Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?

Peter C.B. Philips, Yangru Wu () and Jun Yu
Additional contact information
Peter C.B. Philips: Singapore Management University

Finance Working Papers from East Asian Bureau of Economic Research

Abstract: A recursive test procedure is suggested that provides a mechanism for testing explosive behavior, date-stamping the origination and collapse of economic exuberance, and providing valid conOdence intervals for explosive growth rates. The method involves the recursive im- plementation of a right-side unit root test and a sup test, both of which are easy to use in practical applications, and some new limit theory for mildly explosive processes. The test procedure is shown to have discriminatory power in detecting periodically collapsing bubbles, thereby overcoming a weakness in earlier applications of unit root tests for economic bubbles. An empirical application to Nasdaq stock price index in the 1990s provides conOrmation of ex- plosiveness and date-stamps the origination of Onancial exuberance to mid -1995, prior to the famous remark in December 1996 by Alan Greenspan about irrational exuberance in Onancial market, thereby giving the remark empirical content.

Keywords: Explosive root; irrational exuberance; Mildly explosive process; Nasdaq bubble; periodically collapsing bubble; sup test; unit root test (search for similar items in EconPapers)
JEL-codes: C22 G10 (search for similar items in EconPapers)
Date: 2009-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (24)

Downloads: (external link)
http://www.eaber.org/node/23050 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 301 [REDIRECT LOOP] Moved Permanently (http://www.eaber.org/node/23050 [301 Moved Permanently]--> https://www.eaber.org/node/23050 [301 Moved Permanently]--> https://www.eaber.org/node/23050 [301 Moved Permanently]--> https://www.eaber.org/node/23050 [301 Moved Permanently]--> https://www.eaber.org/node/23050 [301 Moved Permanently]--> https://www.eaber.org/node/23050 [301 Moved Permanently]--> https://www.eaber.org/node/23050 [301 Moved Permanently]--> https://www.eaber.org/node/23050)

Related works:
Journal Article: EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES? (2011)
Working Paper: Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? (2009)
Working Paper: Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? (2009)
Working Paper: Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? (2009)
Working Paper: Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? (2007)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eab:financ:23050

Access Statistics for this paper

More papers in Finance Working Papers from East Asian Bureau of Economic Research Contact information at EDIRC.
Bibliographic data for series maintained by Shiro Armstrong ().