evidence with a Special Emphasis on the German Stock Market

By: M. Salge

Paperback Published: 23rd May 1997
ISBN: 9783540626299
Number Of Pages: 265

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3 On the Economic Relevance of Rational Bubbles 79 3. 1 Capital markets . . . . . . . . . 80 3. 1. 1 Efficient capital markets 86 3. 1. 2 Rational bubbles on capital markets. 93 3. 1. 3 Economic caveats . 103 3. 2 Foreign exchange markets 109 3. 3 Hyperinflation. . . . . . . 117 4 On Testing for Rational Bubbles 123 4. 1 Indirect tests . . . . . . . . . 123 4. 1. 1 Variance bounds tests 124 4. 1. 2 Specification tests . . . 137 4. 1. 3 Integration and cointegration tests 140 4. 1. 4 Final assessment of indirect tests . 150 4. 1. 5 A digression: Charemza, Deadman (1995) analysis. 151 4. 2 Direct tests . . . . . . . . . . . . . . . . . . . . . . . . 157 4. 2. 1 Deterministic bubble in German hyperinflation. 158 4. 2. 2 Intrinsic bubbles on stock markets. 163 4. 2. 3 An econometric caveat . . . . . 168 4. 2. 4 Final assessment of direct tests 172 5 On the Explanatory Power of Rational Bubbles on the G- man Stock Market 175 5. 1 Data . . . . . . . 175 5. 2 Direct test for rational bubbles 181 5. 2. 1 Temporary Markovian bubbles. 184 5. 2. 2 Temporary intrinsic bubbles . . 193 ix 5. 2. 3 Permanent intrinsic bubbles 198 5. 3 A digression: Testing for unit roots 204 6 Concluding Remarks 215 A Results 221 A. 1 Temporary markovian bubbles. 221 A. 2 Temporary intrinsic bubbles . . 225 A. 3 Permanent intrinsic bubbles - Class 1 to 2 229 A. 4 Permanent intrinsic bubbles - Class 3 to 6 230 A. 5 Integration tests. . . . . . . . . . . . . . .

Introductionp. 1
On the Theoretical Derivability of Rational Bubblesp. 5
On the Economic Relevance of Rational Bubblesp. 79
On Testing for Rational Bubblesp. 123
On the Explanatory Power of Rational Bubbles on the German Stock Marketp. 175
Concluding Remarksp. 215
Resultsp. 221
Distributional Properties and Critical Valuesp. 245
Bibliographyp. 249
List of Figuresp. 263
List of Tablesp. 265
Table of Contents provided by Blackwell. All Rights Reserved.

ISBN: 9783540626299
ISBN-10: 3540626298
Series: Lecture Notes in Mathematics
Audience: General
Format: Paperback
Language: English
Number Of Pages: 265
Published: 23rd May 1997
Publisher: Springer-Verlag Berlin and Heidelberg Gmbh & Co. Kg
Country of Publication: DE
Dimensions (cm): 23.39 x 15.6  x 1.5
Weight (kg): 0.4