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The Souk Al-Manakh: the anatomy of a pure price-chasing bubble

Veneroso, Frank; Pasquali, Mark - 2021

It is widely agreed that the Nasdaq during the dot-com era 20 years ago was a full-fledged stock market bubble. Recently, the US stock market according to many metrics has become significantly more speculative and overvalued than it was at the dot-com peak 20 years ago. In both instances, a very...

Persistent link: https://www.econbiz.de/10012496514

What Does Financial Market Do? The Formation of Share Market Prices Under Heterogeneous Beliefs and Common Knowledge

Biondi, Yuri - 2012

Financial economic models often assume that investors know (or agree on) the fundamental value of the shares of the firm, easing the passage from the individual to the collective dimension of the financial system generated by the Share Exchange over time. Our model relaxes that heroic assumption...

Persistent link: https://www.econbiz.de/10013114734

The Dynamics of Cross-Boundary Fire - Financial Contagion between the Oil and Stock Markets

Wang, Haiying - 2020

switching-copula-extreme value theory (MRS-copula-EVT) model to quantitatively investigate financial contagion and its …

Persistent link: https://www.econbiz.de/10012824924

On the 'Usual' Misunderstandings between Econophysics and Finance : Some Clarifications on Modelling Approaches and Efficient Market Hypothesis

Ausloos, Marcel - 2018

In line with the recent research and debates about econophysics and financial economics, this article discusses on … econophysics, the methodology used by financial economists is frequently considered as a top-down approach (starting from a priori …-up approach. Although this dualist perspective is very common in the econophysics literature, this paper claims that the …

Persistent link: https://www.econbiz.de/10012907171

Heterogeneous speculators and stock market dynamics : a simple agent-based computational model

Schmitt, Noemi; Schwartz, Ivonne; Westerhoff, Frank H. - 2020

We propose a simple agent-based computational model in which speculators' trading behavior may cause bubbles and crashes, excess volatility, serially uncorrelated returns, fat-tailed return distributions and volatility clustering, thereby replicating five important stylized facts of stock...

Persistent link: https://www.econbiz.de/10012257370

Financial crises and the dynamic linkages between stock and bond returns

Eraslan, Sercan; Ali, Faek Menla - 2017

This paper investigates the dynamic linkages in terms of the first and second moments between stock and bond returns, within a wide range of advanced economies, over the different phases of the recent financial crisis. The adopted empirical framework is a bivariate volatility model, where...