Dissertations / Theses: 'Stock bubbles'

1

Yang, Qian. "Stock bubbles : The theory and estimation." Thesis, Brunel University, 2006. http://bura.brunel.ac.uk/handle/2438/3597.

Full text

Abstract:

This work attempts to make a breakthrough in the empirical research of market inefficiency by introducing a new approach, the value frontier method, to estimate the magnitude of stock bubbles, which has been an interesting topic that has attracted a lot of research attention in the past. The theoretical framework stems from the basic argument of Blanchard & Watson’s (1982) rational expectation of asset value that should be equal to the fundamental value of the stock, and the argument of Scheinkman & Xiong (2003) and Hong, Scheinkman & Xiong (2006) that bubbles are formed by heterogeneous beliefs which can be refined as the optimism effect and the resale option effect. The applications of the value frontier methodology are demonstrated in this work at the market level and the firm level respectively. The estimated bubbles at the market level enable us to analyse bubble changes over time among 37 countries across the world, which helps further examine the relationship between economic factors (e.g. inflation) and bubbles. Firm-level bubbles are estimated in two developed markets, the US and the UK, as well as one emerging market, China. We found that the market-average bubble is less volatile than industry-level bubbles. This finding provides a compelling explanation to the failure of many existing studies in testing the existence of bubbles at the whole market level. In addition, the significant decreasing trend of Chinese bubbles and their co-moving tendency with the UK and the US markets offer us evidence in support of our argument that even in an immature market, investors can improve their investment perceptions towards rationality by learning not only from previous experience but also from other opened markets. Furthermore, following the arguments of “sustainable bubbles” from Binswanger (1999) and Scheinkman & Xiong (2003), we reinforce their claims at the end that a market with bubbles can also be labelled efficient; in particular, it has three forms of efficiency. First, a market without bubbles is completely efficient from the perspective of investors’ responsiveness to given information; secondly, a market with “sustainable bubbles” (bubbles that co-move with the economy), which results from rational responses to economic conditions, is in the strong form of information-responsive efficiency; thirdly, a market with “non-sustainable bubbles”, i.e. the bubble changes are not linked closely with economic foundations, is in the weak form of information-responsive efficiency.

APA, Harvard, Vancouver, ISO, and other styles

2

Chen, YenHsiao. "Stock prices : fundamentals, bubbles and investor behaviour." Thesis, University of Aberdeen, 2008. http://digitool.abdn.ac.uk/R?func=search-advanced-go&find_code1=WSN&request1=AAIU500768.

Full text

Abstract:

This thesis investigates ten markets: U.S., U.K., Hong Kong, Japan Singapore, Malaysia, South Korea, Thailand, Taiwan, and Indonesia over a sample period covering roughly from the 1970s to 2006, in order to investigate whether bubble behaviour is a major source of financial instability. Price movements have fundamental components and bubble components. An attempt to explain price behaviour therefore prompts two major questions: What are the fundamental drivers of stocks? What behaviour causes actual prices to deviate from their fundamental values? This thesis constructs fundamental movements in stock prices by utilising the present value model, which, in turn, involves two further issues. First, do investors expect the required rate of return to be time-varying? Second, which fundamental driver, dividends or earnings, is more efficient in tracing investor perceptions of expected cash flows? I address the former issue by building and testing two models which assume constant discount rate and time-varying discount rate respectively. The second issue we address by using dividends and earnings data as the fundamental factor. Revealed deviations from fundamental value are investigated by considering three types of bubble behaviour discussed in the extant literature: rational explosive bubbles; rational intrinsic bubbles; and irrational price dynamics. Such bubble processes are then compared with actual price movements to gauge which type of behaviour is more likely to track actual prices in the sample markets. With respect to whether the required rate of return is time-varying, two variants of the present value model are used to construct the fundamental values of the relevant market indices. Results demonstrate that the dynamic version of the present value model has superiority in tracking actual price movements when compared to a static version of the present value model. With regard to which series is more effective in tracing investor expected cash flows, the more broadly defined expected earnings, rather than cash dividends, drive stock prices in the developed markets of the U.S., U.K. and Japan, as well as the developing markets of Korea and Malaysia. Dividends have relatively more influence on the markets of Thailand, Taiwan and Indonesia, but neither the dividend discount nor earnings discount model can explain the time path of stock prices in Hong Kong and Singapore. In terms of the drivers of bubble phenomena, results suggest no rational explosive bubble exists in any of the markets in the sample.

APA, Harvard, Vancouver, ISO, and other styles

3

Hsieh, Tsung-Han. "Essays on financial bubbles and stock liquidity on the London Stock Exchange." Thesis, Queen's University Belfast, 2017. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.727402.

Full text

Abstract:

This thesis is a theoretical and empirical analysis of asset price movement including during periods characterised by financial bubbles. It can be argued that financial bubbles occur due to excessive optimism on the part of speculative investors. The positive expectations of investors encourage increases in both price and trading volume. When prices subsequently falter exodus from the market ensues resulting in both a price and trading volume crash. A key question is why do bubbles emerge and grow and subsequently burst? One answer to this question may be found through an analysis of how beliefs are formulated. In the theoretical component of this thesis (Chapter 2) by applying the feedback modelling approach with the coordination game of Ozcenoren and Yuan (2008) we model how investor beliefs are formulated. In Chapter 3 we use transaction-level data to investigate market illiquidity on the London Stock Exchange over the period 1996-2009. The time period under investigation encompasses the Internet (Dot-com) bubble (1997-2000) and house price bubble (2007-2008). Our dataset covers 1,600 stocks and more than 528 million trades. Chapter 4 present the second empirical investigation and considers whether spreads on the London Stock Exchange have become increasingly right skewed.

APA, Harvard, Vancouver, ISO, and other styles

4

Basoglu, Fatma. "Testing For Rational Bubbles In The Turkish Stock Market." Master's thesis, METU, 2012. http://etd.lib.metu.edu.tr/upload/12614505/index.pdf.

Full text

Abstract:

In this thesis we empirically examine whether the Turkish stock market is driven by rational bubbles over the period between March 1990 and February 2012. The bubble periods are estimated using a recently developed right-tailed unit root test, the generalized sup augmented Dickey-Fuller test of Phillips, Shi and Yu (2011a). Applying their bubble detection and location strategies to weekly price dividend ratio series, we find strong evidence for the existence of rational bubbles in the Turkish stock market benchmark indices as well as sector indices. Our located bubble periods may give early warning signals of the subsequent Turkish financial crisis.

APA, Harvard, Vancouver, ISO, and other styles

5

Rotermann, Benedikt [Verfasser], and Bernd [Akademischer Betreuer] Wilfling. "Econometric estimation and theoretical modeling of rational stock-market bubbles / Benedikt Rotermann ; Betreuer: Bernd Wilfling." Münster : Universitäts- und Landesbibliothek Münster, 2014. http://d-nb.info/1138280798/34.

Full text

APA, Harvard, Vancouver, ISO, and other styles

6

Ricke, Markus. "Margin loans and stock market bubbles : an analytical model and empirical tests of selected results /." Frankfurt am Main : Knapp, 2006. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=014770208&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

Full text

APA, Harvard, Vancouver, ISO, and other styles

7

Ferreira, Marcos Souza. "Bubble detection in Brazil’s stock market: application of the generalized superior augmented Dickey-Fuller test." reponame:Repositório Institucional do FGV, 2016. http://hdl.handle.net/10438/16704.

Full text

Abstract:

Submitted by Marcos Souza Ferreira (mferreira@poli.ufrj.br) on 2016-07-27T13:57:40Z No. of bitstreams: 1 FERREIRA M - BUBBLE DETECTION IN BRAZILS STOCK MARKET.pdf: 405486 bytes, checksum: 54cd37d39ac7269f0a808b0e73addedb (MD5)
Rejected by Renata de Souza Nascimento (renata.souza@fgv.br), reason: Marcos, boa tarde Por gentileza, verificar a numeração das páginas. Está correto, elas aparecerem a partir da Introdução, porém, não deve se iniciar pela página 1. Por exemplo, se a Introdução é na página 11, incluir a partir da página 11. Em seguida submeter novamente o arquivo. Att on 2016-07-28T15:38:39Z (GMT)
Submitted by Marcos Souza Ferreira (mferreira@poli.ufrj.br) on 2016-07-28T16:49:04Z No. of bitstreams: 1 FERREIRA M - BUBBLE DETECTION IN BRAZILS STOCK MARKET_2.pdf: 684136 bytes, checksum: a1699da4f25b85c408c1bb37a9f00b99 (MD5)
Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2016-07-28T16:58:52Z (GMT) No. of bitstreams: 1 FERREIRA M - BUBBLE DETECTION IN BRAZILS STOCK MARKET_2.pdf: 684136 bytes, checksum: a1699da4f25b85c408c1bb37a9f00b99 (MD5)
Made available in DSpace on 2016-07-28T17:28:22Z (GMT). No. of bitstreams: 1 FERREIRA M - BUBBLE DETECTION IN BRAZILS STOCK MARKET_2.pdf: 684136 bytes, checksum: a1699da4f25b85c408c1bb37a9f00b99 (MD5) Previous issue date: 2016-06-28
Considering the importance of the proper detection of bubbles in financial markets for policymakers and market agents, we used two techniques described in Diba and Grossman (1988b) and in Phillips, Shi, and Yu (2015) to detect periods of exuberance in the recent history of the Brazillian stock market. First, a simple cointegration test is applied. Secondly, we conducted several augmented, right-tailed Dickey-Fuller tests on rolling windows of data to determine the point in which there’s a structural break and the series loses its stationarity.

