Testing for the existence of a bubble in the stock market

Dieter Gerdesmeier, Hans-Eggert Reimers and Barbara Roffia

No 01/2013, Wismar Discussion Papers from Hochschule Wismar, Wismar Business School

Abstract: Are specific developments in stock prices in line with fundamentals or do they reflect a rising bubble? And if the latter result applies, how is it possible to detect a bubble in real time? The answer to this question is of utmost relevance for a number of areas, not least for either financial market participants or for central banks aiming at pursuing a policy of 'leaning against the wind'. In this study, we make use of a sample of 17 OECD industrialised countries and the euro area over the sample period 1969 Q1 - 2008 Q3 and carry out univariate and multivariate panel tests to find evidence of bubbles in the stock market of those countries over the past four decades.

JEL-codes: E37 E44 E51 (search for similar items in EconPapers)
Date: 2013
New Economics Papers: this item is included in nep-fmk and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.econstor.eu/bitstream/10419/76657/1/749488018.pdf (application/pdf)

Related works:
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:zbw:hswwdp:012013

Access Statistics for this paper

More papers in Wismar Discussion Papers from Hochschule Wismar, Wismar Business School Contact information at EDIRC.
Bibliographic data for series maintained by ZBW - Leibniz Information Centre for Economics ().