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Bubbles and Volatility of Stock Prices: Effect of Mimetic Contagion

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Cited by:

  1. Baddeley, M., 2011. "A Behavioural Analysis of Online Privacy and Security," Cambridge Working Papers in Economics 1147, Faculty of Economics, University of Cambridge.
  2. Evrensel, Ayse Y. & Kutan, Ali M., 2006. "Creditor moral hazard in stock markets: Empirical evidence from Indonesia and Korea," Journal of International Money and Finance, Elsevier, vol. 25(4), pages 640-654, June.
  3. Narayan, Paresh Kumar & Mishra, Sagarika & Sharma, Susan & Liu, Ruipeng, 2013. "Determinants of stock price bubbles," Economic Modelling, Elsevier, vol. 35(C), pages 661-667.
  4. Ahmed, Ehsan & Koppl, Roger & Rosser, J. Jr. & White, Mark V., 1997. "Complex bubble persistence in closed-end country funds," Journal of Economic Behavior & Organization, Elsevier, vol. 32(1), pages 19-37, January.
  5. Voronovitsky, Mark, 2015. "Динамическая Модель Замкнутого Однотоварного Рынка С Конечными Автоматами В Качестве Участников [The dynamic model of the closed market with one commodity and with finite linear automata as partici," MPRA Paper 70460, University Library of Munich, Germany.
  6. Yang, J-H.S. & Satchell, S.E., 2003. "Endogenous Correlation," Cambridge Working Papers in Economics 0321, Faculty of Economics, University of Cambridge.
  7. Jørgen Vitting Andersen & Ioannis Vrontos & Petros Dellaportas & Serge Galam, 2014. "Communication impacting financial markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01215750, HAL.
  8. Bronka Rzepkowski, 2002. "Heterogeneous expectations, currency options and the euro/dollar," Quantitative Finance, Taylor & Francis Journals, vol. 2(2), pages 147-157.
  9. Orlean, Andre, 1995. "Bayesian interactions and collective dynamics of opinion: Herd behavior and mimetic contagion," Journal of Economic Behavior & Organization, Elsevier, vol. 28(2), pages 257-274, October.
  10. Pat Wilson & John Okunev & Guy Ta, 1994. "Are Real Estate and Securities Markets Integrated? Some Australian Evidence," Working Paper Series 42, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  11. Denis Phan & Stephane Pajot & Jean-Pierre Nadal, 2003. "The Monopolist's Market with Discrete Choices and Network Externality Revisited: Small-Worlds, Phase Transition and Avalanches in an ACE Framework," Computing in Economics and Finance 2003 150, Society for Computational Economics.
  12. Barucci, Emilio & Landi, Leonardo, 1996. "Speculative dynamics with bounded rationality learning," European Journal of Operational Research, Elsevier, vol. 91(2), pages 284-300, June.
  13. Michel Beine & Agnès Bénassy-Quéré & Hélène Colas, 2003. "Imitation Amongst Exchange-Rate Forecasters: Evidence from Survey Data," THEMA Working Papers 2003-39, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  14. David Zimmer, 2015. "Asymmetric dependence in house prices: evidence from USA and international data," Empirical Economics, Springer, vol. 49(1), pages 161-183, August.
  15. LeBaron, Blake, 2000. "Agent-based computational finance: Suggested readings and early research," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 679-702, June.
  16. John Okunev & Patrick J. Wilson, 1997. "Using Nonlinear Tests to Examine Integration Between Real Estate and Stock Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(3), pages 487-503, September.
  17. Georges Prat, 1994. "La formation des anticipations boursières," Économie et Prévision, Programme National Persée, vol. 112(1), pages 101-125.
  18. James Payne & George Waters, 2007. "Have Equity REITs Experienced Periodically Collapsing Bubbles?," The Journal of Real Estate Finance and Economics, Springer, vol. 34(2), pages 207-224, February.
  19. A. Corcos & J-P Eckmann & A. Malaspinas & Y. Malevergne & D. Sornette, 2002. "Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos," Quantitative Finance, Taylor & Francis Journals, vol. 2(4), pages 264-281.
