This study tests for the presence of periodically, partially collapsing speculative bubbles in the sector indices of the S&P 500 using a regime-switching approach. We also employ an augmented model that includes trading volume as a technical indicator to improve the ability of the model to time...

Following early failures, more recent empirical evidence has suggested that timing entries to and exits from equity markets may be feasible. A number of approaches to this most basic form of dynamic asset allocation are available, but which works best? This study investigates the relative...

In this paper we test for the presence of periodically partially collapsing, positive and negative speculative bubbles in the Samp;P 500 Composite Index for the period 1888-2003. We extend existing regime - Switching models of speculative behavior by including abnormal volume as an indicator of...

This paper investigates whether the prices of UK equity-traded property stocks over the past fifteen years contain evidence of a speculative bubble. Speculative bubbles are generated when investors include the expectation of the future price in their information set. In the presence of...

Many recent studies have documented the presence of speculative bubbles, defined as systematic and increasing deviations of actual prices from fundamentals, in asset prices. However, thus far the usefulness of such models has been examined in the literature only from a statistical perspective....

This study tests for the presence of periodically, partially collapsing speculative bubbles in the sector indices of the Samp;P 500 using a regime-switching approach. We also employ an augmented model that includes trading volume as a technical indicator to improve the ability of the model to...