Download or read book Bubbles Fads and Stock Price Volatility Tests written by Kenneth David West and published by . This book was released on 1988 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a summary and interpretation of some of the literature on stock price volatility that was stimulated by Leroy and Porter (1981) and Shiller (1981a). It appears that neither small sample bias, rational bubbles nor some standard models for expected returns adequately explain stock price volatility. This suggests a role for some nonstandard models for expected returns. One possibility is "fads" models in which noise trading by naive investors is important. At present, however, there is little direct evidence that such fads play a significant role in stock price determination

Download or read book Bubbles Fads and Stock Price Volatility Tests written by Kenneth D. West and published by . This book was released on 1988 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Bubbles Fads and Stock Price Volatility Tests written by and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Stock Market Bubbles Volatility and Chaos written by G.P. Dwyer and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt: Gerald P. Dwyer, Jr. and R. W. Hafer The articles and commentaries included in this volume were presented at the Federal Reserve Bank of St. Louis' thirteenth annual economic policy conference, held on October 21-22, 1988. The conference focused on the behavior of asset market prices, a topic of increasing interest to both the popular press and to academic journals as the bull market of the 1980s continued. The events that transpired during October, 1987, both in the United States and abroad, provide an informative setting to test alter native theories. In assembling the papers presented during this conference, we asked the authors to explore the issue of asset pricing and financial market behavior from several vantages. Was the crash evidence of the bursting of a speculative bubble? Do we know enough about the work ings of asset markets to hazard an intelligent guess why they dropped so dramatically in such a brief time? Do we know enough to propose regulatory changes that will prevent any such occurrence in the future, or do we want to even if we can? We think that the articles and commentaries contained in this volume provide significant insight to inform and to answer such questions. The article by Behzad Diba surveys existing theoretical and empirical research on rational bubbles in asset prices.

Download or read book Stock Markets Efficiency and Volatility Tests written by Chien-Te Hsu and published by . This book was released on 1993 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Testing for Speculative Bubbles in the Stock Market written by Lii-Tarn Chen and published by . This book was released on 1995 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Rational Bubbles in the Stock Market written by Yangru Wu and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Can rational stochastic asset bubbles help explain the excess volatility of stock prices? The bubble considered here is treated as an unobserved state vector in the state-space model and is easily estimated using the Kalman filter. I find that the bubble components estimated account for a substantial portion of U.S. stock prices, and the model does a credible job in fitting the data, especially during several bull and bear markets in this century. Much of the deviation of stock prices from the present-value model are captured by the bubble.lt;Igt;NOTE: This paper was written while the author was affiliated with West Virginia University.lt;/Igt.

Download or read book Stock Price Volatility written by Stephen F. LeRoy and published by . This book was released on 1990 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Bubbles and Contagion in Financial Markets Volume 1 written by E. Porras and published by Springer. This book was released on 2016-06-29 with total page 303 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding the formation of bubbles and the contagion mechanisms afflicting financial markets is a must as extreme volatility events leave no market untouched. Debt, equity, real estate, commodities... Shanghai, NY, or London: The severe fluctuations, explained to a large extent by contagion and the fear of new bubbles imploding, justify the newly awaken interest in the contagion and bubble dynamics as yet again the world brazes for a new global economic upheaval. Bubbles and Contagion in Financial Markets explores concepts, intuition, theory, and models. Fundamental valuation, share price development in the presence of asymmetric information, the speculative behavior of noise traders and chartists, herding and the feedback and learning mechanisms that surge within the markets are key aspects of these dynamics. Bubbles and contagion are a vast world and fascinating phenomena that escape a narrow exploration of financial markets. Hence this work looks beyond into macroeconomics, monetary policy, risk aggregation, psychology, incentive structures and many more subjects which are in part co-responsible for these events. Responding to the ever more pressing need to disentangle the dynamics by which financial local events are transmitted across the globe, this volume presents an exhaustive and integrative outlook to the subject of bubbles and contagion in financial markets. The key objective of this volume is to give the reader a comprehensive understanding of all aspects that can potentially create the conditions for the formation and bursting of bubbles, and the aftermath of such events: the contagion of macro-economic processes. Achieving a better understanding of the formation of bubbles and the impact of contagion will no doubt determine the stability of future economies – let these two volumes be the starting point for a rational approach to a seemingly irrational phenomena.

