speculative bubbles
Duration dependence test of rational speculative bubbles: a case study of Hong Kong stock market
... rational speculative bubbles in the Hong Kong stock ...the bubbles, because of the sensitivity of duration dependence, the results will be impacted by the choice of sample period, the model and the ...
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Cryptocurrency and its susceptibility to speculative bubbles, manipulation, scams and fraud
... It is argued here that because a cryptocurrency has no intrinsic value, problems relating to day-to-day valuation and pricing arise. It is shown how these lead to the reversal of the conventional relationship between ...
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Do Speculative Bubbles Migrate in the Chinese Stock Market?
... Figure 1 shows that Chinese stock market index increased fourfold and dropped at the same extent from 2006 to 2008. Someone may suspect that there is a bubble in the post-split share reform period. A possible explanation ...
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Duration dependence test of rational speculative bubbles: a case study of the Hong Kong stock market
... when bubbles exist in the Hong Kong stock market the bursts are relatively slow, which is uncharacteristic of rational specula- tive ...with bubbles, but not the instantaneous crash as required by the ...
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Speculative Bubbles An introduction and application of the Speculation Elicitation Task (SET)
... Speculative Bubbles - An introduction and application of the Speculation Elicitation Task SET Janssen, Dirk-Jan and Weitzel, Utz and Füllbrunn, Sascha Radboud University.[r] ...
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Testing for speculative bubbles using spot and forward prices
... root test proposed recently by Phillips et al. (2015a) for three reasons. First, the test is consistent with multiple changes in regime. This feature is very appealing since, in the presence of nonlinear dynamics, such ...
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Speculative Bubbles in Segmented Markets:Evidence from Chinese Cross Listed Stocks
... for speculative bubbles in financial markets is confounded by the fact that the fun- damental value of financial securities is ...of bubbles, rendering direct approaches invalid (Hamilton and ...
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Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin
... substantial speculative component” (Dowd, 2014) that warrants further ...The speculative component could potentially signify bubbles (Dale et ...of speculative bubbles in Bitcoin ...for ...
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Speculative bubbles in Bitcoin markets? An empirical investigation into the fundamental value of Bitcoin
... substantial speculative component” (Dowd, 2014) that warrants further ...The speculative component could potentially signify bubbles (Dale et ...of speculative bubbles in Bitcoin ...for ...
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Identifying speculative bubbles with an in finite hidden Markov model
... This paper proposes an infinite hidden Markov model (iHMM) to detect, date stamp, and estimate speculative bubbles. Three features make this new approach attractive to practitioners. First, the iHMM is ...
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Impact of Monetary Policy on Financial Markets Efficiency and Speculative Bubbles: A Non linear Entropy based Approach
... of speculative bubbles in the prices of financial assets and monetary policy has been one of the most difficult challenges faced by central banks in the early twenty-first ...
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Study of Speculative Bubbles: The Contribution of Approximate Entropy
... Alvarez-Ramirez J. (2011), Alvarez-Ramirez J. et al. (2012) used entropy methods to monitor movement of crude oil prices in developed and emerging markets. They found that developed exchange markets are more efficient ...
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Are Asian stock markets characterized by rational speculative bubbles?
... that speculative bubbles can be divided into rational and irrational speculative ...Rational speculative bubbles occur when investors realise that stock prices deviate from their ...
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A Theory on Origin of Speculative Bubbles and Public Debt Accumulation
... This is partly because a higher rate of return of the bubbly asset increases the aggregate disposable income, and partly because the newly issued liquidity injected for the compensation [r] ...
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Date Stamping Bubbles in Real Estate Investment Trusts
... of speculative bubbles in the Equity, Mortgage and Hybrid REITs, ...to bubbles observed in the total index (Figure ...periodic bubbles (Figure 4); the first one is relatively short, lasting ...
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Speculative Bubble Burst
... Let us initiate a discussion of the separation between asset pricing bubbles and speculative bubbles. For example, during the German hyperinflation, Flood and Garber (1980) had immense appeal for ...
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Central banks and asset prices: the role of the interest rate in volatility correction in the Romanian case
... The speculative bubbles of asset prices, and especially their burst out, have a negative impact on the financial stability and also on the prices stability – the main objectives of central ...
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An Application Of Generalised Johansen-Ledoit-Sornette (GJLS) Model To Detect Size Of Rational Speculative Bubble In DJIA Stock Market During Year 1997
... Rational speculative bubbles can be defined as positive acceleration of prices above fundamental value [1]-[3], ...rational speculative bubble [4]. Rational speculative bubbles are one ...
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Investor Sentiment and Irrational Speculative Bubble Model
... irrational speculative bubble model according to some relevant theoretical hypothesis, which can measure the scale of stock market bubbles ...of speculative bubbles on the basis of the ...
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Lessons Learned From the Global Recession Redesigned Framework of Key Macroeconomic Policies
... 2) Speculative bubbles are difficult to identify ahead with certainty - The Global economic crisis proved that, despite the obvious inconsistencies and risks in the financial sector, the rapidly growing ...
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