IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/80526.html

Alternative Evaluation of S&P 500 index in Relation to Quantitative Easing

Author

Listed:
  • Širůček, Martin
  • Galečka, Ondřej

Abstract

The paper focuses on the impact of money supply on the S&P 500 stock index. The main goal is by using selected indicators identify the bubble. That is meaning, according to the results bring to the investors recommendations what indicator they should to use for early identification of the price bubble. The paper deals with two „standard” indicator and one „behavioural”. The first use the rational price bubble variable and compare it with the standard deviation, the second one deals with the ratio market capitalisatuion and GDP. As „behaioural” indicator analyses of EPUI and VIX index was used. Empirical results were comfirmed by the „behaivoural”variables. Higher accuracy of results acquired the second empirical method, where the divisor was used.

Suggested Citation

  • Širůček, Martin & Galečka, Ondřej, 2016. "Alternative Evaluation of S&P 500 index in Relation to Quantitative Easing," MPRA Paper 80526, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:80526
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/80526/1/MPRA_paper_80526.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Olivier J. Blanchard & Mark W. Watson, 1982. "Bubbles, Rational Expectations and Financial Markets," NBER Working Papers 0945, National Bureau of Economic Research, Inc.
    2. Shigenori Shiratsuka, 2001. "Asset prices, financial stability and monetary policy: based on Japan’s experience of the asset price bubble," BIS Papers chapters, in: Bank for International Settlements (ed.), Marrying the macro- and micro-prudential dimensions of financial stability, volume 1, pages 261-284, Bank for International Settlements.
    3. Jose A. Scheinkman & Wei Xiong, 2003. "Overconfidence and Speculative Bubbles," Journal of Political Economy, University of Chicago Press, vol. 111(6), pages 1183-1219, December.
    4. Homa, Kenneth E & Jaffee, Dwight M, 1971. "The Supply of Money and Common Stock Prices," Journal of Finance, American Finance Association, vol. 26(5), pages 1045-1066, December.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. William Quinn & John D. Turner, 2023. "Bubbles in history," Business History, Taylor & Francis Journals, vol. 65(4), pages 636-655, May.
    2. Saki Bigio & Eduardo Zilberman, 2020. "Speculation-Driven Business Cycles," Working Papers Central Bank of Chile 865, Central Bank of Chile.
    3. Stijn Claessens & M. Ayhan Kose, 2013. "Financial Crises: Explanations, Types and Implications," CAMA Working Papers 2013-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    4. Hirota, Shinichi & Sunder, Shyam, 2007. "Price bubbles sans dividend anchors: Evidence from laboratory stock markets," Journal of Economic Dynamics and Control, Elsevier, vol. 31(6), pages 1875-1909, June.
    5. Barberis, Nicholas & Greenwood, Robin & Jin, Lawrence & Shleifer, Andrei, 2018. "Extrapolation and bubbles," Journal of Financial Economics, Elsevier, vol. 129(2), pages 203-227.
    6. Li Lin & Didier Sornette, 2009. "Diagnostics of Rational Expectation Financial Bubbles with Stochastic Mean-Reverting Termination Times," Papers 0911.1921, arXiv.org.
    7. Arzu Uluc, 2018. "Stabilising House Prices: the Role of Housing Futures Trading," The Journal of Real Estate Finance and Economics, Springer, vol. 56(4), pages 587-621, May.
    8. Jianjun Miao & PENGFEI WANG, 2011. "Bubbles and Credit Constraints," Boston University - Department of Economics - Working Papers Series WP2011-031, Boston University - Department of Economics.
    9. John Fender, 2020. "Beyond the efficient markets hypothesis: Towards a new paradigm," Bulletin of Economic Research, Wiley Blackwell, vol. 72(3), pages 333-351, July.
    10. Brunnermeier, Markus K. & Oehmke, Martin, 2013. "Bubbles, Financial Crises, and Systemic Risk," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1221-1288, Elsevier.
    11. Greenwood, Robin & Shleifer, Andrei & You, Yang, 2019. "Bubbles for Fama," Journal of Financial Economics, Elsevier, vol. 131(1), pages 20-43.
    12. John R. Conlon, 2015. "Should Central Banks Burst Bubbles? Some Microeconomic Issues," Economic Journal, Royal Economic Society, vol. 125(582), pages 141-161, February.
    13. Yasushi Asako & Kozo Ueda, 2014. "The Boy Who Cried Bubble: Public Warnings Against Riding Bubbles," Economic Inquiry, Western Economic Association International, vol. 52(3), pages 1137-1152, July.
    14. Bradley Jones, 2014. "Identifying Speculative Bubbles: A Two-Pillar Surveillance Framework," IMF Working Papers 2014/208, International Monetary Fund.
    15. Neil D Pearson & Zhishu Yang & Qi Zhang & Stijn Van Nieuwerburgh, 0. "The Chinese Warrants Bubble: Evidence from Brokerage Account Records," Review of Economic Studies, Oxford University Press, vol. 34(1), pages 264-312.
    16. Giglio, Stefano & Severo, Tiago, 2012. "Intangible capital, relative asset shortages and bubbles," Journal of Monetary Economics, Elsevier, vol. 59(3), pages 303-317.
    17. Yen-Hsiao Chen & Lianfeng Quan, 2013. "Rational speculative bubbles in the Asian stock markets: Tests on deterministic explosive bubbles and stochastic explosive root bubbles," Journal of Asset Management, Palgrave Macmillan, vol. 14(3), pages 195-208, June.
    18. Leiss, Matthias & Nax, Heinrich H. & Sornette, Didier, 2015. "Super-exponential growth expectations and the global financial crisis," Journal of Economic Dynamics and Control, Elsevier, vol. 55(C), pages 1-13.
    19. Hirota, Shinichi & Huber, Juergen & Stöckl, Thomas & Sunder, Shyam, 2022. "Speculation, money supply and price indeterminacy in financial markets: An experimental study," Journal of Economic Behavior & Organization, Elsevier, vol. 200(C), pages 1275-1296.
    20. Robert B. Barsky, 2009. "The Japanese Bubble: A 'Heterogeneous' Approach," NBER Working Papers 15052, National Bureau of Economic Research, Inc.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:80526. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.