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Rational Bubbles

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

  • MatthiasĀ Salge

Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 451)

Table of contents

  1. Front Matter
    Pages i-ix
  2. Matthias Salge
    Pages 1-4
  3. Matthias Salge
    Pages 79-122
  4. Matthias Salge
    Pages 123-173
  5. Matthias Salge
    Pages 215-219
  6. Back Matter
    Pages 221-265

About this book

Introduction

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. . . . . . . . . . . . . . .

Keywords

Aktienmarkt Capital Markets Deutscher Aktienmarkt Kursentwicklung german stock market rational bubbles statistics stock market

Authors and affiliations

  • MatthiasĀ Salge
    • 1
  1. 1.Frankfurt/MainGermany

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-59181-5
  • Copyright Information Springer-Verlag Berlin Heidelberg 1997
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-540-62629-9
  • Online ISBN 978-3-642-59181-5
  • Series Print ISSN 0075-8442
  • Buy this book on publisher's site