Article citationsMore>>

Liu, Z.T., Asako, K. and Kanoh, S. (2011) Estimation of Speculative Bubble—Application to the Stock Markets of Japan, the United States and China. In: Asakoand, K. and Watanabe T., Eds., Econometrical Analyses of Finance and Business Cycle, Minerva Shobou, 9-34 (in Japanese).

has been cited by the following article:

• TITLE: Comovement of Stock Markets—An Analysis by Nonlinear Cointegration*

  AUTHORS: Kazumi Asako, Zhentao Liu

  KEYWORDS: Booms and Busts, Stock Prices, Nonlinear Cointegration, Bayesian Estimation

  JOURNAL NAME: Open Journal of Social Sciences, Vol.4 No.5, May 16, 2016

  ABSTRACT: This paper proposes and estimates a statistical model of nonlinear cointegration, with applications to the stock markets of Japan and the United States. We define nonlinear cointegration as a long-run stable relationship between two time series variables even in the presence of temporary nonlinear divergence from this long-run relationship. More concretely, extending the bubble model of Asako and Liu (2013) [1] to stock price ratio variables, both upward and downward divergent bubble processes are estimated at a time. We conclude that, although two stock price indexes are not linearly cointegrated, they are considered to be cointegrated nonlinearly.