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Signaling Asset Price Bubbles with Time-Series Methods
Taipalus, Katja - 2012
This paper provides an early warning indicator for bubbles in financial markets. The indicator is based on traditional … consensus bubbles and gives warning signals well ahead of the crash, in most cases as early as 12 months ahead. The indicator … also signals most of the 'negative bubbles' before their turning points …
Persistent link: https://www.econbiz.de/10013111338
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Does credit affect stock trading? : evidence from the South Sea Bubble
Braggion, Fabio; Frehen, Rik; Jerphanion, Emiel - 2020
Persistent link: https://www.econbiz.de/10012219022
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Leverage and beliefs : personal experience and risk taking in margin lending
Koudijs, Peter; Voth, Hans-Joachim - 2014
What determines risk-bearing capacity and the amount of leverage in financial markets? Using unique archival data on collateralized lending, we show that personal experience can affect individual risk-taking and aggregate leverage. When an investor syndicate speculating in Amsterdam in 1772 went...
Persistent link: https://www.econbiz.de/10010359782
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Leverage and Beliefs : Personal Experience and Risk Taking in Margin Lending
Koudijs, Peter - 2014
What determines risk-bearing capacity and the amount of leverage in financial markets? Using unique archival data on collateralized lending, we show that personal experience can affect individual risk-taking and aggregate leverage. When an investor syndicate speculating in Amsterdam in 1772 went...
Persistent link: https://www.econbiz.de/10013056394
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Share trading activity and the rise of the rentier in the UK before 1920
Acheson, Graeme G.; Coyle, Christopher; Jordan, David P.; … - 2018
Using a hand-collected dataset, we examine share trading activity over the period 1882 to 1920 for the North British and Mercantile Insurance Company, one of the largest UK companies of the time. Our main finding is that the steady flow of rentiers into the shareholding constituency of this...
Persistent link: https://www.econbiz.de/10011799911
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Investors' trading behaviour and stock market volatility during crisis periods : a dual long-memory model for the Korean stock exchange
Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019
This study examines the impact of investors' buy and sell trades on Korean stock market volatility across two crisis events, the Asian crisis of 1997 and the 2008 global financial crash. We investigate the trading behaviour of domestic vs. foreign and institutional vs. individual investors. Our...
Persistent link: https://www.econbiz.de/10012138660
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Can the greater fool theory explain bubbles? : evidence from China
Zou, Xuan - 2018
, attracted by soaring stock prices and the intensive trading activities of others, drove the Chinese stock market bubbles in 2007 … and 2015, supporting the Greater Fool theory of bubbles. The inexperienced and naive new investors appear more likely to …
Persistent link: https://www.econbiz.de/10011893651
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Sentiment, Convergence of Opinion, and Market Crash
Wang, Qingwei - 2011
I introduce a novel proxy of investor sentiment and differences of opinion among trendchasing investors to forecast skewness in daily aggregate stock market returns. The new proxy is an easy-to-construct, real time measure available at different frequencies for more than a century. Empirically I...
Persistent link: https://www.econbiz.de/10013132658
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Cognitive Biases in Investors' Behaviour under Stress : Evidence from the London Stock Exchange
Philippas, Dionisis - 2017
The paper examines the implications arising from the effect of two cognitive biases, representativeness and conservatism, for securities price behaviour on the London Stock Exchange. In a single- and multi-factor framework of abnormal returns, the aspects of trend and consistency in the...
Persistent link: https://www.econbiz.de/10012970387
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Real-time prediction and post-mortem analysis of the Shanghai 2015 stock market bubble and crash
Sornette, Didier; Demos, Guilherme; Zhang, Qun; … - 2015
and that started to burst in June 2015. The analysis is based on (i) the economic theory of rational expectation bubbles …
Persistent link: https://www.econbiz.de/10011412033