APA, Harvard, Vancouver, ISO, and other styles

8

Fu, Man. "A Study of Stock Market Fluctuations and their Relations to Business Conditions." FIU Digital Commons, 2009. http://digitalcommons.fiu.edu/etd/89.

Full text

Abstract:

Most research on stock prices is based on the present value model or the more general consumption-based model. When applied to real economic data, both of them are found unable to account for both the stock price level and its volatility. Three essays here attempt to both build a more realistic model, and to check whether there is still room for bubbles in explaining fluctuations in stock prices. In the second chapter, several innovations are simultaneously incorporated into the traditional present value model in order to produce more accurate model-based fundamental prices. These innovations comprise replacing with broad dividends the more narrow traditional dividends that are more commonly used, a nonlinear artificial neural network (ANN) forecasting procedure for these broad dividends instead of the more common linear forecasting models for narrow traditional dividends, and a stochastic discount rate in place of the constant discount rate. Empirical results show that the model described above predicts fundamental prices better, compared with alternative models using linear forecasting process, narrow dividends, or a constant discount factor. Nonetheless, actual prices are still largely detached from fundamental prices. The bubble-like deviations are found to coincide with business cycles. The third chapter examines possible cointegration of stock prices with fundamentals and non-fundamentals. The output gap is introduced to form the non-fundamental part of stock prices. I use a trivariate Vector Autoregression (TVAR) model and a single equation model to run cointegration tests between these three variables. Neither of the cointegration tests shows strong evidence of explosive behavior in the DJIA and S&P 500 data. Then, I applied a sup augmented Dickey-Fuller test to check for the existence of periodically collapsing bubbles in stock prices. Such bubbles are found in S&P data during the late 1990s. Employing econometric tests from the third chapter, I continue in the fourth chapter to examine whether bubbles exist in stock prices of conventional economic sectors on the New York Stock Exchange. The ‘old economy’ as a whole is not found to have bubbles. But, periodically collapsing bubbles are found in Material and Telecommunication Services sectors, and the Real Estate industry group.

APA, Harvard, Vancouver, ISO, and other styles

9

Abou, Wafia Hashem. "The effects of financial contagion, bubbles and monetary policy on the stock markets of the Middle East and North Africa region." Thesis, University of Essex, 2013. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.616988.

Full text

Abstract:

This thesis investigates the impact of the US Subprime Crisis on the stock markets of the MENA region to derive the appropriate policy response that can mitigate the adverse effects of such events in the future. The objective of the first chapter is to determine whether the shock transmission occurred due to interdependence, or shift contagion. Two correlation based methods are employed that attempt to control for the heteroskedasticity introduced into the data due to the crisis event. The first method adjusts the correlation measure to directly correct for the heteroskedasticity bias. While the second method uses the Dynamic Conditional Correlation GARCH model which models the heteroskedasticity and traces out the conditional correlation series. The results obtained support the notion of shift contagion which implies that direct intervention in the markets could have lessened the adverse effects of the shock. The second chapter sets out to determine whether or not stock prices in these markets were inflated prior to the crisis. Specifically it tests for the presence of periodically collapsing speculative bubbles using a Markov switching ADF test and the Generalized Sup ADF test. Both methods enable the date stamping of bubble emergence and collapse. The results do not support the presence of a bubble prior to the Subprime crisis and thus confirm the conclusion of the first chapter that the shock was transmitted through shift contagion. Chapter three examines the interdependence between monetary policy, real exchange rates and stock prices to determine if monetary instruments can be used to influence stock prices in these markets. A combination of long and short run restrictions are employed to identify the monetary policy shock within a structural V AR framework. The results are heterogeneous but generally show that markets that pursue a relatively more independent monetary policy have more influence on stock prices.

APA, Harvard, Vancouver, ISO, and other styles

10

Beitl, Marek. "Analýza výkonnosti čínského akciového trhu." Master's thesis, Vysoká škola ekonomická v Praze, 2017. http://www.nusl.cz/ntk/nusl-359225.

Full text

Abstract:

The thesis deals with analysis of performance of the Chinese stock market. The first chapter presents basic general characteristics of the stock market and equity investment. The second chapter focuses on the specifics of Chinese stock market. The third, last, chapter analyzes performance of the Chinese stock market.

APA, Harvard, Vancouver, ISO, and other styles

11

Hýža, David. "Stock market panics, safe havens and implications for the portfolio management." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-199200.

Full text

Abstract:

The thesis addresses the instabilities in stock markets in the USA. There are many factors that may increase the price volatility, or even cause a panic. During these turbulent times investors can seek shelter in investment safe havens that allow protecting their portfolio against significant financial losses. The focus is put on identifying the situations where it is appropriate to use the safe havens and how to properly time all transactions. Historical insight, events study and investigating economic cycles are the integral part of the work.

APA, Harvard, Vancouver, ISO, and other styles

12

Zajíc, Jiří. "Dot-com bubble - faktor hospodářského úspěchu USA v 90. letech 20. století?" Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-201947.

Full text

Abstract:

This thesis deals with the impacts of information and communication technology investment surge on USA economic growth in the 1990s. Besides others, rapid development of these technologies also led to the creation of a stock market bubble, which affected the expansion phase of the economic cycle. Its burst in 2000-2001 resulted in economic slow-down and end of the longest recorded economic expansion in the history of the United States. Main part of the thesis discusses the benefits of information technology for economy and further evaluates the role of the speculative bubble in the development of consumption and investment expenditures. The thesis results suggest that the increase in capital intensity and sharp stock market price inflation significantly accelerated the dynamics of the economic growth in the second half of the described cycle.

APA, Harvard, Vancouver, ISO, and other styles

13

Vémola, Martin. "Kritická analýza dopadu finanční krize na vývoj investičních nástrojů zaměřených na nemovitosti a prognóza dalšího vývoje." Master's thesis, Vysoké učení technické v Brně. Ústav soudního inženýrství, 2011. http://www.nusl.cz/ntk/nusl-232600.

Full text

Abstract:

This thesis deals with investment analysis tools focused on real estate. Thesis describes investment instruments in the Czech Republic and abroad. The practical part is devoted to equity indices, which focus on Central and Eastern Europe. The thesis describes the possible causes of the financial bubble in real estate stock markets and the impact of financial crisis on the evolution of these equities.

APA, Harvard, Vancouver, ISO, and other styles

14

Endi, Ali Ahmed. "An investigation into the technology stock bubble." Master's thesis, University of Cape Town, 2005. http://hdl.handle.net/11427/5784.

Full text

Abstract:

Word processed copy.
Bibliography: leaves 133-144.
This dissertation investigates whether technology stock prices in the NASDAQ stock market over the past 10 years contain evidence of the existence bubbles. In recent years, a sharp divergence of NASDAQ stock exchange equity prices from dividends has been noted. Our investigation focuses on whether this divergence can be explained by reference to the presence of bubbles.

APA, Harvard, Vancouver, ISO, and other styles

15

Kluaymai-Ngarm, Jumpon. "An empirical investigation of bubble and contagion effects in the Thai stock market." Thesis, Loughborough University, 2016. https://dspace.lboro.ac.uk/2134/23127.

Full text

Abstract:

This thesis examines stock price bubbles in the Stock Exchange of Thailand (SET) from its establishment in April 1975 until December 2012 using regime-switching bubble models, on the main aggregated market index, called the SET Index, and several disaggregated stock indices by industrial sector. The results suggest some evidence of bubble-like behaviour in these indices, most especially when a structural break is included at July 1997, the date when Thailand switched to adopting a managed floating exchange rate system. Given the limitations of published stock price indices in Thailand a new, consistent index was computed the K-NI. The econometric test results using this new index indicate strong evidence of stock price bubbles in several industrial sectors and at least some evidence of bubbles in all industry groups in the SET. Finally, the standard model is extended to study the transmission of bubbles between industry groups. The results indicate some levels of contagion in the Technology sector, as well as, in several other industry groups, while the Resources sector seems to be relatively isolated.

