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Original Articles

Empirical evidence on periodically collapsing stock price bubbles

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Pages 61-69 | Published online: 19 Aug 2006

References

References

  • Campbell JY Lo AW McKinlay AC 1997 The Econometrics of Financial Markets, Princeton University Press Princeton NJ
  • Campbell , JY and Shiller , RJ . 1988 . The dividend-price ratio and expectations of future dividends and discount factors . Review of Financial Studies , 1 : 195 – 228 .
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  • Engle , R and Granger , CWJ . 1987 . Cointegration and error correction: representations, estimation and testing . Econometrica , 55 : 252 – 76 .
  • Evans , G . 1991 . Pitfalls in testing for explosive bubbles in asset prices . American Economic Review , 81 : 922 – 30 .
  • Froot , K and Obstfeld , M . 1991 . Intrinsic bubbles: the case of stock prices . American Economic Review , 81 : 1189 – 214 .
  • Sarno , L and Taylor , MP . 1999 . Moral hazard, asset price bubbles, capital flows, and the East-Asian crisis: the first tests . Journal of International Money and Finance , 18 : 637 – 57 .
  • Taylor , MP and Peel , DA . 1998 . Periodically collapsing stock price bubbles: a robust test . Economics Letters , 61 : 221 – 8 .

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