The Mirror of History: How to Statistically Identify Stock Market Bubble Bursts

Sabri Boubaker, Zhenya Liu, Tianqing Sui and L. Zhai
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Zhenya Liu: Renmin University of China = Université Renmin de Chine, CERGAM - Centre d'Études et de Recherche en Gestion d'Aix-Marseille - AMU - Aix Marseille Université - UTLN - Université de Toulon
Tianqing Sui: Renmin University of China = Université Renmin de Chine
L. Zhai: Renmin University of China = Université Renmin de Chine

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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. © 2022 Elsevier B.V.

Keywords: Bubble burst; Change-point detection; Stock markets; Transformation method (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (2)

Published in Journal of Economic Behavior and Organization, 2022, 204, pp.128-147. ⟨10.1016/j.jebo.2022.09.024⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04454682

DOI: 10.1016/j.jebo.2022.09.024

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