Detecting speculative bubbles under considerations of the sign asymmetry and size non-linearity: New international evidence

作者：Chen Shyh Wei; Xie Zixiong^*

来源：International Review of Economics & Finance, 2017, 52: 188-209.

DOI：10.1016/j.iref.2017.09.008

• Present value model
• Periodically collapsing bubble
• Non-linearity
• Transaction costs

By using the logarithms of the dividend yields of stock markets of ten European countries and nine Pacific Rime economies, this paper tends to detect speculative bubbles under considerations of the sign asymmetry and size non-linearity, respectively. The sign asymmetry and size non-linearity are theoretically explained by the multiple bubbles (or periodically collapsing bubbles) and traction costs, respectively. To this end, we adopt the right-tailed unit root test (GSADF), the momentum threshold autoregressive (MTAR) and exponential smooth transition autoregressive (ESTAR) approaches in this study. Among the main results, it is found that the results of the GSADF provide statistically significant evidence for the existence of multiple bubbles of six European countries and Malaysia and Indonesia. Second, the presence of periodically collapsing bubbles is empirically verified by the MTAR test for the Czech. Republic, New Zealand and Portugal, but not for all of the Pacific Rim economies considered in this study. Third, with the exception of Malaysia, the results of the ESTAR-type tests point to the rejection of the null hypothesis of a unit root against the alternative of a globally stationary ESTAR process for all countries.

• 出版日期2017-11
• 单位暨南大学