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Financial Market Bubbles and Crashes

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  • Vogel,Harold L.

Abstract

Despite the thousands of articles and the millions of times that the word 'bubble' has been used in the business press, there still does not appear to be a cohesive theory or persuasive empirical approach with which to study 'bubble' and 'crash' conditions. This book presents a plausible and accessible descriptive theory and empirical approach to the analysis of such financial market conditions. It advances such a framework through application of standard econometric methods to its central idea, which is that financial bubbles reflect urgent short side rationed demand. From this basic idea, an elasticity of variance concept is developed. It is further shown that a behavioral risk premium can probably be measured and related to the standard equity risk premium models in a way that is consistent with conventional theory.

Suggested Citation

  • Vogel,Harold L., 2010. "Financial Market Bubbles and Crashes," Cambridge Books, Cambridge University Press, number 9780521199674.
    • Handle: RePEc:cup:cbooks:9780521199674
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    Citations

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    Cited by:

    1. Levan Efremidze & John Rutledge & Thomas D. Willett, 2016. "Capital Flow Surges As Bubbles: Behavioral Finance And Mckinnon’S Over-Borrowing Syndrome Extended," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 61(02), pages 1-27, June.
    2. Hans-Eggert Reimers, 2012. "Early Warning Indicator Model of Financial Developments Using an Ordered Logit," Business and Economic Research, Macrothink Institute, vol. 2(2), pages 171-191, December.
    3. Thomas Willett, 2010. "Some lessons for economists from the financial crisis," Indian Growth and Development Review, Emerald Group Publishing Limited, vol. 3(2), pages 186-208, September.
    4. Arturas Sabalionis & Wenbo Wang & Hail Park, 2021. "What affects the price movements in Bitcoin and Ethereum?," Manchester School, University of Manchester, vol. 89(1), pages 102-127, January.
    5. Dieter Gerdesmeier & Hans-Eggert Reimers & Barbara Roffia, 2011. "Early Warning Indicators for Asset Price Booms," Review of Economics & Finance, Better Advances Press, Canada, vol. 1, pages 1-19, June.
    6. Madarász, Aladár, 2011. "Buborékok és legendák. Válságok és válságmagyarázatok - II/2. rész. A Déltengeri Társaság [Bubbles and myths, crises and explanations II/2: the South Sea bubble]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(12), pages 1001-1028.
    7. Lukas Richau & Florian Follert & Monika Frenger & Eike Emrich, 2021. "The sky is the limit?! Evaluating the existence of a speculative bubble in European football," Journal of Business Economics, Springer, vol. 91(6), pages 765-796, August.
    8. Vogel, Harold L. & Werner, Richard A., 2015. "An analytical review of volatility metrics for bubbles and crashes," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 15-28.

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