Do 18th Century 'Bubbles' Survive the Scrutiny of 21st Century Time Series Econometrics?

Yang Hu and Les Oxley

Working Papers in Economics from University of Waikato

Abstract: Applying the methods of Phillips, Shi and Yu (2015, PSY), while considering the possibility of non-stationary volatility (Harvey et al. 2016), evidence of exuberance in share prices is confirmed for the South Sea Company, and established for a number of other 18th century financial organisations, for the first time. The timings of these bubble episodes show signs of possible contagion.

Keywords: exuberance; GSADF test; bubble; South Sea Company; Mississippi Company (search for similar items in EconPapers)
JEL-codes: C12 N2 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2017-09-28
New Economics Papers: this item is included in nep-his and nep-ore
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Do 18th century ‘bubbles’ survive the scrutiny of 21st century time series econometrics? (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:wai:econwp:17/19

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