testing for bubbles: an application of tests for change iin persistence

• Autores: Robert Sollis
• Localización: Applied financial economics, ISSN 0960-3107, Vol. 16, Nº. 6, 2006, págs. 491-498
• Idioma: inglés
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• Resumen

  • This study investigates changes in the persistence of the S&P Composite dividend-price ratio. Recently developed tests are employed that allow for breaks between periods in which the data are integrated of order zero, I(0), and integrated of order one, I(1). One of the tests finds a breeak from I(0) to I(1) in the mid-1970s and two of the tests find a break from I(0) to I(1) in the earley, to mid-1950s. The results are discussed in light of the rational bubble hypothesis.