TRACKING FINANCIAL BUBBLES ON ROMANIA STOCK MARKET

Mihai Mitrache () and Nicolas Boitout
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Nicolas Boitout: University of Dijon, Dijon Area, France

Studii Financiare (Financial Studies), 2017, vol. 21, issue 1, 41-62

Abstract: The Log-Periodic Power Law (LPPL) is a consistent model capable of detecting explosives financial bubbles, which reflect the positive and nonlinear investors feedbacks. The regime imposed by the model is faster than an exponentially growth rate, combined with logarithmic oscillations. Applying the LPPL model on the top 25 most liquid companies traded on Bucharest Stock Exchange that are part of BET-XT Index basket on daily data between 26/01/1997 – 10/02/2017, we managed to find a total number of 54 financial bubbles regimes.

Keywords: financial bubble; financial modeling; log-periodic power law; stock market (search for similar items in EconPapers)
JEL-codes: C10 C20 C49 (search for similar items in EconPapers)
Date: 2017
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