IDEAS home Printed from https://ideas.repec.org/r/cup/jfinqa/v29y1994i03p379-401_00.html
   My bibliography  Save this item

Bubbles, Stock Returns, and Duration Dependence

Citations

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


Cited by:

  1. Yoon, Byung-Sam & Brorsen, B. Wade, 2005. "Can Multiyear Rollover Hedging Increase Mean Returns?," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 37(1), pages 65-78, April.
  2. Robert A. Jarrow, 2015. "Asset Price Bubbles," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 201-218, December.
  3. Lunde A. & Timmermann A., 2004. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 253-273, July.
  4. Ky-Hyang Yuhn & Sang Bong Kim & Joo Ha Nam, 2015. "Bubbles and the Weibull distribution: was there an explosive bubble in US stock prices before the global economic crisis?," Applied Economics, Taylor & Francis Journals, vol. 47(3), pages 255-271, January.
  5. Yintian Wang & Guofu Zhou & Yingzi Zhu, 2021. "The Chinese warrant bubble: A fundamental analysis," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 3-26, January.
  6. Escobari, Diego & Garcia, Sergio & Mellado, Cristhian, 2017. "Identifying bubbles in Latin American equity markets: Phillips-Perron-based tests and linkages," Emerging Markets Review, Elsevier, vol. 33(C), pages 90-101.
  7. Brookman, Jeff & Thistle, Paul D., 2009. "CEO tenure, the risk of termination and firm value," Journal of Corporate Finance, Elsevier, vol. 15(3), pages 331-344, June.
  8. M. Kabir Hassan & Jung Suk-Yu, 2007. "Rational Speculative Bubbles: An Empirical Investigation of the Middle East and North African Stock Markets," NFI Working Papers 2007-WP-31, Indiana State University, Scott College of Business, Networks Financial Institute.
  9. Golec, Joseph, 1997. "Herding on Noise: The Case of Johnson Redbook's Weekly Retail Sales Data," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(3), pages 367-381, September.
  10. George Woodward & Heather Anderson, 2009. "Does beta react to market conditions? Estimates of 'bull' and 'bear' betas using a nonlinear market model with an endogenous threshold parameter," Quantitative Finance, Taylor & Francis Journals, vol. 9(8), pages 913-924.
  11. Ozan Hatipoglu & Onur Uyar, 2012. "Do Bubbles Spill Over? Estimating Financial Bubbles in Emerging Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(S5), pages 64-75, November.
  12. Takanobu Mizuta & Shintaro Kosugi & Takuya Kusumoto & Wataru Matsumoto & Kiyoshi Izumi & Isao Yagi & Shinobu Yoshimura, 2016. "Effects of Price Regulations and Dark Pools on Financial Market Stability: An Investigation by Multiagent Simulations," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 23(1-2), pages 97-120, January.
  13. Blau, Benjamin M., 2017. "The volatility of exchange rates and the non-normality of stock returns," Journal of Economics and Business, Elsevier, vol. 91(C), pages 41-52.
  14. Anderson, Keith & Brooks, Chris, 2014. "Speculative bubbles and the cross-sectional variation in stock returns," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 20-31.
  15. Aktham Maghyereh & Hussein Abdoh, 2022. "Bubble contagion effect between the main precious metals," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 40(1), pages 43-63, March.
  16. José Francisco Bellod Redondo, 2011. "Detección de burbujas inmobiliarias: el caso español," Contribuciones a la Economía, Servicios Académicos Intercontinentales SL, issue 2011-05, May.
  17. Saumitra N. Bhaduri, 2014. "Applying Approximate Entropy (ApEn) to Speculative Bubble in the Stock Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 13(1), pages 43-68, April.
  18. Benjamas Jirasakuldech & Donna Dudney & Thomas Zorn & John Geppert, 2011. "Financial disclosure, investor protection and stock market behavior: an international comparison," Review of Quantitative Finance and Accounting, Springer, vol. 37(2), pages 181-205, August.
  19. Berger, David & Turtle, Harry J., 2015. "Sentiment bubbles," Journal of Financial Markets, Elsevier, vol. 23(C), pages 59-74.
  20. Li, Ziran & Sun, Jiajing & Wang, Shouyang, 2013. "Amplitude-Duration-Persistence Trade-off Relationship for Long Term Bear Stock Markets," MPRA Paper 54177, University Library of Munich, Germany.
  21. Dmitry Kulikov, 2012. "Testing for Rational Speculative Bubbles on the Estonian Stock Market," Research in Economics and Business: Central and Eastern Europe, Tallinn School of Economics and Business Administration, Tallinn University of Technology, vol. 4(1).
