Testing for rational bubbles in banking
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Daniel O. Cajueiro; Benjamin M. Tabak
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Article
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2006
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Elsevier Science
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English
β 199 KB
In this paper a simple test for detecting bilinearity in a stochastic unit root process is used to test for the presence of rational bubbles in banking equity indices. The empirical evidence for a set of 39 banking indices for different countries, after adjusting for GARCH effects, suggests that for