APA, Harvard, Vancouver, ISO, and other styles

16

Stany, Linda, and Anna Söderberg. "Millenniebubblan : Vilka faktorer hade betydelse för dess utveckling." Thesis, Linköping University, Department of Management and Economics, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-5912.

Full text

Abstract:

Every tenth year a financial crisis tend to interfere with an economy. Price bubbles with an accompanying market plunge are therefore not a new phenomenon. Such market disruptions have been causing problems for centuries, as history has a tendency to repeat itself. The intention with this study is to learn more about the bubble phenomenon and increase the knowledge in this area in order to, if possible, prevent such a thing from happening again. The purpose of the essay is to identify factors that significantly affected the development of the so called IT-bubble in Sweden and Finland during the years of 1995-2000. The previous purpose can be divided into two sub-purposes, namely; to point out which financial theory/theories that succeeds the best to explain the development of the IT-bubble, and additionally; to detect factors that can help us foreseeing similar scenarios in the future.

The study concentrates on Sweden and Finland. Furthermore, only stock market bubbles are studied. As a consequence, other types of financial crises, for example bank crises, are excluded from this study. The method used to answer the first sub-purpose is an analysis of financial theories which enables us to find factors that according to theory could have caused the rise of the price bubble. In order to answer the second sub-purpose we take use of a statistical method. We have designed a statistical model based on the results of previous mentioned analysis. In this model we try the relevance of the detected factors from the theoretical analysis in order to investigate if theory manages to explain the birth of a stock market bubble.

The result of our study has generated four different factors; macro economic; institutional; psychological and asymmetric information. These four categories showed importance for the development of the IT-bubble in Sweden and Finland. Out of the four factors, the psychological factor is said to be the most important, but in the mean time the hardest one to predict. The statistical model indicates that the number of bankruptcies, the total amount of household’s borrowing and results from attitude surveys in the case of Sweden, and the number of bankruptcies, new registrations of cars and finally consumers attitude towards making a big purchase at present, in the case of Finland are variables to be aware of when looking out for a stock market bubble. The statistical model, as pointed out in the study, is not perfect. Additional studies are necessary to confirm the results presented in this report.

Finansiella kriser tenderar att drabba ekonomin med ungefär tio års intervaller. Prisbubblor med tillhörande djupdykning på marknaden är således inget nytt fenomen. Denna störning i marknadsharmonin har funnits under flertalet sekler och historien har en benägenhet att upprepa sig. Bakgrunden till studien är således att öka förståelsen för bubbelfenomenet och att, om det är möjligt, förhindra att det händer igen. Syftet med studien är att påvisa faktorer som har haft signifikant betydelse för den så kallade IT-bubblans utveckling i Sverige och Finland under åren 1995-2000. Det övergripande syftet kan vidare indelas i två delsyften, vars mål dels är att påvisa vilken eller vilka finansiella teorier som bäst förklarar IT-bubblans utveckling, dels hitta faktorer som kan hjälpa oss att förutse likartade scenarier i framtiden.

Studien fokuserar på länderna Sverige och Finland, och avgränsar sig därmed från övriga länder. Vidare studeras enbart börsbubblor och fall, varför övriga typer av finansiella kriser, så som exempelvis bankkriser utesluts. Metoden för att besvara det första delsyftet är att göra en analys av finansiella teorier för att lyfta fram faktorer som enligt dem kan ha haft avgörande betydelse för bubblans uppbyggnad. Metoden för det andra delsyftet är att bygga en statistisk modell med hjälp av de faktorer som resulterat av ovan nämnda analys, för att pröva deras relevans.

Resultatet av vår studie har genererat en grupp bestående av fyra olika faktorer; makroekonomiska, institutionella, psykologiska faktorer och asymmetrisk information som bäst förklarar IT-bubblans uppkomst. Av dessa är den psykologiska faktorn den viktigaste, och samtidigt också den svåraste att förutsäga. Det är framförallt teorierna inom ”behavioural finance” som fokuserar på psykologiska effekter, varför de bäst förklarar händelseförloppet under IT-bubblan. Den statistiska modellen indikerar att antalet konkurser, hushållens totala utlåning och resultatet av samhällsekonomiska attitydundersökningar i fallet Sverige, samt antalet konkurser, nyregistrering av bilar, och slutligen konsumenternas attityd till stora köp och till att ta lån för tillfället, i fallet Finland, är variabler som vi kan vara uppmärksamma på för att försöka förutse börsbubblor. Den statistiska modellen är, som poängteras i arbetet, inte fulländad utan ytterligare studier fordras för att belägga detta ytterligare.

APA, Harvard, Vancouver, ISO, and other styles

17

Zhu, Lin. "Three essays on asset bubbles and economic growth in a small open economy." Thesis, University of Macau, 2018. http://umaclib3.umac.mo/record=b3959330.

Full text

APA, Harvard, Vancouver, ISO, and other styles

18

Iyer, Sruthi Ganesan. "Design Study to Visualize Stock Market Bubble Formations and Bursts." Thesis, Virginia Tech, 2014. http://hdl.handle.net/10919/49100.

Full text

Abstract:

The stock market is a very complex and continuously changing environment in which many varying factors shape its growth and decline. Studying interesting trends and analyzing the intricate movements of the market, while ignoring distracting and uninteresting patterns has the potential to save large amounts of money for individuals as well as corporations and governments. This thesis describes research that was conducted with the goal to visualize stock market data in such a way that it is able to show how behavior and movement of various market entities affects the condition of the market as a whole. Different visualizations have been proposed, some that improve on existing traditional methods used by the Finance community and others that are novel in their layout and representation of data and interactions. The proposed design, by the use of interactive multiple coordinated views showing overviews and details of the stock market data using animated bubble charts and statistics, aims to enable the user to visualize market conditions that lead to the formation of a bubble in the market, how they lead to a crash and how the market corrects itself after such a crash.
Master of Science

APA, Harvard, Vancouver, ISO, and other styles

19

Paškevičius, Paulius. "Vertybinių popierių portfelio formavimas finansinių krizių laikotarpiu." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2014. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2010~D_20140625_184430-95645.

Full text

Abstract:

Cikliškas ekonominis augimas yra natūralus ir neišvengiamas reiškinys, tačiau kuo mažesnės šių ekonominių ciklų svyravimo amplitudės, tuo patrauklesnis šalies ūkis yra. Didžiausi ekonominiai sunkumai šalis ištinka tuomet, kai šalyje įvyksta finansų krizės, kurioms pastaruoju metu dažniausiai pasireiškia kainų burbulo sprogimu. Dabartinė finansų krizė, prasidėjusi nuo antrinių būsto paskolų krizės JAV, sprogus nekilnojamo turto kainų burbului, išsiplėtė per visą pasaulį, kur ji neišvengiamai pareikalavo aukų: žlugo du didžiausi pasaulyje investiciniai bankai Lehman Brothers ir Merill Lynch, du didžiausi JAV hipotekos bankai Fannie Mae ir Freddie Mac, stipriai nukrito visų pasaulio akcijų indeksai. Akivaizdu, jog pasaulis supranta šios problemos mastą ir galimas pasekmes, kadangi XX a. tokių krizių jau buvo, jos stipriai paveikė to meto ekonominį bei politinį regionų kursą. Tačiau dabar šalių ekonomikos yra žymiai labiau susijusios, todėl būsimos šios krizės pasekmės bus gerokai didesnės. Įdomu, kaip tokiomis sąlygomis bankai bei kitos finansų institucijos tvarko turimus aktyvus finansų rinkose, kyla klausimas ar geresnio turto diversifikavimo siekis netaps finansų rinkų griūties priežastimi. Tyrimo objektas – vertybinių vertybinių popierių rinka finansinių krizių laikotarpiu. Darbo tikslas – išnagrinėjus ir apibendrinus mokslinę – teorinę literatūrą, suformuoti vertybinių popierių portfelį apsaugotą nuo ciklinių ekonominių svyravimų. Išsikeltą tikslą padeda pasiekti... [toliau žr. visą tekstą]
Cyclical economical growth is natural and unavoidable phenomenon, at the same time the less amplitudes of economical cycles fluctuations are, the more attractive economy of a country is. Countries sustain ultimate difficulties when financial crises happen in a certain country. Latterly such crises mostly come into play as the prices bubble burst. The current financial crisis started from the crisis of secondary dwelling credits in the USA. After prices bubble burst it has spread worldwide and unavoidably claimed following victims: crashed two most famous underwriting banks of the world Lehman Brothers and Merrill Lynch, two biggest mortgage banks of the USA Fannie Mae and Freddie Mac, substantially fell down all stock indexes. It is evident that the world realizes the extent of this problem and probable results because similar crises had place during XX century. They impacted on economical and political regional course of that time rather strongly. But modern economies of various countries are involved in more noticeable degree, so forthcoming consequences of this crisis will be rather heavier. It is interesting how in such circumstances banks and other financial institutions manage their assets in financial markets. Also the question is whether an object of the better property diversification wouldn’t become the ground for a financial markets fall. Research object – stock market during financial crisis period. Purpose of this study is to explore and summarize theoretical... [to full text]

APA, Harvard, Vancouver, ISO, and other styles

20

Janičíková, Monika. "IPO - od technologické bubliny až po Facebook." Master's thesis, Vysoká škola ekonomická v Praze, 2012. http://www.nusl.cz/ntk/nusl-124540.