  22. Keith Anderson & Chris Brooks & Sotiris Tsolacos, 2011. "Testing for Periodically Collapsing Rational Speculative Bubbles in U.S. REITs," Journal of Real Estate Portfolio Management, Taylor & Francis Journals, vol. 17(3), pages 227-241, January.
  23. Ting Lan, 2019. "Intrinsic bubbles and Granger causality in the Hong Kong residential property market," Frontiers of Business Research in China, Springer, vol. 13(1), pages 1-15, December.
  24. Alberto Madrid & Luis A. Hierro, 2015. "Burbujas especulativas: el estado de una cuestión poco estudiada," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 38(108), pages 123-138, Septiembr.
  25. KIRKPINAR, Aysegul & ERER, Elif & ERER, Deniz, 2019. "Is There A Rational Bubble In Bist 100 And Sector Indices?," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 23(3), pages 21-33, September.
  26. Hassan, M. Kabir & Girard, Eric, 2010. "Faith-Based Ethical Investing: The Case Of Dow Jones Islamic Indexes," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 17, pages 1-31.
  27. Tatsuyoshi Miyakoshi & Kui-Wai Li & Junji Shimada, 2014. "Rational expectation bubbles: evidence from Hong Kong's sub-indices," Applied Economics, Taylor & Francis Journals, vol. 46(20), pages 2429-2440, July.
  28. Benjamas Jirasakuldech & Robert Campbell & John Knight, 2006. "Are There Rational Speculative Bubbles in REITs?," The Journal of Real Estate Finance and Economics, Springer, vol. 32(2), pages 105-127, March.
  29. Riza Emekter & Benjamas Jirasakuldech & Peter Went, 2012. "Rational speculative bubbles and commodities markets: application of duration dependence test," Applied Financial Economics, Taylor & Francis Journals, vol. 22(7), pages 581-596, April.
  30. Mai Shibata, 2014. "The Influence of Japan’s Unsecured Overnight Call Rate on Bull and Bear Markets and Market Turns," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(4), pages 331-349, November.
  31. Asger Lunde & Allan Timmermann, 2005. "Completion time structures of stock price movements," Annals of Finance, Springer, vol. 1(3), pages 293-326, August.
  32. Ullah, Irfan & Ahmed, Mumtaz, 2021. "Identifying Phases of Ebullience in EFTA Stock Markets," MPRA Paper 109633, University Library of Munich, Germany.
  33. Tianzhi Gao & Yaqin Ren & Qian Lu & Hui Feng, 2023. "Conservation Tillage Technology: A Study on the Duration from Awareness to Adoption and Its Influencing Factors—Based on the Survey of the Yellow River Basin in China," Agriculture, MDPI, vol. 13(6), pages 1-17, June.
  34. Ahmad, Mahyudin, 2012. "Duration dependence test for rational speculative bubble: the strength and weakness," MPRA Paper 42156, University Library of Munich, Germany.
  35. Benjamas Jirasakuldech & Riza Emekter & Thuy Bui, 2023. "Non-linear structures, chaos, and bubbles in U.S. regional housing markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(1), pages 63-93, March.
  36. Deev, Oleg & Kajurova, Veronika & Stavarek, Daniel, 2013. "Testing rational speculative bubbles in Central European stock markets," MPRA Paper 46582, University Library of Munich, Germany.
  37. Oglend, Atle & Selland Kleppe, Tore, 2016. "How regular are directional movements in commodity and asset prices? A Wald test," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 290-306.
  38. Hassan, Mohammad Kabir & Yu, Jung-Suk & Rashid, Mamunur, 2015. "Rational Speculative Bubbles in the Frontier Emerging Stock Markets," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 49(2), pages 27-38.
  39. Qing He & Zongxin Qian & Zhe Fei & Terence Tai-Leung Chong, 2019. "Do speculative bubbles migrate in the Chinese stock market?," Empirical Economics, Springer, vol. 56(2), pages 735-754, February.
  40. Ren, Yu & Xiong, Cong & Yuan, Yufei, 2012. "House price bubbles in China," China Economic Review, Elsevier, vol. 23(4), pages 786-800.
  41. Asako, Kazumi & Liu, Zhentao, 2013. "A statistical model of speculative bubbles, with applications to the stock markets of the United States, Japan, and China," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2639-2651.
  42. Anderson, Keith & Brooks, Chris & Katsaris, Apostolos, 2010. "Speculative bubbles in the S&P 500: Was the tech bubble confined to the tech sector?," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 345-361, June.
  43. Taylor, Mark, 2003. "Is Official Exchange Rate Intervention Effective?," CEPR Discussion Papers 3758, C.E.P.R. Discussion Papers.
  44. Woodward, George & Marisetty, Vijaya B., 2005. "Introducing non-linear dynamics to the two-regime market model: Evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 559-581, September.
