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Is there a rational bubble in bist 100 and sector indices?
Kirkpinar, Ayşegül; Erer, Elif; Erer, Deniz - In: Financial studies 23 (2019) 3, pp. 21-33
Global financial crises, which can stem from the bubbles in asset prices and which have been observed especially in the … United States and Europe, have demonstrated once again how important the determination of bubbles is. The bubbles in question … rational bubbles with financial crises, the analysis and detection of them become even more important for investors, portfolio …
Persistent link: https://www.econbiz.de/10012146180
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Multiple Changes in Persistence vs. Explosive Behaviour : The Dotcom Bubble
de Medeiros, Otavio Ribeiro - 2012
Based on a method developed by Laybourne, Kim and Taylor (2007) for detecting multiple changes in persistence, we test for changes in persistence in the dividend-price ratio of the Nasdaq stocks. The results confirm the existence of the so-called Dotcom bubble around the last turn of the century...
Persistent link: https://www.econbiz.de/10013108019
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Cointegrated periodically collapsing bubbles in the exchange rate of "BRICS"
Maldonado, Wilfredo Leiva; Tourinho, Octávio Augusto Fontes - In: Emerging markets finance & trade : a journal of the … 54 (2018) 1/2/3, pp. 54-70
Persistent link: https://www.econbiz.de/10012122848
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Rational asset pricing bubbles and portfolio constraints
Hugonnier, Julien - 2010
This article shows that the presence of portfolio constraints can give rise to rational asset pricing bubbles in … opportunities. Furthermore, it is shown that when they are present bubbles can lead to both multiplicity and real indeterminacy of … make bubbles a necessary condition for the existence of an equilibrium …
Persistent link: https://www.econbiz.de/10003966068
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Asset pricing with arbitrage activity
Hugonnier, Julien; Prieto, Rodolfo - 2013
We study an economy populated by three groups of logarithmic agents: Constrained agents subject to a portfolio constraint that limits their risk-taking, unconstrained agents subject to a standard nonnegative wealth constraint, and arbitrageurs with access to uncollateralized credit. Such credit...
Persistent link: https://www.econbiz.de/10010257492
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Date-stamping US housing market explosivity
Balcilar, Mehmet; Katzke, Nico; Gupta, Rangan - 2017
Generalized sup ADF (GSADF) test procedure developed by Phillips, Shi, and Yu (Testing for Multiple Bubbles: Historical Episodes …
Persistent link: https://www.econbiz.de/10011674010
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Date-stamping US housing market explosivity
Balcilar, Mehmet; Katzke, Nico; Gupta, Rangan - 2018
Generalized supADF (GSADF) test procedure developed by Phillips et al. (Testing for multiple bubbles: Historical episodes of …
Persistent link: https://www.econbiz.de/10011812671
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Detecting periodically collapsing bubbles in the S&P 500
Nguyen, Quynh Nhu; Waters, George - In: The quarterly review of economics and finance : journal … 83 (2022), pp. 83-91
Persistent link: https://www.econbiz.de/10013258514
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Speculative bubbles and the real estate market application of the sequential ADF test
Naoui, Kamel; Bassem, Amine - In: American journal of finance and accounting 4 (2015/2016) 2, pp. 113-128
Persistent link: https://www.econbiz.de/10011607003
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Detecting and date-stamping rational bubbles in asset price : an empirical investigation in the Tunisian stock market
Helali, Siwar Mehri - In: International journal of economics and finance 11 (2019) 8, pp. 91-100
Persistent link: https://www.econbiz.de/10012105996