Year: 2003
Author: Bohl, Martin T.
Credit and Capital Markets – Kredit und Kapital, Vol. 36 (2003), Iss. 4 : pp. 465–482
Abstract
The Stock Market Booms of the 80s and the 90s: Were they Speculative Bubbles?
Relying on a present value model and incorporating a quite general class of processes to model bubble like stock price deviations from the long-run equilibrium we provide empirical evidence of the existence of speculative bubbles in British, German and US stock prices. For this purpose we apply a new non-linear time series technique designed to detect asymmetric short-run adjustments to the longrun equilibrium. The empirical findings support the long-run validity of the present value model. Nevertheless, in the short-run stock prices exhibit bubble like departures from present value prices followed by a crash in all three stock markets under investigation. Hence, the stock price increases in the 80s and 90s may be driven by non-fundamental speculative bubble processes.
Journal Article Details
Publisher Name: Global Science Press
Language: Multiple languages
DOI: https://doi.org/10.3790/ccm.36.4.465
Credit and Capital Markets – Kredit und Kapital, Vol. 36 (2003), Iss. 4 : pp. 465–482
Published online: 2003-04
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 18
Author Details
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