  45. Lehkonen, Heikki, 2010. "Bubbles in China," International Review of Financial Analysis, Elsevier, vol. 19(2), pages 113-117, March.
  46. Focardi, Sergio M. & Fabozzi, Frank J. & Mazza, Davide, 2019. "Modeling local trends with regime shifting models with time-varying probabilities," International Review of Financial Analysis, Elsevier, vol. 66(C).
  47. Wei, Yigang & Li, Yan & Wang, Zhicheng, 2022. "Multiple price bubbles in global major emission trading schemes: Evidence from European Union, New Zealand, South Korea and China," Energy Economics, Elsevier, vol. 113(C).
  48. Gilbert V. Nartea & Muhammad A. Cheema & Kenneth R. Szulczyk, 2017. "Searching for rational bubble footprints in the Singaporean and Indonesian stock markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(3), pages 529-552, July.
  49. Dettoni, Robinson & Gil-Alana, Luis A. & Yaya, OlaOluwa S., 2024. "Stock market prices and Dividends in the US: Bubbles or Long-run equilibria relationships?," International Review of Financial Analysis, Elsevier, vol. 94(C).
  50. Jirasakuldech, Benjamas & Emekter, Riza & Rao, Ramesh P., 2008. "Do Thai stock prices deviate from fundamental values?," Pacific-Basin Finance Journal, Elsevier, vol. 16(3), pages 298-315, June.
  51. Wang, Miao & Wong, M. C. Sunny, 2015. "Rational speculative bubbles in the US stock market and political cycles," Finance Research Letters, Elsevier, vol. 13(C), pages 1-9.
  52. Chan, Kalok & McQueen, Grant & Thorley, Steven, 1998. "Are there rational speculative bubbles in Asian stock markets?," Pacific-Basin Finance Journal, Elsevier, vol. 6(1-2), pages 125-151, May.
  53. 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.
  54. Brian M. Lucey & Fergal A. O’Connor, 2013. "Do bubbles occur in the gold price? An investigation of gold lease rates and Markov Switching models," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 13(3), pages 53-63, September.
  55. Vijay Kumar Vishwakarma & Ohannes George Paskelian, 2012. "Bubble In The Indian Real Estate Markets: Identification Using Regime-Switching Methodology," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(3), pages 27-40.
  56. Siwar Mehri Helali, 2019. "Detecting and Date-Stamping Rational Bubbles in Asset Price: An Empirical Investigation in the Tunisian Stock Market," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 11(8), pages 1-91, August.
  57. Terence Tai-Leung Chong & Zimu Li & Haiqiang Chen & Melvin Hinich, 2010. "An investigation of duration dependence in the American stock market cycle," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(8), pages 1407-1416.
  58. Baur, Dirk G. & Heaney, Richard, 2017. "Bubbles in the Australian housing market," Pacific-Basin Finance Journal, Elsevier, vol. 44(C), pages 113-126.
  59. Tran, Thi Bich Ngoc, 2017. "Speculative bubbles in emerging stock markets and macroeconomic factors: A new empirical evidence for Asia and Latin America," Research in International Business and Finance, Elsevier, vol. 42(C), pages 454-467.
  60. Jung-Suk Yu & Kabir Hassan, 2008. "Rational Speculative Bubbles: An Empirical Investigation of the Middle East and North African (MENA) Stock Markets," Working Papers 388, Economic Research Forum, revised 01 Jan 2008.
  61. repec:wyi:journl:002167 is not listed on IDEAS
  62. Brett Olsen & Jeffrey Stokes, 2015. "Is Farm Real Estate The Next Bubble?," The Journal of Real Estate Finance and Economics, Springer, vol. 50(3), pages 355-376, April.
  63. Babaei Semirumi, 2012. "Literatures About Asset Price Bubbles," Annals - Economic and Administrative Series -, Faculty of Business and Administration, University of Bucharest, vol. 6(1), pages 35-55, December.
  64. Jung‐Suk Yu & M. Kabir Hassan, 2010. "Rational speculative bubbles in MENA stock markets," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 27(3), pages 247-264, August.
  65. Beatriz Vaz de Melo Mendes & André Fluminense Carneiro, 2020. "A Comprehensive Statistical Analysis of the Six Major Crypto-Currencies from August 2015 through June 2020," JRFM, MDPI, vol. 13(9), pages 1-21, August.
  66. Dettoni, Robinson & Gil-Alana, Luis Alberiko, 2023. "Testing the hypothesis of duration dependence in the U.S. housing market," Finance Research Letters, Elsevier, vol. 58(PD).
  67. Sanjiv Das & Paul Hanouna, 2010. "Run lengths and liquidity," Annals of Operations Research, Springer, vol. 176(1), pages 127-152, April.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.