Rational Bubbles in Stock Markets
Rational speculative bubbles in the frontier emerging stock markets
... emerging stock markets are relatively small, illiquid, and undeveloped capital markets in different regions of the ...emerging stock markets ...of rational speculative ...
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Rational speculative bubbles in the Asian stock markets: Tests on deterministic explosive bubbles and stochastic explosive root bubbles
... between stock prices and dividends if there are no deterministic explosive bubbles, assumes the constancy of expected ...of rational bub- ...of stock price and dividend for allowing the ...
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Testing for rational bubbles.
... world stock market. 3 Since the beginning of 1986, the major stock markets have be- come increasingly internationalized by ...the markets in London, Frank- furt and Tokyo had also attracted ...
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On Rational Bubbles and Fat Tails
... both stock markets and foreign exchange ...of rational bubbles à la Blanchard and Watson are, therefore, hard to reconcile with empirical regularities of financial data at a very elementary ...
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Testing for Rational Bubbles in Financial Markets - A Comparison of Different Methods and Real World Applications
... Detecting bubbles proves to be difficult: We cannot observe intrinsic asset values as they usually depend on future ...a stock for instance depends on future dividend ...of bubbles in stock ...
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Price Bubbles sans Dividend Anchors: Evidence from Laboratory Stock Markets
... form bubbles in short-, but not in long-horizon ...with rational bubbles, others exhibit positive feedback loops [Shiller ...these markets, allocative efficiency is unpredictable, and the ...
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Are Asian stock markets characterized by rational speculative bubbles?
... Consequently, the difference between the two studies raises the question of whether the Asian stock markets are characterized by rational speculative bubbles. However, the differing results ...
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Testing rational speculative bubbles in Central European stock markets
... of stock bubbles In the context of a financial time series analysis there are several test pro- cedures usually utilized for bubble detection in asset ...of rational speculative bubbles in ...
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Testing rational speculative bubbles in Central European stock markets
... of stock bubbles In the context of a financial time series analysis there are several test pro- cedures usually utilized for bubble detection in asset ...of rational speculative bubbles in ...
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Looking for Rational Bubbles in Agricultural Commodity Markets
... prices, stock prices and house prices are currently highly debated ...asset bubbles in 2005-2006, the subprime crisis in 2007, and finally the commodity prices exuberance of 2008 are all closely ...
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Rational bubbles and volatility persistence in India stock market
... of rational bubbles in a number of developed markets by investigating integration of stock prices and ...test rational bubbles in a fast growing major emerging stock ...
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An Alternative Approach in Evaluating Rational Speculative Bubbles in Stock Exchange
... existence bubbles, these tests are received more popular and fewer criticisms rather than other methods by academics and researchers and global stock markets ranging from developed and developing ...
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Rational and near-rational bubbles without drift
... speculative bubbles can be found throughout history in various countries and asset ...U.S. stock prices during the late 1990s, followed similarly by ...the stock market and a proliferation of highly ...
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Rational bubbles in emerging stockmarkets
... 2. Data We collected monthly data (from Datastream) of stock prices and dividends for the 22 countries in the Standard & Poors’ Emerging Markets Data Base. Consumer price indices were taken from the ...
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Rational bubbles in emerging stockmarkets
... the markets that experienced explosive bubbles we could not reject the null of no- cointegration using standard ...Thus stock prices behaved at odds with ...explosive bubbles were Chile (Table ...
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Trading and rational security pricing bubbles
... housing stock for Mortgages) limits possible ...underlying stock of assets was stepped ...derivative markets through the synthetic CDOs market - see a narrative account of this in Michael Lewis’s ...
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Determination of periodically collapsing rational bubbles
... financial markets could have bubbles from time to time even in the existence of complete ...testing rational bubbles, one can start with variance bounds tests of Schiller (1981) and LeRoy and ...
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Bubbles, Rational Expectations and Financial Markets
... A bubble on the price of any asset will usually affect the prices of other assets, even if they are not subject to bubbles. The increase in the[r] ...
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Detection of Rational Speculative Bubbles in the Malaysian Stock Market
... This study used abnormal monthly real return of Kuala Lumpur Composite Index and Sectoral Indices (Finance Index, Consumer Product Index, Property Index, Trading and Services Ind[r] ...
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Rational Speculative Bubbles in the US Stock Market and Political Cycles
... U.S. stock market ...are rational speculative bubbles in the stock ...that rational bubbles exist under Republican Presidents, but not under Democratic ...speculative ...
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