Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector?
Chris Brooks and
Apostolos Katsaris ()
Additional contact information
Apostolos Katsaris: ICMA Centre, University of Reading
No icma-dp2006-07, ICMA Centre Discussion Papers in Finance from Henley Business School, Reading University
This study tests for the presence of periodically, partially collapsing speculative bubbles in the sector indices of the S&P 500 using a regime-switching approach. We also employ an augmented model that includes trading volume as a technical indicator to improve the ability of the model to time bubble collapses and to better capture the temporal variations in returns. We find that over 70% of the S&P 500 index by market capitalization, and seven of its ten sector component indices exhibited bubble-like behaviour over our sample period. Thus the speculative bubble that grew in the 1990's and subsequently collapsed was pervasive in the US equity market. The bubble affected numerous sectors including energy and industrials, rather than being confined to information technology, telecommunications and the media.
Keywords: Stock market bubbles; fundamental values; dividends; regime switching; speculative bubble test. (search for similar items in EconPapers)
JEL-codes: C51 C53 G12 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to www.icmacentre.ac.uk:443 (http://www.icmacentre.ac.uk/pdf/discussion/DP2006-07.pdf [302 Found]--> https://www.icmacentre.ac.uk/pdf/discussion/DP2006-07.pdf)
Journal Article: Speculative bubbles in the S&P 500: Was the tech bubble confined to the tech sector? (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:rdg:icmadp:icma-dp2006-07
Access Statistics for this paper
More papers in ICMA Centre Discussion Papers in Finance from Henley Business School, Reading University Contact information at EDIRC.
Bibliographic data for series maintained by Marie Pearson ().