  20. Lux, Thomas, 1995. "Herd Behaviour, Bubbles and Crashes," Economic Journal, Royal Economic Society, vol. 105(431), pages 881-896, July.
  21. Olivier Brossard, 1998. "Comportement vis-à-vis de la liquidité et instabilité conjoncturelle : une réflexion sur la préférence pour la liquidité," Cahiers d'Économie Politique, Programme National Persée, vol. 30(1), pages 123-146.
  22. Lux, Thomas, 2012. "Estimation of an agent-based model of investor sentiment formation in financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 36(8), pages 1284-1302.
  23. Hirshleifer, David & Lo, Andrew W. & Zhang, Ruixun, 2023. "Social contagion and the survival of diverse investment styles," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
  24. Billmeier, Andreas & Massa, Isabella, 2008. "Go long or short in pyramids? News from the Egyptian stock market," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 949-970, December.
  25. Levy, Moshe, 2005. "Social phase transitions," Journal of Economic Behavior & Organization, Elsevier, vol. 57(1), pages 71-87, May.
  26. Pegah Dehghani & Ros Zam Zam Sapian, 2014. "Sectoral herding behavior in the aftermarket of Malaysian IPOs," Venture Capital, Taylor & Francis Journals, vol. 16(3), pages 227-246, July.
  27. Sonnemans, Joep & Hommes, Cars & Tuinstra, Jan & van de Velden, Henk, 2004. "The instability of a heterogeneous cobweb economy: a strategy experiment on expectation formation," Journal of Economic Behavior & Organization, Elsevier, vol. 54(4), pages 453-481, August.
  28. Ay?e Y. Evrensel & Ali M. Kutan, 2004. "Testing Creditor Moral Hazard in Sovereign Bond Markets: A Unified Theoretical Approach and Empirical Evidence," William Davidson Institute Working Papers Series 2004-665, William Davidson Institute at the University of Michigan.
  29. Alfarano, Simone & Banal-Estanol, Albert & Camacho-Cuena, Eva & Iori, Giulia & Kapar, Burcu, 2020. "Centralized vs decentralized markets in the laboratory: The role of connectivity," MPRA Paper 99129, University Library of Munich, Germany.
  30. Harras, Georges & Sornette, Didier, 2011. "How to grow a bubble: A model of myopic adapting agents," Journal of Economic Behavior & Organization, Elsevier, vol. 80(1), pages 137-152.
  31. Gong, Qingbin & Diao, Xundi, 2023. "The impacts of investor network and herd behavior on market stability: Social learning, network structure, and heterogeneity," European Journal of Operational Research, Elsevier, vol. 306(3), pages 1388-1398.
  32. Courtois, Pierre & Tazdaït, Tarik, 2007. "Games of influence in climate change negotiations: Modelling interactions," Ecological Modelling, Elsevier, vol. 204(3), pages 301-314.
  33. Levy, Moshe, 2008. "Stock market crashes as social phase transitions," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 137-155, January.
  34. Nawazish Mirza & Ayesha Afzal, 2012. "Some Preliminary Evidence on Stock Price Bubbles in an Emerging Market," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 15(44), pages 55-86, June.
  35. Rama CONT & Jean-Philippe BOUCHAUD, 1997. "Herd behavior and aggregate fluctuations in financial markets," Finance 9712008, University Library of Munich, Germany, revised 06 Jan 1998.
  36. Вороновицкий М.М., 2016. "Динамическая Модель Замкнутого Однотоварного Рынка С Конечными Автоматами В Качестве Участников," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 52(2), pages 75-90, апрель.
  37. Rama Cont & Jean-Philippe Bouchaud, 1997. "Herd behavior and aggregate fluctuations in financial markets," Papers cond-mat/9712318, arXiv.org, revised Jan 1998.
  38. André Orléan, 1992. "Contagion des opinions et fonctionnement des marchés financiers," Revue Économique, Programme National Persée, vol. 43(4), pages 685-698.
