Stock market prices and Dividends in the US: Bubbles or Long-run equilibria relationships? ☆, ☆☆

被引：0

作者：

Dettoni, Robinson ^{[1
]}

Gil-Alana, Luis A. ^{[2
,3
]}

Yaya, OlaOluwa S. ^{[4
]}

机构：

[1] Univ Santiago Chile, Dept Econ, Santiago, Chile

[2] Univ Navarra, Dept Econ, Campus Univ, Pamplona, Spain

[3] Univ Francisco de Vitoria, Dept Econ, Madrid, Spain

[4] Univ Ibadan, Dept Stat, Ibadan, Nigeria

来源：

INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS | 2024年 / 94卷

关键词：

Stock market prices; Dividends; Fractional cointegration; Duration dependence models; CYCLE DURATION DEPENDENCE; TIME-SERIES; SPECULATIVE BUBBLES; RATIONAL BUBBLES; EFFICIENT TESTS; EXCHANGE-RATE; UNIT-ROOT; COINTEGRATION; MODEL; EXPECTATIONS;

D O I：

10.1016/j.irfa.2024.103319

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper presents a novel approach to identifying potential bubbles in the US stock market by employing alternative time series methods based on long memory, including fractional integration and cointegration, as well as duration dependence non -parametric models. To test for duration dependence, the paper employs a unique non -parametric hazard function estimation method, using monotonic P -splines, which enables the estimation of a coherent and sophisticated Bayesian confidence interval for the function. By analyzing historical data of real US stock index from January 1871 to November 2022, the results reveal strong evidence of bubbles in the US stock market. It is worth noting that this is the first time a fractional integration approach and a novel non -parametric hazard function have been utilized to test for rational speculative bubbles in the US stock market, making this paper a significant contribution to the field.

引用

页数：10