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Bubble Contagion: Evidence from Japan's Asset Price Bubble of the 1980-90s

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This paper subjects one of the most documented asset price bubbles of the 1980-90s in Japan, to the rigors of recent time series-based econometric tests. We focus on testing for bubbles in the Japanese stock and real estate markets from 1970Q1 to 1999Q4 using the right-tailed unit root test of Phillips, Shi and Yu (2015, PSY). We also utilize the econometric methods of Greenaway-McGrevy and Phillips (2016) to explore the possibility of contagion between these two markets. We find significant econometric based evidence of bubbles in both markets during this period in Japan and importantly, for the first time in the literature, signs of bubble contagion from Japan's stock market to its real estate market.

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  • Yang Hu & Les Oxley, 2017. "Bubble Contagion: Evidence from Japan's Asset Price Bubble of the 1980-90s," Working Papers in Economics 17/20, University of Waikato.
    • Handle: RePEc:wai:econwp:17/20
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    Cited by:

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    2. Shuping Shi & Peter C.B. Phillips, 2023. "Diagnosing housing fever with an econometric thermometer," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 159-186, February.
    3. Potrykus, Marcin, 2023. "Price bubbles in commodity market – A single time series and panel data analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 87(C), pages 110-117.
    4. Bago, Jean-Louis & Souratié, Wamadini M. & Ouédraogo, Moussa & Ouédraogo, Ernest & Dembélé, Alou, 2019. "Financial Bubbles : New Evidence from South Africa’s Stock Market," MPRA Paper 95685, University Library of Munich, Germany.
    5. Theodosios Perifanis, 2019. "Detecting West Texas Intermediate (WTI) Prices’ Bubble Periods," Energies, MDPI, vol. 12(14), pages 1-16, July.

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    More about this item

    Keywords

    Japanese asset price bubble; contagion; stock market; real estate market;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • R30 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location - - - General

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