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On the bimodality of the distribution of the S&P 500’s distortion : empirical evidence and theoretical explanations

Schmitt, Noemi; Westerhoff, Frank H. - 2017

After showing that the distribution of the S&P 500's distortion, i.e. the log difference between its real stock market index and its real fundamental value, is bimodal, we demonstrate that agentbased financial market models may explain this puzzling observation. Within these models, speculators...

Persistent link: https://www.econbiz.de/10011595441

Speculative bubble tendencies in time series of Bitcoin market prices

Demmler, Michael; Fernández Domínguez, Amilcar O. - In: Cuadernos de economía 41 (2022) 86, pp. 159-183

Persistent link: https://www.econbiz.de/10014541846

A specification test for speculative bubbles

West, Kenneth D. - 1986

Persistent link: https://www.econbiz.de/10000709324

Detecting periodically collapsing bubbles : a Markov-switching unit root test

Hall, Stephen G.; Psaradakis, Zacharias G.; Sola, Martin - In: Journal of applied econometrics 14 (1999) 2, pp. 143-154

Persistent link: https://www.econbiz.de/10001387376

Rational bubbles in the stock market : accounting for the US stock-price volatility

Wu, Yangru - In: Economic inquiry : journal of the Western Economic … 35 (1997) 2, pp. 309-319

Persistent link: https://www.econbiz.de/10001221156

Testing for rational bubbles in a coexplosive vector autoregression

Engsted, Tom; Nielsen, Bent - In: The econometrics journal 15 (2012) 2, pp. 226-254

Persistent link: https://www.econbiz.de/10009614927

Are there bubbles in stock prices? : testing for fundamental shocks

Velinov, Anton; Chen, Wenjuan - 2014

This paper investigates whether there are bubbles in stock prices. We do this using a previously studied structural … tandem with their fundamentals. We therefore find no evidence in favor of stock price bubbles in all the countries invested. …

Persistent link: https://www.econbiz.de/10010349257

Inference for stochastic bubble trend in stock price under the error correction model

Kim, Yun-yeong - In: Asia-Pacific journal of financial studies 43 (2014) 3, pp. 384-406

Persistent link: https://www.econbiz.de/10010408042

Specification sensitivities in the Markov-switching unit root test for bubbles

Shi, Shu-ping - In: Empirical economics : a journal of the Institute for … 45 (2013) 2, pp. 697-713

Persistent link: https://www.econbiz.de/10010188072

Some properties of periodically collapsing bubbles

Yoon, Gawon - In: Economic modelling 29 (2012) 2, pp. 299-302

Persistent link: https://www.econbiz.de/10009535996