Determinants of stock price bubbles
Paresh Narayan (),
Susan Sharma and
Economic Modelling, 2013, vol. 35, issue C, 661-667
In this paper we propose a cross-sectional model of the determinants of asset price bubbles. Using 589 firms listed on the NYSE, we find conclusive evidence that trading volume and share price volatility have statistically significant effects on asset price bubbles. However, evidence from sector-based stocks is mixed. We find that for firms belonging to electricity, energy, financial, and banking sectors, and for the smallest size firms, trading volume has a statistically significant and positive effect on bubbles. We do not discover any robust evidence of a statistically significant effect of share price volatility on bubbles at the sector-level.
Keywords: Asset price; Bubbles; Cross-section; Trading volume; Volatility (search for similar items in EconPapers)
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Working Paper: Determinants of stock price bubbles (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:35:y:2013:i:c:p:661-667
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