The mirror of history: How to statistically identify stock market bubble bursts

Sabri Boubaker, Zhenya Liu, Tianqing Sui and Ling Zhai

Journal of Economic Behavior & Organization, 2022, vol. 204, issue C, 128-147

Abstract: This paper proposes a method for detecting bubble phases and the timing of bursts in global stock markets. The study identifies 27 bubbles in 29 global stock market indices over the last century. Using transformations and change-point detection on index returns, we discover that every major bubble has the same two-phase pattern indeed. Although the mechanisms or causes of each bubble are complex and unique, they all follow the same pattern. Thus, our findings suggest that history has a tendency to repeat itself.

Keywords: Stock markets; Change-point detection; Bubble burst; Transformation method (search for similar items in EconPapers)
JEL-codes: C12 C14 G01 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Working Paper: The Mirror of History: How to Statistically Identify Stock Market Bubble Bursts (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jeborg:v:204:y:2022:i:c:p:128-147

DOI: 10.1016/j.jebo.2022.09.024

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