Download or read book Essays on Stock Price Volatility Tests written by Sekyung Oh and published by . This book was released on 1988 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Financial Market Bubbles and Crashes Second Edition written by Harold L. Vogel and published by Springer. This book was released on 2018-08-16 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economists broadly define financial asset price bubbles as episodes in which prices rise with notable rapidity and depart from historically established asset valuation multiples and relationships. Financial economists have for decades attempted to study and interpret bubbles through the prisms of rational expectations, efficient markets, and equilibrium, arbitrage, and capital asset pricing models, but they have not made much if any progress toward a consistent and reliable theory that explains how and why bubbles (and crashes) evolve and can also be defined, measured, and compared. This book develops a new and different approach that is based on the central notion that bubbles and crashes reflect urgent short-side rationing, which means that, as such extreme conditions unfold, considerations of quantities owned or not owned begin to displace considerations of price.

Download or read book Rational Bubbles written by Matthias Salge and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt: 3 On the Economic Relevance of Rational Bubbles 79 3. 1 Capital markets . . . . . . . . . 80 3. 1. 1 Efficient capital markets 86 3. 1. 2 Rational bubbles on capital markets. 93 3. 1. 3 Economic caveats . 103 3. 2 Foreign exchange markets 109 3. 3 Hyperinflation. . . . . . . 117 4 On Testing for Rational Bubbles 123 4. 1 Indirect tests . . . . . . . . . 123 4. 1. 1 Variance bounds tests 124 4. 1. 2 Specification tests . . . 137 4. 1. 3 Integration and cointegration tests 140 4. 1. 4 Final assessment of indirect tests . 150 4. 1. 5 A digression: Charemza, Deadman (1995) analysis. 151 4. 2 Direct tests . . . . . . . . . . . . . . . . . . . . . . . . 157 4. 2. 1 Deterministic bubble in German hyperinflation. 158 4. 2. 2 Intrinsic bubbles on stock markets. 163 4. 2. 3 An econometric caveat . . . . . 168 4. 2. 4 Final assessment of direct tests 172 5 On the Explanatory Power of Rational Bubbles on the G- man Stock Market 175 5. 1 Data . . . . . . . 175 5. 2 Direct test for rational bubbles 181 5. 2. 1 Temporary Markovian bubbles. 184 5. 2. 2 Temporary intrinsic bubbles . . 193 ix 5. 2. 3 Permanent intrinsic bubbles 198 5. 3 A digression: Testing for unit roots 204 6 Concluding Remarks 215 A Results 221 A. 1 Temporary markovian bubbles. 221 A. 2 Temporary intrinsic bubbles . . 225 A. 3 Permanent intrinsic bubbles - Class 1 to 2 229 A. 4 Permanent intrinsic bubbles - Class 3 to 6 230 A. 5 Integration tests. . . . . . . . . . . . . . .

Download or read book Testing for Speculative Bubbles in Stock Prices written by Aslı Demirgüç-Kunt and published by . This book was released on 1988 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Specification Test for Speculative Bubbles written by Kenneth D. West and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The set of parameters needed to calculate the expected present discounted value of a stream of dividends can be estimated in two ways. One may test for speculative bubbles, or fads, by testing whether the two estimates are the same. When the test is applied to some annual U.S. stock market data, the data usually reject the null hypothesis of no bubbles. The test is of general interest since it may be applied to a wide class of linear rational expectations models.

Download or read book Econometric Tests of Asset Price Bubbles written by Refet S. Gurkaynak and published by . This book was released on 2005 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Bubbles and Stock Price Volatility written by Behzad Diba and published by . This book was released on 1989 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book STOCK PRICE VOLATILITY TESTS OF NARROW AND BROAD DIVIDENS A CLOSER EXAMINATION OF THE RESULTS OF ACKERT AND SMITH written by Garrett H. TESELLE and published by . This book was released on 1995 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: