Stock market bubble detection based on the price dispersion among similar listed Firms
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References listed on IDEAS
- Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe, 2016. "Power laws in market capitalization during the Dot-com and Shanghai bubble periods," CARF F-Series CARF-F-392, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Bala Arshanapalli & William Nelson, 2016. "Testing For Stock Price Bubbles: A Review Of Econometric Tools," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 10(4), pages 29-42.
- Taisei Kaizoji, 2006. "Power laws and market crashes," Papers physics/0603138, arXiv.org.
- Takayuki Mizuno & Takaaki Ohnishi & Tsutomu Watanabe, 2016. "Power laws in market capitalization during the Dot-com and Shanghai bubble periods," UTokyo Price Project Working Paper Series 070, University of Tokyo, Graduate School of Economics.
- T. Kaizoji, 2006. "A precursor of market crashes: Empirical laws of Japan's internet bubble," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 50(1), pages 123-127, March.
- Mizuno, Takayuki & Ohnishi, Takaaki & Watanabe, Tsutomu, 2016. "Power law in market capitalization during Dot-com and Shanghai bubble periods," HIT-REFINED Working Paper Series 60, Institute of Economic Research, Hitotsubashi University.
- Stefan Palan, 2013. "A Review Of Bubbles And Crashes In Experimental Asset Markets," Journal of Economic Surveys, Wiley Blackwell, vol. 27(3), pages 570-588, July.
More about this item
KeywordsStock market; Financial bubble; Nowcast; Power law;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2017-04-30 (All new papers)
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