Full text

Abstract:

The thesis IPO since the technology bubble to Facebook deals with IPO development during the last fifteen years. The cyclical development of numbers and volume of raised capital is observable. From the theoretical point of view the market timing theory reflects this situation very well. Analysis of stock market bubble blowing and bursting performed mainly during the technological revolution at the end of the 20th century and partly during REITs bubble lead to conclusion that there mentioned fundamental indicators are not able to explain the bubble as a whole. According to indicative valuation and comparative methods IPO offer price of the company Facebook was about 23--27 % overvalued. In connection with subsequent problematic development of the company it is not likely to happen that the Facebook's IPO starts a new IPO wave in the internet media sector.

APA, Harvard, Vancouver, ISO, and other styles

21

Li, Xiaokun. "Akciové cenové bubliny." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-16961.

Full text

Abstract:

Economic bubbles are playing an increasingly significant role in the current global economy. We believe these bubbles are to a certain extent dominating the real economy, and, therefore, research based on this specific economic phenomenon is becoming increasingly popular and important. The focus of this master's thesis is based upon analysis of stock price bubbles. This thesis contains author analyzed historical cases representative of stock price bubbles; summarizations of their traditional features; common factors causing their formation; and reasons leading to their bursting. Solutions to the dilemma of stock price bubbles are discussed in depth, and emphasis is placed upon clearly deciphering different theoretical approaches regarding this phenomenon-not only from the efficient market hypothesis viewpoint but also from the perspective of behavioral finance. The research contains testing and measuring methodologies of stock price bubbles, and the author's view concerning them is strongly supported by the results within the empirical data-testing chapter. Upon reading, one can expect to achieve a basic overview of this forefront science.

APA, Harvard, Vancouver, ISO, and other styles

22

Borda, Jorge Victor Quiñones. "Log periodic analysis of critical crashes in the portuguese stock market." Master's thesis, Instituto Superior de Economia e Gestão, 2015. http://hdl.handle.net/10400.5/11082.

Full text

Abstract:

Mestrado em Ciências Empresariais
O estudo de fenómenos críticos que se originaram nas ciências naturais e encontraram muitos campos de aplicação foi estendido nos últimos anos aos campos da economia de finanças, fornecendo aos investigadores novas abordagens para problemas conhecidos, nomeadamente aos que estão relacionados com a gestão de risco, a previsão, o estudo de bolhas financeiras e crashes, e muitos outros tipos de problemas que envolvem sistemas com criticalidade auto-organizada. A teoria de singularidades de tempo oscilatório auto-similares é apresentada, uma metodologia prática é exposta, juntamente com alguns resultados de análises semelhantes de diferentes mercados em todo o mundo, como uma maneira de obter de alguns exemplos da forma como a função "linear" log-periódica de potências funciona. Apresento alguns contextos onde o tempo de crise é apresentado aos mercados internacionais - como uma maneira de demonstração de antecedentes -, assim como apresento também três aplicações práticas do mercado de acções português (1997, 2008 e 2015). A sensibilidade dos resultados e do significado das oscilações log-periódicas são avaliadas. Concluo com algumas recomendações e futuras propostas de investigação.
The study of critical phenomena that originated in the natural sciences and found many fields of applications has been extended in the last years to the financial economics? field, giving researchers new approaches to known problems, namely those related to risk management, forecasting, the study of bubbles and crashes, and many kind of problems involving complex systems with self-organized criticality. The theory of self-similar oscillatory time singularities is presented. A practical methodology is exposed along with some results from similar analysis from different markets around the world, as a way to get some examples of the way the ´Linear´ Log-Periodic Power Law formula works. Some context presenting the international markets at the time of crisis is given as a way of having some background, and three practical applications for the Portuguese stock market are made (1997, 2008 and 2015). The sensitivity of the results and the significance from the log-periodic oscillations is assessed. It concludes with some recommendations and future proposed research.

APA, Harvard, Vancouver, ISO, and other styles

23

Sairafi, Kamran, Karl Selleby, and Thom Ståhl. "Behavioral Finance : The Student Investor." Thesis, Jönköping University, JIBS, Business Administration, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-1500.

Full text

Abstract:

Bachelor thesis within Business Administration

Title: Behavioral Finance – The Student Perspective

Authors: Kamran Sairafi, Karl Selleby, Thom Ståhl

Tutor: Urban Österlund

Date: 2008-05-30

Background: History is full of examples on how humans can create investment

bubbles through speculation; from the Dutch tulip mania to the

Dot Com bubble humans have proven to be capable of creating

economical chaos. Classical economical theories hold the assumption

that individuals act rationally regarding decisions of an

economical nature. Since the information on the stock market is

available to everyone who seeks it, the appearance of investment

bubbles should not be possible. Behavioral finance is an academic

branch which seeks to explore these phenomenons through the

psychological factors affecting humans in investment decisions.

Purpose: The purpose of the report is twofold. Firstly it is to examine the

characteristics of investment interested business students enrolled

at Jönköping International Business School. Secondly it looks into

the decision-making process and choices of the population

from the perspective of behavioral finance.

Method: This research holds an abductive approach and is based on qualitative

data. Data collection was done through an Internet-based

questionnaire containing several different questions on the areas

related to the inquiries. In some cases statistical analysis was conducted

to test for significant correlation between key characteristics.

Results: A statistically proven correlation could be discerned between

trading experience and frequency; for each additional year an individual

engaged in trading the frequency increased. Herd behavior

was detected in a majority of the sample. When faced with a

scenario in which their immediate surrounding opposed their own

analysis of a stock, the greater part of the sample would reconsider

their position. Two main sub-groups were detected. The first

was characterized by its high tolerance of risk; the second subgroup

was characterized by its inconsistency in behavior.

Conclusions: This paper found that the behavior of respondents in the chosen

population was best described as “student behavior”; a somehow

irrational behavior explained by the learning process in which

business students exist.

APA, Harvard, Vancouver, ISO, and other styles

24

Panušková, Monika. "Akciový trh ČR v podmínkách mezinárodní finanční krize." Master's thesis, Vysoká škola ekonomická v Praze, 2009. http://www.nusl.cz/ntk/nusl-16535.

Full text

Abstract:

This master's thesis deals with stock market of the Czech Republic under financial crisis conditions. It is divided into a theoretical and a practical part. The theoretical part describes a stock price, most significant stock bubbles and fundamental, technical and psychological analysis. The practical part of this thesis is dedicated to an up-to-date stock valuation of three representative stock companies quoted on Prague Stock Exchange by using the fundamental analysis. The technical analysis is applied as an additional approach. The main target of this thesis is to verify whether the current Czech stock market can not be designated as a stock bubble any more in contrast to a situation before the financial crisis.

APA, Harvard, Vancouver, ISO, and other styles

25

Netušil, Petr. "Psychologická analýza akciového trhu." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2012. http://www.nusl.cz/ntk/nusl-223609.

Full text

Abstract:

This diploma thesis is looking into investments to stocks portfolio by methods of psychologica analysis. Structure of the thesis is consisted of three parts. In the first part there are intruduced necessary theoretical prerequisities for understanding of stock market. Second and third part is focused on practical application and major stock market events from the past. Thesis thus describes and analyses the possibilities of psychological analysis usage while deciding about investments into selected portfolio of securities at capital markets.

APA, Harvard, Vancouver, ISO, and other styles

26

Kolev, Gueorgui I. "Behavioural Biases and Chief Executive Officers Compensation." Doctoral thesis, Universitat Pompeu Fabra, 2009. http://hdl.handle.net/10803/7408.

