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Complex bubble persistence in closed-end country funds

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Author Info

  • Ahmed, Ehsan
  • Koppl, Roger
  • Rosser, J. Jr.
  • White, Mark V.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Behavior & Organization.

Volume (Year): 32 (1997)
Issue (Month): 1 (January)
Pages: 19-37

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Handle: RePEc:eee:jeborg:v:32:y:1997:i:1:p:19-37

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References

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  1. Hamilton, James D. & Whiteman, Charles H., 1985. "The observable implications of self-fulfilling expectations," Journal of Monetary Economics, Elsevier, vol. 16(3), pages 353-373, November.
  2. Engel, Charles & Hamilton, James D, 1990. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?," American Economic Review, American Economic Association, vol. 80(4), pages 689-713, September.
  3. Andrew W. Lo, 1989. "Long-term Memory in Stock Market Prices," NBER Working Papers 2984, National Bureau of Economic Research, Inc.
  4. Heiner, Ronald A, 1983. "The Origin of Predictable Behavior," American Economic Review, American Economic Association, vol. 73(4), pages 560-95, September.
  5. Roenfeldt, Rodney L. & Tuttle, Donald L., 1973. "An examination of the discounts and premiums of closed-end investment companies," Journal of Business Research, Elsevier, vol. 1(2), pages 129-140.
  6. Campbell R. Harvey, 1994. "Predictable Risk and Returns in Emerging Markets," NBER Working Papers 4621, National Bureau of Economic Research, Inc.
  7. Lin, Chien-Fu Jeff & Terasvirta, Timo, 1994. "Testing the constancy of regression parameters against continuous structural change," Journal of Econometrics, Elsevier, vol. 62(2), pages 211-228, June.
  8. Flood, Robert P & Garber, Peter M, 1980. "Market Fundamentals versus Price-Level Bubbles: The First Tests," Journal of Political Economy, University of Chicago Press, vol. 88(4), pages 745-70, August.
  9. Day, R. & Huang, W., 1988. "Bulls, Bears And Market Sheep," Papers m8822, Southern California - Department of Economics.
  10. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March.
  11. De Long, J Bradford, et al, 1991. "The Survival of Noise Traders in Financial Markets," The Journal of Business, University of Chicago Press, vol. 64(1), pages 1-19, January.
  12. Loretan, M. & Phillips, P.C.B., 1992. "Testing the Covariance Stationarity of Heavy-Tailed Time Series: An Overview of the Theory with Applications to Several Financial Datasets," Working papers 9208, Wisconsin Madison - Social Systems.
  13. Robert J. Shiller, 1984. "Stock Prices and Social Dynamics," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 15(2), pages 457-510.
  14. De Long, J Bradford, et al, 1990. " Positive Feedback Investment Strategies and Destabilizing Rational Speculation," Journal of Finance, American Finance Association, vol. 45(2), pages 379-95, June.
  15. Gikas A. Hardouvelis & Rafael La Porta & Thierry A. Wizman, 1993. "What Moves the Discount on Country Equity Funds?," NBER Working Papers 4571, National Bureau of Economic Research, Inc.
  16. Ploberger, Werner & Kramer, Walter, 1992. "The CUSUM Test with OLS Residuals," Econometrica, Econometric Society, vol. 60(2), pages 271-85, March.
  17. Greene, Myron T. & Fielitz, Bruce D., 1977. "Long-term dependence in common stock returns," Journal of Financial Economics, Elsevier, vol. 4(3), pages 339-349, May.
  18. Pontiff, Jeffrey, 1995. "Closed-end fund premia and returns Implications for financial market equilibrium," Journal of Financial Economics, Elsevier, vol. 37(3), pages 341-370, March.
  19. Scharfstein, David S & Stein, Jeremy C, 1990. "Herd Behavior and Investment," American Economic Review, American Economic Association, vol. 80(3), pages 465-79, June.
  20. Robert B. Barsky & J. Bradford De Long, 1989. "Bull and Bear Markets in the Twentieth Century," NBER Working Papers 3171, National Bureau of Economic Research, Inc.
  21. Lux, Thomas, 1995. "Herd Behaviour, Bubbles and Crashes," Economic Journal, Royal Economic Society, vol. 105(431), pages 881-96, July.
  22. Topol, Richard, 1991. "Bubbles and Volatility of Stock Prices: Effect of Mimetic Contagion," Economic Journal, Royal Economic Society, vol. 101(407), pages 786-800, July.
  23. Garber, Peter M, 1990. "Famous First Bubbles," Journal of Economic Perspectives, American Economic Association, vol. 4(2), pages 35-54, Spring.
  24. Gu, Mu, 1993. "An empirical examination of the deterministic component in stock price volatility," Journal of Economic Behavior & Organization, Elsevier, vol. 22(2), pages 239-252, October.
  25. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
  26. Robert J. Shiller, 1984. "Stock Prices and Social Dynamics," Cowles Foundation Discussion Papers 719R, Cowles Foundation for Research in Economics, Yale University.
  27. Tirole, Jean, 1982. "On the Possibility of Speculation under Rational Expectations," Econometrica, Econometric Society, vol. 50(5), pages 1163-81, September.
  28. Gu, M., 1993. "An Empirical Examination of the Deterministic Component in Stock price Volatility," Papers 9308, Southern California - Department of Economics.
  29. William Butos & Roger Koppl, 1993. "Hayekian expectations: Theory and empirical applications," Constitutional Political Economy, Springer, vol. 4(3), pages 303-329, September.
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Citations

