Tests of Rational Bubbles Using Cointegration Theory

This paper provides results of tests of cointegration of stock price and stock dividend payments. Taking into account the problems of nuisance parameters and size distortion in the test statistics used in these tests, we find evidence that stock price and stock dividends are not cointegrated. More s...

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Main Authors:	LIM, Kian Guan, PHOON, Kok Fai
Format:	text
Language:	English
Published:	Institutional Knowledge at Singapore Management University 1991
Subjects:	Finance and Financial Management Management Sciences and Quantitative Methods
Online Access:	https://ink.library.smu.edu.sg/lkcsb_research/1499 https://doi.org/10.1080/759368491
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Institution:	Singapore Management University
Language:	English

id	sg-smu-ink.lkcsb_research-2498
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spelling	sg-smu-ink.lkcsb_research-24982015-07-24T06:26:19Z Tests of Rational Bubbles Using Cointegration Theory LIM, Kian Guan PHOON, Kok Fai This paper provides results of tests of cointegration of stock price and stock dividend payments. Taking into account the problems of nuisance parameters and size distortion in the test statistics used in these tests, we find evidence that stock price and stock dividends are not cointegrated. More specifically, we have not ruled out the presence of rational bubbles. 1991-01-01T08:00:00Z text https://ink.library.smu.edu.sg/lkcsb_research/1499 info:doi/10.1080/759368491 https://doi.org/10.1080/759368491 Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Finance and Financial Management Management Sciences and Quantitative Methods
institution	Singapore Management University
building	SMU Libraries
continent	Asia
country	Singapore Singapore
content_provider	SMU Libraries
collection	InK@SMU
language	English
topic	Finance and Financial Management Management Sciences and Quantitative Methods
spellingShingle	Finance and Financial Management Management Sciences and Quantitative Methods LIM, Kian Guan PHOON, Kok Fai Tests of Rational Bubbles Using Cointegration Theory
description	This paper provides results of tests of cointegration of stock price and stock dividend payments. Taking into account the problems of nuisance parameters and size distortion in the test statistics used in these tests, we find evidence that stock price and stock dividends are not cointegrated. More specifically, we have not ruled out the presence of rational bubbles.
format	text
author	LIM, Kian Guan PHOON, Kok Fai
author_facet	LIM, Kian Guan PHOON, Kok Fai
author_sort	LIM, Kian Guan
title	Tests of Rational Bubbles Using Cointegration Theory
title_short	Tests of Rational Bubbles Using Cointegration Theory
title_full	Tests of Rational Bubbles Using Cointegration Theory
title_fullStr	Tests of Rational Bubbles Using Cointegration Theory
title_full_unstemmed	Tests of Rational Bubbles Using Cointegration Theory
title_sort	tests of rational bubbles using cointegration theory
publisher	Institutional Knowledge at Singapore Management University
publishDate	1991
url	https://ink.library.smu.edu.sg/lkcsb_research/1499 https://doi.org/10.1080/759368491
_version_	1770569929370632192

Tests of Rational Bubbles Using Cointegration Theory

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