Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013

A. N. Shiryaev, M. V. Zhitlukhin and W. T. Ziemba

Quantitative Finance, 2015, vol. 15, issue 9, 1449-1469

Abstract: We study the land and stock markets in Japan circa 1990 and in 2013. While the Nikkei stock average in the late 1980s and its % crash in 1990 is generally recognized as a financial market bubble, a bigger bubble and crash was in the land market. The crash in the Nikkei which started on the first trading day of 1990 was predictable in April 1989 using the bond-stock earnings yield model which signalled a crash but not its exact moment. We show that it was possible to use the changepoint detection model based solely on price movements for profitable exits of long positions both circa 1990 and in 2013.

Date: 2015
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DOI: 10.1080/14697688.2014.989897

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