Full text

Abstract:

Esta tesis consiste de tres ensayos. En el primero, documentamos la correlación imaginaria entre las decisiones de compensación de los ejecutivos (CEO) al demostrar que el hándicap de los ejecutivos que juegan al golf no está correlacionado con su desempeño en la empresa mientras que sí lo está con su compensación. Los golfistas ganan más que los que no juegan al golf, y las pagas se incrementan con la habilidad en este juego. En el segundo ensayo explicamos la reciente espiral de las compensaciones de los ejecutivos basados en el sesgo de atribución fundamental. El análisis de las series temporales agregadas y de datos de sección cruzada correspondiente a la burbuja del mercado accionario en los noventa sugiere que los accionistas exageran al atribuir las subidas y bajadas de los precios de las acciones corporativas a las aptitudes de liderazgo del ejecutivo mientras que subestiman el rol de las fluctuaciones del mercado accionario que se encuentran fuera del control de estos. En el tercer ensayo demostramos que un gran número de Ofertas Públicas Iniciales predice sistemáticamente, tanto dentro como fuera de la muestra, el subsiguiente bajo rendimientos agregado y ponderado, y la diferencia de rendimientos entre las pequeñas y grandes firmas.
This thesis consists of three essays. In the first, we document illusory correlation in CEO compensation decisions by demonstrating that golf handicaps of CEOs are uncorrelated with corporate performance, but related to CEO compensation. Golfers earn more than non-golfers and pay increases with golfing ability. In the second essay we propose a fundamental attribution bias-based explanation of the recent explosive growth in CEO pay. Analysis of aggregate time series data and cross sectional data from the late 1990s stock market bubble period suggests that shareholders overattribute prominent increases and decreases in the prices of corporate stocks to the leadership and skill of the CEOs and underestimate the role of stock market fluctuations that are beyond CEO control. In the third essay we show that increases in the number of Initial Public Offerings reliably predicts in-sample and out-of-sample decreases in subsequent equally weighted aggregate stock returns and the return differential between small and big firms.

APA, Harvard, Vancouver, ISO, and other styles

27

Cheng, Kuang-Fu, and 鄭光甫. "Essays on Stock Bubbles." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/69686035200960509116.

Full text

Abstract:

博士
國立中正大學
財務金融所
97
The first essay, entitled “Stock Bubble and Stock Return Predictability”. Under no bubble assumption, dividend-price model imply dividend-price ratio should be useful in forecasting future stock return or dividend growth, or both. We use fundamentals, such as dividend-price ratio or smoothed earnings-price ratio, to predict stock return for 1871 to 2004 period. We find stock bubble really matter in stock return predictability. For no bubble subperiod, 1871 to 1950, we find strong evidence that fundamentals have predictive power. However, this stock predictability disappears during two bubble subperiods whatever including or omitting 1990s decade, 1951 to 2004 or 1951 to 1990. We also find the similar results for dividend growth and earnings growth predictability. We conclude that dividend-price ratio and smoothed earnings-price ratio can predict future stock returns or cash flows, but only in the periods absent bubbles. The second essay, entitled “Periodically Collapsing Bubbles and Bivariate Causality between Stock Prices and Earnings: Evidence from S&P 500 Index”. We examine the effect of 1990’s S&P periodically collapsing bubble on the stock return predictability by changes in earnings under a bivariate causality model. We clearly identify that 1990’s S&P periodically collapsing bubble began from Nov. 1996 and ended on Apr. 2002 by a forward recursive regression technique developed by Phillips et al. (2007). We find that changes in earnings do not granger cause stock return over our full sample period from Feb. 1973 to June 2007. However, once we control for the bubble effect, the evidence shows that stock return really respond to changes in earnings over the pre-bubble period, Feb. 1973 to Oct. 1996, and post-bubble period, May 2002 to June 2007. Additionally, the no causality result in the bubble period is the same with full sample period. We conclude that stock price bubbles really affect the predictability of stock returns by changes in earnings, and this predictability only exist in the period of no bubble. Finally, on the other hand, we find no causality from stock return to changes in earnings whatever in the full sample period or bubble sub-period.

APA, Harvard, Vancouver, ISO, and other styles

28

Hsu, Ya-Ping, and 徐雅萍. "Limited Investor Attention and Stock Price Bubbles." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/d8f3y4.

Full text

Abstract:

碩士
國立臺中科技大學
財務金融研究所碩士班
106
Soros (1985) considers that because investors can only pay a limited amount of attention to the market, they cannot obtain comprehensive market information. This limitation results in dissimilar market awareness and different market expectations among investors, which can consequently lead to investment biases. Therefore, when investment biases in the market grow, market prices deviate from the fundamental value, engendering a stock price bubble. The present study investigates the effects of limited investor attention on stock price bubbles. The empirical results reveal that stock price bubbles decrease when investors’ attention levels increase. The effects of firm leverage, institutional ownership, firm size, and liquidity on stock price bubbles differ according to proxy variables.

APA, Harvard, Vancouver, ISO, and other styles

29

Liao, Po-Hsin, and 廖柏欣. "Loss Aversion, House Money Effect, and Stock Bubbles." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/30250641144558965114.

Full text

Abstract:

碩士
國立雲林科技大學
財務金融系碩士班
91
The study of assets price bubbles is always the main issue in financial field. However, the related literature of bubbles doesn’t include analysis of psychology behind investors and verified of behavior may result in. In this paper, we construct a theory to explain the bubbles and crash of financial assets under the situation of investors own the psychology of loss aversion or house money effect. Through the behavioral feedback traders interact with rational arbitrageurs and the condition on the partial equilibrium model, the results of this study show: 1. While behavioral feedback traders attitude loss aversion, even though existing rational arbitrageurs, it still forms the bubble. It also crashes larger and larger under the effect of loss aversion. 2. When house money effect existing in behavioral feedback traders and the stock price fall down the historical price, the two segments of kinked demand of behavioral feedback traders will really deepen the falling. Especially, the more of stock price fall down the historical price, the more of crashes to the markets. 3. At last, we differentiate more on the decline degree of stock price under the two mental. Through comparing on the same basis points, we proved that the house money effect cause the deeper decline degree of stock price than the condition of loss aversion. In other words, the crashes are more satisfied with stock market phenomena under the situation of house money effect. The results of this research as mentioned above not only can illustrate the 1987s’ crashes but evidence a specific view from investors' psychology for the declining rapidly financial assets. Under the effect of investor’s psychology, it's just the contribution to these phenomena and the factor that caused these phenomena taken place continuously. If investors could realize adequately their personalities and characters in advance, then, getting rid off the irrational sentiments, the bias of the investment caused by these behaviors will be reduced to the minimum.

APA, Harvard, Vancouver, ISO, and other styles

30

Lai, Wen Shung, and 賴文雄. "The Bubbles of Taiwan Stock Market - An Empirical Study." Thesis, 1993. http://ndltd.ncl.edu.tw/handle/70256444361402728091.

Full text

Abstract:

碩士
淡江大學
金融研究所
81
With the economic growth, exchange accumulating, and the supply of money increasing, there is too much money to invest in too less financial intruments. Therefore, from 1985, the stock price in Taiwan has begun to rise remarkably. In Feb. 1990, the weighted average stock price index had reached its highest record in his history. Intuitively, there may be bubbles in Taiwan stock-market. The study is aimed at this issue. So called bubble is the situation that stock price excesses its fundamentals. Fundatmental is the present valueof future cash inflow of stock (dividends). The instrinsic bubbles model of Frood & Obstfeld is applied to Taiwan stock-market data. Froot and Obst- feld called the bubbles of this type "instrinsic" bubbles because they derive all of their variability from exogeneous economic fundamentals and none from extraneous factors. Estimation is based on the weighted average stock price index and aggregate EPS before tax. The period 1971:1-1992:3 is examined. The results of estimaion are as followed: 1. The simple present-value model based on constant discount rate fails to explain the over volatility of Taiwan stock price. 2. The estimates reveal no strong nonlinear relationship between price and aggregate EPS before tax, which can be interpreted as rejection of the hypothesis that there is bubble during 1971:1-1992:3. But there is bubbles in Taiwan stock-market during the subperiod 1986:1-1992:3. According to the examination, a critical conclusion is that the data provide no strong evidence that Taiwan stock price have instrinsic bubble. That is, if there is instrinsic bubble, the investor just depends on the public information from financial report to make investment decision, he will suffer from great loss.

APA, Harvard, Vancouver, ISO, and other styles

31

柯順雄. "The empirical evidence of bubbles theory in Taiwan stock market: testing the existence and characteristics of bubbles." Thesis, 1992. http://ndltd.ncl.edu.tw/handle/24803810037645781655.

Full text

APA, Harvard, Vancouver, ISO, and other styles

32

Mungule, Oswald Kombe. "Essays on speculative bubbles in financial markets." Thesis, 2012. http://hdl.handle.net/10539/11118.

