Market Crashes Without External Shocks

Sergiu Hart () and Yair Tauman
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Yair Tauman: Tel-Aviv University and SUNY at Stony Brook

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Abstract: It is shown here that market crashes and bubbles can arise without external shocks. Sudden changes in behavior coming after a long period of stationarity may be the result of endogenous information processing. Except for the daily observation of the market, there is no new information, no communication and no coordination among the participants.

JEL-codes: C70 D82 D83 G10 (search for similar items in EconPapers)
Date: 1997-03-24, Revised 1997-11-25
Note: December 1996. Revised: October 1997. Scientific Word 2.5 + 1 table (Excel). Also available at URL below.
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Related works:
Journal Article: Market Crashes without External Shocks (2004)
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpga:9703009

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