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
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)
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Working Paper: Do 18th Century 'Bubbles' Survive the Scrutiny of 21st Century Time Series Econometrics? (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:162:y:2018:i:c:p:131-134
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