Full text

Abstract:

The first essay formulates a dynamic rational contagion model in order to analyse the evolution of speculative bubbles. The model consists of two laws of motion: the speculative bubble and the probability of the bubble. The rst essay shows that the model has two stable equilibria and one unstable equilibrium. The dynamics of both the nonlinear speculative bubbles and the probability interact to form two stable equilibria and one unstable equilibrium which lead to ballooning and busting of the speculative bubbles. These features of speculative bubbles are driven by the speculators’s herd behaviour, the bubbles size, the speed of change, the strength of infection, and the effects of both the bubbles and the short-term interest rate on the transition probability. The second essay extracts speculative bubbles from two nancial markets: the foreign exchange and the stock markets for South Africa between 1995Q2 and 2008Q4. The second essay uses the no-arbitrage models for the exchange rate and the stock price. By invoking the rational bubbles theory and using the residuals, we compute the asset price bubbles using the expectational restriction for rational bubbles theory. Three robustness checks on the computed bubbles con rm that speculative bubbles are present in the stock price and the exchange rate. By using iii Abstract iv graphs of speculative bubbles, we show that the speculative bubbles are consistent with the existence of bubble episodes as documented in the literature. The third essay formulates a macro-model of a small-open economy in order to investigate the relative performance of optimal monetary policy rules that respond to speculative bubbles and those that do not. The model consists of two nonlinear speculative bubbles: the stock price and the exchange rate bubbles. These speculative bubbles interact with the IS curve, the Phillips curve and the asset prices. The ndings show that policy rules that respond to speculative bubbles dominate rules that do not.

APA, Harvard, Vancouver, ISO, and other styles

33

Chen, Lii-tarn. "Essays on testing for speculative bubbles in the stock market." 1995. http://catalog.hathitrust.org/api/volumes/oclc/34786427.html.

Full text

APA, Harvard, Vancouver, ISO, and other styles

34

HSU, MING-JEN, and 許銘任. "Study on Taiwan’s Stock Market Bubbles and Its Influencing Factors." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/9v6y95.

Full text

Abstract:

碩士
東海大學
經濟系
106
This article uses the theoretical model constructed by Pavlidis et al. (2017) and combined with the GSADF test proposed by Phillips, Wu, and Yu (2015) to verify whether there are bubbles in the Taiwan stock market from July 1998 to December 2017. The empirical results confirm that there are three signs of bubbles in Taiwan stock market during this sample period. This study further explores the impact of the overall economic variables on the bubble. The empirical results show that there are statistical characteristics of the self-related and heterogeneous variations in the bubble index. The interest rate has a significant negative effect on the bubble and volatility. When interest rate increase, will inhibit the form of bubble. Without considering the inflation rate, the industrial production index has a significant negative effect on the bubble and volatility, which means that increase the output will also reduce the inflation rate of the bubble.

APA, Harvard, Vancouver, ISO, and other styles

35

Wei, Ching-Lin, and 魏慶林. "A Dynamic Analysis of Money market and Stock Market Bubbles." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/36338306818838882068.

Full text

Abstract:

碩士
國立高雄大學
應用經濟學系碩士班
98
Since the financial market posses the feature of the self-fulfilling prophecy, the growth and collapse of stock market bubbles reflects the amplification and diminishing of the beliefs of bubbles. The financial instability hypothesis proposed by Minsky (1992) suggested that the fluctuation in the economy may be resulted from the instability of financial market and such instability could be triggered without exogenous disturbances. As the money market dominates the increases and decreases in stock market funds and the impact of credit amplification on the future expectation of the economy, the money market may be capable of dominating the expectation of bubbles in stock market if the economy system is characterized sufficiently by the financial instability hypothesis. Due to that the rational expectation hypothesis is unable to illustrate endogenous fluctuations in the economy and the reoccurrence of bubbles after complete collapse, the goal of this thesis is to examine whether the belief of repeated crash and arise on bubbles is dominated by the money market following the structure of the financial instability hypothesis. Therefore, this thesis derives cointegration vectors which represent existing intrinsic bubbles and market fundamentals. These vectors can be utilized to filter out the market participant’s belief about bubbles. By using Probit model, the influence of monetary variables on the prior belief of bubbles can be depicted. These vectors and Probit model can be estimated by combining Bayesian econometric framework and Markov Regime-switching approach. The empirical result can display the dynamic process of beliefs of repeat crash and arise on bubbles and show how money market does play a crucial role to dominate these beliefs.

APA, Harvard, Vancouver, ISO, and other styles

36

"Bubbles in Asian stock markets in the era of 1997 financial crisis." 2015. http://repository.lib.cuhk.edu.hk/en/item/cuhk-1291268.

Full text

Abstract:

This study examines the characteristics of the collapse of the stock market and the foreign exchange market in some Asian countries during the 1997 Asian Financial Crisis. The interaction of these two markets during the crisis period is also studied. The method used to detect and date-stamp the timeline of the collapse is the recursive regression approach proposed in Phillips, Shi, and Yu(2015a,b). Tests are conducted on a time series of logged real stock indices and real exchange rate against the US dollar. The dataset includes information about Hong Kong, South Korea, Thailand, Malaysia, Singapore, and Taiwan. Great depreciation periods were detected in the foreign exchange markets of all these countries. And the negative bubbles in the stock markets are only detected in Thailand, South Korea, Malaysia, and Singapore due to different reasons. Moreover, the order of the collapse in these two markets is different for different countries. For example, bubbles appear earlier in the stock markets than the start of the great depreciation period in the foreign exchange markets in Thailand, South Korea, and Malaysia, whereas crashes emerge in the two markets at the same time in Singapore. The order of the collapses occurring in the two markets suggests the transmission direction. Therefore, we find that the transmission mechanism between these two markets is different for different countries and is also different from that during the non-crisis period, as suggested by previous works using the traditional Granger causality test.
本文研究主要著眼於1997亞洲金融危機中部分亞洲國家股票市場和外匯市場在暴跌中所表現出的泡沫化特點，同時對這兩個市場變化的聯動關系進行了討論。本文采用Phillips, Shi和Yu提出的循環回歸方法對市場中是否存在泡沫以及泡沫形成和破裂的時間進行了判斷和分析。本文的研究對象為經過通貨膨脹調整的香港、韓國、泰國、馬來西亞、新加坡和臺灣的股票指數（取對數）以及這些地區的貨幣對美元的實際匯率。在所有上述經濟體中，對美元匯率都呈現正泡沫，這意味著短期內貨幣呈現較大程度貶值。然而代表股市暴跌的負泡沫只出現在了韓國、泰國、馬來西亞和新加坡，這些負泡沫亦產生於不同的原因。同時，不同國家股市和匯市的泡沫產生順序也不盡相同：在韓國、泰國和馬來西亞，股市先於匯市產生負泡沫；而在新加坡，股市和匯市的泡沫同步產生。由於泡沫產生的時間先後順序可以為兩個市場的變動提供因果關系的證據，所以我們認為在上述亞洲經濟體中，股市和匯市變動的因果關系也不相同。我們也針對上述經濟體中股市與匯市變動的因果關系提出了與之前已有研究的不同意見。
Zhu, Jinhui.
Thesis M.Phil. Chinese University of Hong Kong 2015.
Includes bibliographical references (leaves 28-29).
Abstracts also in Chinese.
Title from PDF title page (viewed on 14, September, 2016).
Detailed summary in vernacular field only.

APA, Harvard, Vancouver, ISO, and other styles

37

Kau, Hui-Wen, and 高慧雯. "Do Bubbles、Market Fundamentals Or Risk Premiums Affect Stock Prices Index?" Thesis, 2005. http://ndltd.ncl.edu.tw/handle/46716803696656552348.

Full text

Abstract:

碩士
南台科技大學
財務金融系
93
Scholars had ascribed the abnormalities in stock market to bubble economy without considering the possibility of misspecification. Therefore, this paper adopt the stock price model proposed by Lin, Hueng & Chen (2000) as the basis for clarification of misspecification. Meanwhile, based on state-space model, this research study also examined the factors deviating the US’s internet stock price and the Taiwan’s financial stock price from the market fundamental value through the Kalman filter. The adopted models served to take account of speculative bubble as well as misspecification and risk premiums on purpose to investigate whether the abnormalities resulted from bubble economy, risk premiums or other factors. The Kalman filter indicated the notability of risk premiums and bubbles in the US’s internet stock Market. It indicated the notability of risk premiums in the Taiwan’s financial stock market. Furthermore, speculative bubbles and risk premiums ran counter to stock price rate in the US’s internet and the Taiwan’s financial stock market.

APA, Harvard, Vancouver, ISO, and other styles

38

Chang, Yuan-Zi, and 張淵智. "Testing the Existence of Speculative Bubbles in Stock Price of Financial Industry." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/56174794607583887426.

