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Periodically collapsing bubbles in stock prices cointegrated with broad dividends and macroeconomic factors

Fu, Man; Bidarkota, Prasad V. - In: Journal of risk and financial management : JRFM 4 (2012) 1, pp. 97-132

-Fuller test reveals existence of periodically collapsing bubbles in S&P 500 data during the late 1990s. …

Persistent link: https://www.econbiz.de/10011555939

Dectecting speculative bubbles in stock prices : a new approach and some evidence for the US

Bohl, Martin T.; Siklos, Pierre L. - 2001

speculative bubbles and/or noise trading behavior. Our empirical findings for the US stock market covering the 1871:1 - 2000 …

Persistent link: https://www.econbiz.de/10010503717

Periodically Collapsing Bubbles in Stock Prices Cointegrated with Broad Dividends and Macroeconomic Factors

Fu, Man - 2011

-Fuller test reveals existence of periodically collapsing bubbles in S&P 500 data during the late 1990s …

Persistent link: https://www.econbiz.de/10013119302

Does Algorithmic Trading Attenuate Asset Price Bubbles : An Experiment

Altmann, Stefan; Riyanto, Yohanes E.; Hölscher, Christoph - 2023

This study investigates the impact of algorithmic trading strategies on asset price mispricing and relative payoffs of human and algorithmic traders using the Smith- Suchanek-Williams (SSW - (Smith et al. (1988))) framework. A 2x2 treatment design varying algorithmic strategy (market-making or...

Persistent link: https://www.econbiz.de/10014350898