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Tracking Financial Bubbles On Romania Stock Market

Author

Listed:
  • MITRACHE, Mihai-Andrei

    (Faculty of Economics and International Affairs, Bucharest Academy of Economic Studies, Bucharest, Romania)

  • BOITOUT, Nicolas

    (University of Dijon, Dijon Area, France)

Abstract

The Log-Periodic Power Law (LPPL) is a consistent model capable of detecting explosives financial bubbles, which reflect the positive and nonlinear investors feedbacks. The regime imposed by the model is faster than an exponentially growth rate, combined with logarithmic oscillations. Applying the LPPL model on the top 25 most liquid companies traded on Bucharest Stock Exchange that are part of BET-XT Index basket on daily data between 26/01/1997 – 10/02/2017, we managed to find a total number of 54 financial bubbles regimes.

Suggested Citation

  • MITRACHE, Mihai-Andrei & BOITOUT, Nicolas, 2017. "Tracking Financial Bubbles On Romania Stock Market," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 21(1), pages 41-62.
    • Handle: RePEc:vls:finstu:v:21:y:2017:i:1:p:41-62
    as

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    References listed on IDEAS

    as
    1. Daniel T. Pele, 2012. "An Lppl Algorithm For Estimating The Critical Time Of A Stock Market Bubble," Journal of Social and Economic Statistics, Bucharest University of Economic Studies, vol. 1(2), pages 14-22, DECEMBER.
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    3. Petr Geraskin & Dean Fantazzini, 2013. "Everything you always wanted to know about log-periodic power laws for bubble modeling but were afraid to ask," The European Journal of Finance, Taylor & Francis Journals, vol. 19(5), pages 366-391, May.
    4. D. Sornette, 2000. "Stock Market Speculation: Spontaneous Symmetry Breaking of Economic Valuation," Papers cond-mat/0004001, arXiv.org.
    5. Sornette, Didier, 2000. "Stock market speculation: Spontaneous symmetry breaking of economic valuation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 284(1), pages 355-375.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    financial bubble; financial modeling; log-periodic power law; stock market;
    All these keywords.

    JEL classification:

    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General

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