This paper explores whether domestic and exogenous factors play a role in explaining how long stock bubbles survives across countries. We use a panel of countries to model the probability of stock bubbles persisting using survival analysis procedure. We document that domestic and exogenous...

The models for testing and dating breaks in stock returns and volatilities often rely on the restrictive assumption of common breaks. This assumption suggests that a shift occurred due to common innovations. Models under this assumption can only be estimated simultaneously. This assumption may...