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Cited by:
  1. Rosser, J. Jr. & Ahmed, Ehsan & Hartmann, Georg C., 2003. "Volatility via social flaring," Journal of Economic Behavior & Organization, Elsevier, vol. 50(1), pages 77-87, January.
  2. Lucy F. Ackert & Bryan K. Church, 1998. "The effects of subject pool and design experience on rationality in experimental asset markets," Working Paper 98-18, Federal Reserve Bank of Atlanta.
  3. David Howden, 2010. "Knowledge shifts and the business cycle: When boom turns to bust," The Review of Austrian Economics, Springer, vol. 23(2), pages 165-182, June.
  4. Roger Koppl & Carlo Nardone, 1997. "The Angular Distribution of Asset Returns in Delay Space," Finance 9703001, EconWPA.
  5. Philipp Bagus, 2008. "Monetary policy as bad medicine: The volatile relationship between business cycles and asset prices," The Review of Austrian Economics, Springer, vol. 21(4), pages 283-300, December.
  6. S. Elwood & Ehsan Ahmed & J. Rosser, 1999. "State-space estimation of rational bubbles in the Yen/Deutsche Mark exchange rate," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 135(2), pages 317-331, June.
  7. Mulligan, Robert F., 2004. "Fractal analysis of highly volatile markets: an application to technology equities," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(1), pages 155-179, February.
  8. Ahmed, Ehsan & Barkley Rosser, J. Jr. & Uppal, Jamshed Y., 1999. "Evidence of nonlinear speculative bubbles in pacific-rim stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(1), pages 21-36.
  9. Ehsan Ahmed & Honggang Li & J. Barkley Rosser, 2006. "Nonlinear bubbles in Chinese Stock Markets in the 1990s," Eastern Economic Journal, Eastern Economic Association, vol. 32(1), pages 1-18, Winter.
  10. Mulligan, Robert F. & Lombardo, Gary A., 2004. "Maritime businesses: volatile stock prices and market valuation inefficiencies," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 321-336, May.
  11. Mulligan, Robert F. & Koppl, Roger, 2011. "Monetary policy regimes in macroeconomic data: An application of fractal analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 201-211, May.
  12. Koppl, Roger & Whitman, Douglas Glen, 2004. "Rational-choice hermeneutics," Journal of Economic Behavior & Organization, Elsevier, vol. 55(3), pages 295-317, November.

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