臺灣博碩士論文加值系統

此篇研究嘗試重新檢視是否理性泡沫存在於G7國家股市。
研究期間2000年1月至2009年6月，我們採用Breitung(2001)的無母數之共整合檢定來檢視，實證結果指出理性泡沫不存在於G7國家股市中。

The paper attempts to re-investigate whether rational bubbles exist in the G-7 stock markets during the period from January 2000 to June 2009 using the nonparametric rank test of cointegration proposed by Breitung (2001). The empirical results from the Rank Test reveal that rational bubbles are nonexistent in all G7 stock markets during the sample period.

目 錄

I. Introduction ....................................................................................... 04

II. DATA …............................................................................................. 08

III. Data .............................................................................................. 09

V. Empirical Results ............................................................................. 13

VI. Conclusions ………………………………….....…….…………... 15

REFERENCES ………………………………......……...………….... 16

Table 1. Summary Statistics of the Data ……………………….….... 18
Table 2. Univariate Unit Root Tests ………………………….….….. 19
Table 3: Results of Engle-Granger Cointegration Test…………….. 20
Table 4: Results of Rank Tests of Nonlinear Cointegration ……….. 20

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