Rolling ADF Tests: Detecting Rational Bubbles in Greater China Stock Markets

• Main Author: HUANG, Peng
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2008
• Subjects: bubble collapse; bubble size; forward recursive ADF tests; forward rolling ADF tests; Rational bubbles; speculative behavior; Asian Studies; Finance; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/etd_coll/36; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1035&context=etd_coll
• Institution: Singapore Management University

Following Phillips, Wu and Yu (2007), this paper extends their bubble detecting work to several Greater China stock markets. Two alternative bubble detecting methods, the forward recursive ADF tests raised by Phillips et al. (2007) and the modified version, forward rolling ADF tests, are implemented...