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Exuberance in Historical Stock Prices during the Mississippi and South Seas Bubble Episodes

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Abstract

Applying the methods of Phillips, Shi and Yu (2015, PSY), evidence of exuberance in share prices is confirmed for the Mississippi Company and South Sea Company, and for a number of other 18th century financial organisations, for the first time. There are signs of possible contagion in these historical shares.

Suggested Citation

  • Yang Hu & Les Oxley, 2017. "Exuberance in Historical Stock Prices during the Mississippi and South Seas Bubble Episodes," Working Papers in Economics 17/08, University of Waikato.
    • Handle: RePEc:wai:econwp:17/08
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    File URL: https://repec.its.waikato.ac.nz/wai/econwp/1708.pdf
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    Cited by:

    1. Peter C. B. Phillips, 2017. "Detecting Financial Collapse and Ballooning Sovereign Risk," Cowles Foundation Discussion Papers 3010, Cowles Foundation for Research in Economics, Yale University.
    2. Peter C. B. Phillips & Shuping Shi, 2019. "Detecting Financial Collapse and Ballooning Sovereign Risk," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(6), pages 1336-1361, December.
    3. Hu, Yang & Oxley, Les, 2018. "Do 18th century ‘bubbles’ survive the scrutiny of 21st century time series econometrics?," Economics Letters, Elsevier, vol. 162(C), pages 131-134.
    4. Yang Hu & Les Oxley, 2017. "Exuberance in British Share Prices during the Railway Mania of the 1840s: Evidence from the Phillips, Shi and Yu Test," Working Papers in Economics 17/09, University of Waikato.

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    More about this item

    Keywords

    exuberance; GSADF test; bubble; South Sea; Mississippi;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • N2 - Economic History - - Financial Markets and Institutions

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