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Why do speculative bubbles gather steam? Some international evidence

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  • Renatas Kizys
  • Christian Pierdzioch

Abstract

We combined tests for speculative bubbles in stock markets with a cross-country regression framework to analyse whether economic and institutional variables can be identified that make speculative bubbles in stock markets more likely to occur. The list of variables that we found to have a significant effect on the probability that a speculative bubble arises includes an index of shareholder rights (with a negative sign), the share of assets of foreign-owned banks in total banking assets (with a positive sign) and the ratio of gross private saving to gross private disposable income (with a positive sign).

Suggested Citation

  • Renatas Kizys & Christian Pierdzioch, 2012. "Why do speculative bubbles gather steam? Some international evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 19(11), pages 1089-1093, July.
  • Handle: RePEc:taf:apeclt:v:19:y:2012:i:11:p:1089-1093
    DOI: 10.1080/13504851.2011.613752
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    Cited by:

    1. Pierdzioch, Christian & Risse, Marian & Rohloff, Sebastian, 2015. "Cointegration of the prices of gold and silver: RALS-based evidence," Finance Research Letters, Elsevier, vol. 15(C), pages 133-137.
    2. Wang, Miao & Wong, M. C. Sunny, 2015. "Rational speculative bubbles in the US stock market and political cycles," Finance Research Letters, Elsevier, vol. 13(C), pages 1-9.

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