Full text

Abstract:

碩士
東吳大學
企業管理學系
87
Bland & Fisher (1989) defined that the speculative bubbles exist in the gap between stock price and it’s market fundamental value. Taylor(1977)、Shiller(1978)…also pointed out that the speculative bubbles will expand when common beliefs of investor are gathering together. In past, there were no literatures to discuss the speculative bubbles in stock price of financial industry in Taiwan. So, we want to test the existence of speculative bubbles in stock price of financial industry. Second, Bank’s Law was adjusted in 1989. And it relaxed the restrictions in financial industry. Then new banks entered the industry in 1992 after adjusting the Bank’s Law. It made the financial industry be more competitive. So, we separate the research period into two pieces by the point-1992 and discuss the trend of change in speculative bubbles of『Old Stock Price of Financial Industry』、『New Stock Price of Financial Industry』、『Stock Price of Old banks』、『Stock Price of New Banks』. The main research method is Cointegrating regression which was developed by Diba & Grossman(1988).Then after Dickey-Fuller Test、ADF Test…etc, we got the conclusions as follows： 1. The speculative bubbles existed in stock price of financial industry in Taiwan, especially in bank industry、Insurance industry . 2. Between 1987-1991, the speculative bubbles existed in 『Old Stock Price of Financial Industry』, especially in bank industry and insurance industry. Beside investment industry, the speculative bubbles also existed in 『Old Stock Price of Financial Industry』. But the trend became more gently between 1992-1998. 3. Beside bond industry, the speculative bubbles existed in 『New Stock Price of Financial Industry』between 1992-1998. 4. Between 1987-1991, the speculative bubbles existed in 『Stock Price of Old Banks』. Between 1992-1998, the speculative bubbles also existed in 『Stock Price of Old Banks』. But the trend became more gently. 5. Between 1992-1998, the speculative bubbles existed in 『Stock Price of New Banks』.

APA, Harvard, Vancouver, ISO, and other styles

39

Lin, Yu-Hsiang, and 林裕翔. "The Study on the Bubbles of Asian Stock Markets and its Influencing Factors." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/12149650346780051293.

Full text

Abstract:

碩士
國立屏東大學
財務金融學系碩士班
104
The purpose of this thesis is to test the intrinsic bubble model developed by Froot and Obstfeld(1991) on Taiwan 50 Index, SSE 50 Index, SZSE 100 Price Index, Singapore-DS Market Index, Hang Seng Index and Korea Composite Stock Price Index .The sample period is from January 2000 to December 2014. Then we use the panel data analysis to test the relationship between the stock markets bubbles and macro-economic variables including CPI, real GDP, money supply, housing price index and interest rate. The empirical results found that Taiwan 50 Index, SSE 50 Index, Singapore-DS Market Index and Korea Composite Stock Price Index exist stock bubbles during the study period; but the others didn’t. From the panel data analysis, we also found that housing price index and interest rate had significantly positive effect on the stock bubbles in the model 1. The CPI had the significantly negative effect and the housing price index had the significantly positive effect on the stock bubbles in the model 2. The CPI and real GDP had the significantly negative effect, but the others had significantly positive effect on the stock bubbles in the model 3. From the results, when the CPI decreases or the housing price index, interest rate increases will lead to stock bubbles, investors can refer the change of these general economic variables and adjust the investment strategy in the stock market.

APA, Harvard, Vancouver, ISO, and other styles

40

Yin, Tseng Mei, and 曾美瑩. "Testing for the Existence of Speculative Bubbles in Taiwan Stock Market─Kalman Filter Application." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/72159044006888466098.

Full text

Abstract:

碩士
淡江大學
財務金融學系
88
Title of Thesis: Testing for the Existence of Speculative Bubbles in Taiwan Stock Market－Kalman Filter Application Key Word: Market Fundamental Value, State Space Model, Kalman Filter Name of Institute: Graduate Institute of Money, Banking and Finance, Tamkang University Graduate Date: June 2000 Degree Conferred: Master Name of Student: Tseng Mei Yin Advisor: Dr. Chuang, Shi-Feng Total Pages: 73 Abstract: Between 1986 and 1990, the weighted stock price index of Taiwan rose significantly from 1400 in 1986 to 12682 in 1990. Due to the influence of political factors, the stock price index dropped sharply to 2000 points in October 1990. After floating for several years, the index went up over 10000 points again in 1997 and then dropped to 5000 points a few months later. It seems that the volatility of Taiwan stock prices cannot be explained by the theoretical market fundamental value. Since the 1980’s, scholars have proposed various explanations and testing methods aiming at the additional value of the market over its proper fundamental value. They find two reasons for the price deviation from the true value. One is the errors in the analytical model and the other is the existence of speculative bubbles. We examine if there exists bubbles in Taiwan stock market by assuming that the model employed is correct. In past empirical analysis, researchers paid more attention to the relationship between prices and dividends by applying a cointegrating technique to test bubbles. According to the definition of the term “bubble”, a bubble is the additional value of the market over its proper fundamental value. It is an unobserved variable. In this paper, we use a present-value model as the basic model, and express the dividend process and the bubble process in the state-space model. We estimate model parameters by the method of maximum likelihood and obtain optimal estimates of bubbles through the use of the Kalman filter for testing Taiwan stock bubbles. The research period in this paper is between 1987 and 1999. We choose EPS as the independent variable, weighted stock index as the dependent variable, to test the existence of bubbles for all industries, other industries excluding financial industry and financial industry separately. From the empirical results, we find that in Taiwan, each of these three objective categories exhibit bubbles. This indicates that the stock price can’t be explained alone by the market fundamental value, especially during the period of the first bubble economy in 1990 and the second one in 1997. We would like to provide this empirical analysis for investors to judge if the stock price is reasonable, to help prevent Taiwan stock market from bubbles and to reduce the negative effects for the whole society. Maintaining the overall health and efficiency of the stock market is the final goal.

APA, Harvard, Vancouver, ISO, and other styles

41

Lee, Ming Huang, and 李明煌. "Model Misspecification Versus Speculative Bubbles in Stock Prices - The Application of Modified Kalmam Filter." Thesis, 1997. http://ndltd.ncl.edu.tw/handle/00652289440354971726.

Full text

APA, Harvard, Vancouver, ISO, and other styles

42

Sung, Chi-Mei, and 宋其美. "Testing for periodically collapsing bubbles in the stock markets：Evidence from the US, Germany and Japan." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/41890972171847459028.

Full text

Abstract:

碩士
中原大學
國際貿易研究所
101
This study tests for the presence of Evans' (1991) periodically collapsing bubbles of three international stock indexes, including S&P 500, DAX 30 and Nikkei 500, applying methods of the momentum threshold autoregressive model (MTAR) and the MTAR model along with smooth transition in trend model (LSTR-MTAR). Empirical results from the linear unit root tests show evidence of rational bubbles, and the results of the MTAR test are consistent with the linear unit root test. The results from the LSTR-MTAR test show that periodically collapsing bubbles do not hold in the DAX 30 market provided that structural shift in trend is allowed.

APA, Harvard, Vancouver, ISO, and other styles

43

Wu, Chia-Ying, and 巫嘉穎. "Rational Bubbles Exist in the G-7 Stock Markets?Further Evidence Based on Nonparametric Rank Test for Cointegration." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/27169654812204515844.

Full text

Abstract:

碩士
逢甲大學
金融碩士在職專班
100
The paper attempts to re-investigate whether rational bubbles exist in the G-7 stock markets during the period from January 2000 to June 2009 using the nonparametric rank test of cointegration proposed by Breitung (2001). The empirical results from the Rank Test reveal that rational bubbles are nonexistent in all G7 stock markets during the sample period.

APA, Harvard, Vancouver, ISO, and other styles

44

Wu, Mei-chen, and 吳美真. "A Study on the Interrelationships among the Stock Prices of Biotechnology Companies in Taiwan and USA and Bubbles existing in Stock prices of Biotechnology companies in Taiwan." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/t28b2v.

Full text

Abstract:

碩士
國立成功大學
企業管理學系碩博士班
90
Biotechnology will be a star industry in 21 century. One of these purposes of the study is to examine the interrelationships among the stock prices of Biotech companies in Taiwan and USA. It employs the unit root test; a test for cointegration; a granger causality and an error correction model (ECM) to analyze the interrelations among these two stock markets by examining the daily closing stock prices from January 1, 1999 to February 28, 2002.The other is to examine the existence of bubbles for biotechnology industry in Taiwan. It employs the Diba and Grossman bubble test to analyze the bubble existing by examining the seasonal stock price and earnings per share from January 1, 1999 to February 28, 2002. 　　By using the unit test, we find that the Biotech company stock prices in Taiwan does not conform to weak-form market efficient market hypothesis. Besides the cointegration test for Taiwan and USA’s stock price, we find that each pair of stock price variables conform to semi-strong form effective market hypothesis. Also, by using GC test and ECM for Taiwan and USA biotech companies, the result indicate that USA’s biotech companies stock prices proceed Taiwan’s biotech companies stock prices.Results from the Diba and Grossman bubble test indicate that the bubble does not exist in Taiwan’s biotech companies stock prices.

