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

Albert N. Shiryaev, Mikhail N. Zhitlukhin and William T. Ziemba

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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 -48% 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 signaled a crash but not when. We show that it was possible to use the change point detection model based solely on price movements for profitable exits of long positions both circa 1990 and in 2013.

Keywords: bubble; change point detection; bond-stock model; Nikkei stock average; golf course membership index (search for similar items in EconPapers)
JEL-codes: C11 G10 (search for similar items in EconPapers)
Pages: 27 pages
Date: 2014-08-22
New Economics Papers: this item is included in nep-fmk
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