EconPapers    
Economics at your fingertips  
 

Explosive behavior in historic NASDAQ market prices

Michael Demmler and Amilcar Orlian Fernández

The North American Journal of Economics and Finance, 2024, vol. 71, issue C

Abstract: Within recent years the technology market represented by the NASDAQ Composite Index showed astonishing price increases, especially during the COVID-19 pandemic. As extreme market price movements are nothing new to the technology sector, one can question the vulnerability of the market to frequent explosive behaviors in the form of asset price bubbles or financial crisis. Hence, the present paper aims to statistically analyze historic long-term price data of the NASDAQ Composite Index including the recent 2020–21 rally in order to identify and date stamp potentially recurrent tendencies of explosive market price behaviors. The quantitative research design uses daily market prices from the period 1992 to 2021 and is based on the Generalized Supremum Augmented Dickey-Fuller test of explosiveness and three different methods of date stamping. Main results reveal several short-term moments of price explosiveness during three major episodes (second half of 1995 until beginning of 1996, Dotcom Bubble and Subprime Crisis). Furthermore, there is no evidence of significant explosive behavior during the COVID-19 pandemic, i.e., a recent technology bubble.

Keywords: Price explosiveness; Technology market; Asset price bubble; Financial crisis (search for similar items in EconPapers)
JEL-codes: C58 G01 G12 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062940824000196
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000196

DOI: 10.1016/j.najef.2024.102095

Access Statistics for this article

The North American Journal of Economics and Finance is currently edited by Hamid Beladi

More articles in The North American Journal of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-03-19
Handle: RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000196