APA, Harvard, Vancouver, ISO, and other styles

45

Lin, Yi-Hua, and 林逸樺. "Bubbles in the US Equity Market: An Analysis of the Long Run Relation of Nominal GDP to Stock Prices 1951-2014." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/23z87s.

Full text

Abstract:

碩士
淡江大學
美洲研究所碩士班
103
The purpose of this research is to identify (i) whether there is a significant speculative bubble in the U.S. stock market as of late 2014, (ii) how large the bubble is relative to past bubbles dating back to 1951, and (iii) why current monetary policy may be causing the bubble. In contrast to traditional microeconomic indicators used to examine stock bubbles, we make use of nominal GDP only. Moreover, we explain why that this variable should be closely related to the stock price index. This thesis asserts that nominal GDP is a weak attractor for stock price (measured by the S&P 500 index). However, because of the high inflation period during the 1970s, which interrupted the close relation between stock prices and nominal GDP, the price level is added to the regression in a new and interesting manner. Using Engle-Granger cointegration methods, we found a surprisingly strong and complicated long run relation between nominal GDP, inflation, and stock prices. According to our empirical results, we found strong evidence of a bubble in the US stock market, whose size has already expanded to roughly 1/3 to 1/2 the size of the dotcom bubble of 2000, and is roughly the same size as the stock bubble in 2007. These results accord well with analysis made by the Office of Financial Research of the US government. Both CUSUM and CUSUMSQ tests verify that the associated error correction model is stable for quarterly data over the entire period 1951- 2014.

APA, Harvard, Vancouver, ISO, and other styles

46

Li, Mengmeng. "Empirical studies of financial and labor economics." Thesis, 2016. https://hdl.handle.net/2144/17726.

Full text

Abstract:

This dissertation consists of three essays in financial and labor economics. It provides empirical evidence for testing the efficient market hypothesis in some financial markets and for analyzing the trends of power couples’ concentration in large metropolitan areas. The first chapter investigates the Bitcoin market’s efficiency by examining the correlation between social media information and Bitcoin future returns. First, I extract Twitter sentiment information from the text analysis of more than 130,000 Bitcoin-related tweets. Granger causality tests confirm that market sentiment information affects Bitcoin returns in the short run. Moreover, I find that time series models that incorporate sentiment information better forecast Bitcoin future prices. Based on the predicted prices, I also implement an investment strategy that yields a sizeable return for investors. The second chapter examines episodes of exuberance and collapse in the Chinese stock market and the second-board market using a series of extended right-tailed augmented Dickey-Fuller tests. The empirical results suggest that multiple “bubbles” occurred in the Chinese stock market, although insufficient evidence is found to claim the same for the second-board market. The third chapter analyzes the trends of power couples’ concentration in large metropolitan areas of the United States between 1940 and 2010. The urbanization of college-educated couples between 1940 and 1990 was primarily due to the growth of dual-career households and the resulting severity of the co-location problem (Costa and Kahn, 2000). However, the concentration of college-educated couples in large metropolitan areas stopped increasing between 1990 and 2010. According to the results of a multinomial logit model and a triple difference-in-difference model, this is because the co-location effect faded away after 1990.

APA, Harvard, Vancouver, ISO, and other styles

47

Chen, Han-Te, and 陳翰德. "Stock Price Bubble in the Emerging Stock MarketExistence and Impact." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/36443574303773262246.

Full text

Abstract:

碩士
銘傳大學
財務金融學系碩士班
102
This research aims to investigate the Taiwan''s capital market is a special mechanism for emerging stock markets, while emerging markets as a preliminary IPO market before this is rare in other countries and a special mechanism to allow investors to directly observe the pre-market trading shares listed information to understand the characteristics of listed companies. This differs from the literature discussing issues related to the long-IPO honeymoon market, or long-term performance of the company and other related IPO IPO after the incident, the steering behavior of investors before the IPO event. Especially in the presence affect the interaction between the bubbles and excess return to form price bubble, and thus affect the return on the first day of IPO performance. Therefore, under different trading systems, observed firm characteristics, relations emerging during the stock bubble and the subsequent honeymoon IPO market between the three. Our sample consists of emerging stock markets from March 1, 2005 to December 31, 2013 drawn from the Taiwan Economic Journal, the empirical analysis in the case of OTC deliberation process, the emerging market in price and volume changes. The empirical results show the existence of excess returns on the first day, from the perspective of price and volume, can be considered the first day closing price equilibrium price. Emerging listed in the transaction stage, the more likely to incite investor sentiment, stock prices should deviate from its fundamental value, namely a bubble. So this is a model for the IPO designed to measure the size of the bubble, and the results are expressed during the emerging bubble, the bigger the bubble, however, on behalf of the excess return is smaller.

APA, Harvard, Vancouver, ISO, and other styles

48

"Analyst forecast accuracy, dispersion, and stock returns before and during stock market crashes." 2008. http://library.cuhk.edu.hk/record=b5893641.

Full text

Abstract:

Wang, Xiaolei.
Thesis (M.Phil.)--Chinese University of Hong Kong, 2008.
Includes bibliographical references (leaves 34-39).
Abstracts in English and Chinese.
Chapter Chapter 1. --- Introduction --- p.1
Chapter Chapter 2. --- Identification of Stock Market Crashes --- p.5
Chapter 2.1 --- Identification Criteria --- p.7
Chapter 2.2 --- Identification Results --- p.8
Chapter Chapter 3. --- Data --- p.10
Chapter 3.1 --- Data Issue for Chapter 4 --- p.10
Chapter 3.2 --- Data Issue for Chapter 5 --- p.12
Chapter 3.3 --- Data Issue for Chapter 6 --- p.12
Chapter Chapter 4. --- Examination of AFE --- p.13
Chapter 4.1 --- Definition of AFE and MAAFE --- p.13
Chapter 4.2 --- Examination of MAAFE --- p.14
Chapter 4.3 --- Examination of AFE by Grouping Duration --- p.15
Chapter Chapter 5. --- Examination of AFD --- p.18
Chapter Chapter 6. --- Examination of the Relationship between AFD and ESR --- p.22
Chapter 6.1 --- Portfolio Strategy - Sorting by Size and Dispersion --- p.23
Chapter 6.2 --- Portfolio Strategy - Sorting by Size and Book to Market Ratio --- p.26
Chapter 6.3 --- Fama-French Time Series Regression Test (Three-Factor Model) --- p.28
Chapter 6.4 --- Fama-French Time Series Regression Test (Three-Factor Model with Dispersion on the Right Hand Side) --- p.30
Chapter 6.5 --- Introduction of a Nonlinear Form of AFD to the Fama-French Model --- p.31
Chapter Chapter 7. --- Conclusions --- p.32
References --- p.34
Appendix Table I to Table XVI --- p.40-55
Figure I to Figure VI --- p.56-61

APA, Harvard, Vancouver, ISO, and other styles

49

Tan, Chu-Chan, and 譚世昌. "Investor Sentiment and Stock Price Bubble Research." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/59465625904417644191.

Full text

Abstract:

碩士
國立臺北大學
經濟學系
99
The purpose of this thesis is to test the intrinsic bubble model developed by Froot and Obstfeld (American Economic Review, 1991) in the Taiwanese stock market, using the sample during January 1992 to December 2010. It especially adds the sentiment index to the intrinsic bubble model. This thesis uses the principal component analysis to structure the investor sentiment index composed of the stock market volume and investor actions, and applies the vector autoregressive model to observe the dividends and emotions that affected the stock price-dividend ratio. This study observes several results as follows. Firstly, I find that price bubbles are negatively associated with dividends, which can be explained that investors may put more emphasis on capital gains as compared to dividends, and thus the stock price may falls when companies offered more generous dividends. Secondly, the sentiment index is a significant factor in explaining market price-dividend ratio and volatility. Finally, dividends had stronger and longer effects on the price-dividend ratio than the sentiment.

APA, Harvard, Vancouver, ISO, and other styles

50

Sung, Yu-ching, and 宋雲卿. "The research of China stock market bubble." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/7676m2.

Full text

APA, Harvard, Vancouver, ISO, and other styles

Dissertations / Theses on the topic 'Stock bubbles'

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles