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Monte Carlo evidence [Evans (1991)] indicates that when speculative bubbles are collapsible, the traditional cointegration approach based on unit root tests has some serious drawbacks. We propose in this paper an alternative approach to test such bubbles. We demonstrate that the suggested test has some advantages over the traditional unit root based tests, especially for bubbles that are collapsible. Properties of the proposed procedure are investigated. Extensions and generalizations of this procedure are also studied. The testing procedure is applied to market indexes in the U.S. and Hong Kong. The proposed procedures provide useful complements to existing bubble tests.

Are there speculative bubbles in stock markets? Evidence from an alternative approach.