State-of-the-art econometric bubble detection methods are applied to the US stock market, namely S&P 500 index. These methods use repeated unit root tests to identify periods of non-stationarity or outright explosivity in dividend yields and cyclically adjusted earnings yields. The tests -- rolling AR and ADF and Generalized Sup ADF -- have had very good results as they were able to spot almost all of the consensual bubbles in the post-war US market. From the test results we get as of March 2015... zobrazit celý abstraktState-of-the-art econometric bubble detection methods are applied to the US stock market, namely S&P 500 index. These methods use repeated unit root tests to identify periods of non-stationarity or outright explosivity in dividend yields and cyclically adjusted earnings yields. The tests -- rolling AR and ADF and Generalized Sup ADF -- have had very good results as they were able to spot almost all of the consensual bubbles in the post-war US market. From the test results we get as of March 2015, we cannot conclude that there is any bubble in the stocks, even though probability of the bubble making has increased recently. Using rolling tests, a bubble was identified on Chinese market. |