  39. Carl Joachim Kock, 2005. "When the Market Misleads: Stock Prices, Firm Behavior, and Industry Evolution," Organization Science, INFORMS, vol. 16(6), pages 637-660, December.
  40. Xiaolu Hu & Haoyi Luo & Zijin Xu & Jiang Li, 2021. "Intra‐industry spill‐over effect of default: Evidence from the Chinese bond market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4703-4740, September.
  41. Patrick Bayer & Kyle Mangum & James W. Roberts, 2021. "Speculative Fever: Investor Contagion in the Housing Bubble," American Economic Review, American Economic Association, vol. 111(2), pages 609-651, February.
  42. Nicolas, Maxime L.D., 2022. "Estimating a model of herding behavior on social networks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
  43. Yang, Xiaozhong & Peng, Mingshu & Hu, Jiping & Jiang, Xiaoxia, 2009. "Bubbling phenomenon in a discrete economic model for the interaction of demand and supply," Chaos, Solitons & Fractals, Elsevier, vol. 42(3), pages 1428-1438.
  44. Rama Cont & Jean-Philippe Bouchaud, 1997. "Herd behavior and aggregate fluctuations in financial markets," Science & Finance (CFM) working paper archive 500028, Science & Finance, Capital Fund Management.
  45. Вороновицкий М.М., 2014. "Агент - Ориентированная Модель Замкнутого Однотоварного Рынка," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 50(2), pages 73-87, апрель.
  46. Bronka Rzepkowski, 2001. "Heterogeneous Expectations, Currency Options and the Euro / Dollar Exchange Rate," Working Papers 2001-03, CEPII research center.
  47. Вороновицкий М.М., 2015. "Агент-Ориентированная Модель Замкнутого Однотоварного Рынка При Рациональном Предпочтении Участников," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 51(3), pages 64-80, июль.
  48. Ali M. Kutan & Ayse Y. Evrensel, 2004. "Creditor Moral Hazard in Equity Markets: A Theoretical Framework and Evidence from Indonesia and Korea," William Davidson Institute Working Papers Series 2004-659, William Davidson Institute at the University of Michigan.
  49. Vogel, Harold L. & Werner, Richard A., 2015. "An analytical review of volatility metrics for bubbles and crashes," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 15-28.
  50. Manfred Füllsack & Daniel Reisinger & Marie Kapeller & Georg Jäger, 2022. "Early warning signals from the periphery," Journal of Computational Social Science, Springer, vol. 5(1), pages 665-685, May.
  51. Mr. Martin Petri & Tahsin Saadi Sedik, 2006. "The Jordanian Stock Market—Should You Invest in It for Risk Diversification or Performance?," IMF Working Papers 2006/187, International Monetary Fund.
  52. Marco Mazzoli & Christian Barducci, 2009. "Testing exchange rate efficiency: the case of euro-dollar," International Review of Applied Economics, Taylor & Francis Journals, vol. 23(4), pages 521-540.
  53. Roe, Emery M., 1996. "Sustainable development and Girardian economics," Ecological Economics, Elsevier, vol. 16(2), pages 87-93, February.
  54. Omurtag, Ahmet & Sirovich, Lawrence, 2006. "Modeling a large population of traders: Mimesis and stability," Journal of Economic Behavior & Organization, Elsevier, vol. 61(4), pages 562-576, December.
  55. Voronovitsky, Mark, 2016. "О Стадном Поведении В Динамической Модели Замкнутого Однотоварного Рынка, Участниками Которого Являются Конечные Автоматы [On the herd behavior in the dynamic model of closed one commodity market w," MPRA Paper 72277, University Library of Munich, Germany.
  56. Brett, Craig & Sarkar, Saikat, 2022. "Financial bubbles and income inequality," MPRA Paper 112070, University Library of Munich, Germany.
  57. André Orléan, 1994. "Analyse des phénomènes d'influence : de la psychologie sociale et cognitive à l'économie financière," Revue Économique, Programme National Persée, vol. 45(3), pages 657-672.
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