IDEAS home Printed from https://ideas.repec.org/a/wly/ijfiec/v23y2018i4p628-641.html
   My bibliography  Save this article

Stock prices' interdependence during the South Sea boom and bust

Author

Listed:
  • Taufiq Choudhry

Abstract

This paper empirically investigates interdependence between major companies' stock prices during the 1720 South Sea boom and bust. This was one of the first documented major financial crashes in the European market. Empirical tests are conducted by means of rolling coefficients, multivariate cointegration, rolling cointegration, and causality tests. Results indicate a substantial interdependence among the stock prices during the boom but not during the bust period. This result implies the failure of the efficient market hypothesis and the diminishing ability of the investors to reduce portfolio risk via diversification during the boom period. The causality test results provide ample evidence of short‐term interaction between shares during the period of increasing prices.

Suggested Citation

  • Taufiq Choudhry, 2018. "Stock prices' interdependence during the South Sea boom and bust," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 23(4), pages 628-641, October.
    • Handle: RePEc:wly:ijfiec:v:23:y:2018:i:4:p:628-641
    DOI: 10.1002/ijfe.1640
    as

    Download full text from publisher

    File URL: https://doi.org/10.1002/ijfe.1640
    Download Restriction: no
    File URL: https://libkey.io/10.1002/ijfe.1640?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Mohammad Arashi & Mohammad Mahdi Rounaghi, 2022. "Analysis of market efficiency and fractal feature of NASDAQ stock exchange: Time series modeling and forecasting of stock index using ARMA-GARCH model," Future Business Journal, Springer, vol. 8(1), pages 1-12, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wly:ijfiec:v:23:y:2018:i:4:p:628-641. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/1076-9307/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.