Revisiting rational bubbles in the G-7 stock markets using the Fourier unit root test and the nonparametric rank test for cointegration

@article{Ye2011RevisitingRB,
  title={Revisiting rational bubbles in the G-7 stock markets using the Fourier unit root test and the nonparametric rank test for cointegration},
  author={Yonggang Ye and Tsangyao Chang and Ken Hung and Yang-Cheng Lu},
  journal={Mathematics and Computers in Simulation},
  year={2011},
  volume={82},
  pages={346-357}
}
This paper re-investigates whether rational bubbles existed in the G-7 stock markets during the period of January 2000–June 2009 using the newly developed Fourier unit root test and a nonparametric rank test for cointegration. The empirical results from our Fourier unit test indicate that the null hypothesis of I(1) unit root in stock prices can be rejected for Canada, France, Italy and the UK. However, the empirical results from the rank test reveal that rational bubbles did not exist in the G… CONTINUE READING