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Rational Speculative Bubbles: An Empirical Investigation of the London Stock Exchange

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  • Chris Brooks
  • Apostolos Katsaris

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Bibliographic Info

Article provided by Wiley Blackwell in its journal Bulletin of Economic Research.

Volume (Year): 55 (2003)
Issue (Month): 4 (October)
Pages: 319-346

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Handle: RePEc:bla:buecrs:v:55:y:2003:i:4:p:319-346

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Cited by:
  1. Cerqueti, Roy & Costantini, Mauro, 2011. "Testing for rational bubbles in the presence of structural breaks: Evidence from nonstationary panels," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2598-2605, October.
  2. McMillan, David G., 2013. "Consumption and stock prices: Evidence from a small international panel," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 76-88.
  3. Kumarappan, Subbu & Gustafson, Cole R., 2010. "Testing for Speculative Behavior in US Corn Ethanol Investments," 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado 61418, Agricultural and Applied Economics Association.
  4. Jiranyakul, Komain, 2008. "Empirical Assessment of the Present Value Model of Stock Prices Using the Data from Thailand’s Stock Market," MPRA Paper 55156, University Library of Munich, Germany.
  5. Refet Gurkaynak, 2005. "Econometric Tests of Asset Price Bubbles: Taking Stock," Finance 0504008, EconWPA.
  6. Ahmad, Mahyudin, 2012. "Duration dependence test for rational speculative bubble: the strength and weakness," MPRA Paper 42156, University Library of Munich, Germany.
  7. Fabian Bocart & Ken Bastiaensen & Peter Cauwels, 2011. "The 1980s Price Bubble on (Post) Impressionism," ACEI Working Paper Series AWP-03-2011, the Association for Cultural Economics International, revised Nov 2011.
  8. McMillan, David G., 2007. "Bubbles in the dividend-price ratio? Evidence from an asymmetric exponential smooth-transition model," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 787-804, March.
  9. Isabella Massa & Andreas Billmeier, 2007. "Go Long or Short in Pyramids? News From the Egyptian Stock Market," IMF Working Papers 07/179, International Monetary Fund.
  10. McMillan, David G., 2009. "Revisiting dividend yield dynamics and returns predictability: Evidence from a time-varying ESTR model," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 870-883, August.
  11. Jirasakuldech, Benjamas & Emekter, Riza & Rao, Ramesh P., 2008. "Do Thai stock prices deviate from fundamental values?," Pacific-Basin Finance Journal, Elsevier, vol. 16(3), pages 298-315, June.
  12. Gerdesmeier, Dieter & Reimers, Hans-Eggert & Roffia, Barbara, 2013. "Testing for the existence of a bubble in the stock market," Wismar Discussion Papers 01/2013, Hochschule Wismar, Wismar Business School.
  13. M. Kabir Hassan & Jung Suk-Yu, 2007. "Rational Speculative Bubbles: An Empirical Investigation of the Middle East and North African Stock Markets," NFI Working Papers 2007-WP-31, Indiana State University, Scott College of Business, Networks Financial Institute.
  14. BAKO Elena Dana & SECHEL Ioana - Cristina, 2013. "Speculative Bubbles - Appearance And Growth," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 65(3), pages 182-191.
  15. Benjamas Jirasakuldech & Robert Campbell & John Knight, 2006. "Are There Rational Speculative Bubbles in REITs?," The Journal of Real Estate Finance and Economics, Springer, vol. 32(2), pages 105-127, March.
  16. Alan Kirman, 2006. "Heterogeneity in Economics," Journal of Economic Interaction and Coordination, Springer, vol. 1(1), pages 89-117, May.
  17. J. V. Andersen & D Sornette, 2003. "Fearless versus Fearful Speculative Financial Bubbles," Papers cond-mat/0311089, arXiv.org.
  18. David G. McMillan & Mark E. Wohar, 2010. "Stock return predictability and dividend-price ratio: a nonlinear approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 351-365.
  19. David G. McMillan, 2010. "Present Value Model, Bubbles and Returns Predictability: Sector-Level Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(5-6), pages 668-686.
  20. Yu, Tongkui & Li, Honggang, 2008. "Dynamic Regimes of a Multi-agent Stock Market Model," MPRA Paper 14339, University Library of Munich, Germany.
  21. McMillan, David G., 2009. "Are share prices still too high?," Research in International Business and Finance, Elsevier, vol. 23(3), pages 223-232, September.

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