Testing for periodically collapsing bubbles in the stock markets：Evidence from the US, Germany and Japan

碩士 === 中原大學 === 國際貿易研究所 === 101 === This study tests for the presence of Evans' (1991) periodically collapsing bubbles of three international stock indexes, including S&P 500, DAX 30 and Nikkei 500, applying methods of the momentum threshold autoregressive model (MTAR) and the MTAR model a...

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Main Authors:	Chi-Mei Sung, 宋其美
Other Authors:	Shyh-Wei Chen
Format:	Others
Language:	zh-TW
Published:	2013
Online Access:	http://ndltd.ncl.edu.tw/handle/41890972171847459028

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spelling	ndltd-TW-101CYCU53230012015-10-13T22:40:29Z http://ndltd.ncl.edu.tw/handle/41890972171847459028 Testing for periodically collapsing bubbles in the stock markets：Evidence from the US, Germany and Japan 股票市場週期性崩潰泡沫之檢定:美國、德國及日本的實證研究 Chi-Mei Sung 宋其美碩士中原大學國際貿易研究所 101 This study tests for the presence of Evans' (1991) periodically collapsing bubbles of three international stock indexes, including S&P 500, DAX 30 and Nikkei 500, applying methods of the momentum threshold autoregressive model (MTAR) and the MTAR model along with smooth transition in trend model (LSTR-MTAR). Empirical results from the linear unit root tests show evidence of rational bubbles, and the results of the MTAR test are consistent with the linear unit root test. The results from the LSTR-MTAR test show that periodically collapsing bubbles do not hold in the DAX 30 market provided that structural shift in trend is allowed. Shyh-Wei Chen 陳仕偉 2013 學位論文 ; thesis 31 zh-TW
collection	NDLTD
language	zh-TW
format	Others
sources	NDLTD
description	碩士 === 中原大學 === 國際貿易研究所 === 101 === This study tests for the presence of Evans' (1991) periodically collapsing bubbles of three international stock indexes, including S&P 500, DAX 30 and Nikkei 500, applying methods of the momentum threshold autoregressive model (MTAR) and the MTAR model along with smooth transition in trend model (LSTR-MTAR). Empirical results from the linear unit root tests show evidence of rational bubbles, and the results of the MTAR test are consistent with the linear unit root test. The results from the LSTR-MTAR test show that periodically collapsing bubbles do not hold in the DAX 30 market provided that structural shift in trend is allowed.
author2	Shyh-Wei Chen
author_facet	Shyh-Wei Chen Chi-Mei Sung 宋其美
author	Chi-Mei Sung 宋其美
spellingShingle	Chi-Mei Sung 宋其美 Testing for periodically collapsing bubbles in the stock markets：Evidence from the US, Germany and Japan
author_sort	Chi-Mei Sung
title	Testing for periodically collapsing bubbles in the stock markets：Evidence from the US, Germany and Japan
title_short	Testing for periodically collapsing bubbles in the stock markets：Evidence from the US, Germany and Japan
title_full	Testing for periodically collapsing bubbles in the stock markets：Evidence from the US, Germany and Japan
title_fullStr	Testing for periodically collapsing bubbles in the stock markets：Evidence from the US, Germany and Japan
title_full_unstemmed	Testing for periodically collapsing bubbles in the stock markets：Evidence from the US, Germany and Japan
title_sort	testing for periodically collapsing bubbles in the stock markets：evidence from the us, germany and japan
publishDate	2013
url	http://ndltd.ncl.edu.tw/handle/41890972171847459028
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Testing for periodically collapsing bubbles in the stock markets：Evidence from the US, Germany and Japan

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