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Do 18th century ‘bubbles’ survive the scrutiny of 21st century time series econometrics?

Yang Hu and Les Oxley ()

Economics Letters, 2018, vol. 162, issue C, 131-134

Abstract: Applying the methods of Phillips et al. (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; Bubble; GSADF test; South Sea; Mississippi (search for similar items in EconPapers)
JEL-codes: C12 N2 (search for similar items in EconPapers)
Date: 2018
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