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The Predictability of Stock Market Regime: Evidence from the Toronto Stock Exchange

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Cited by:

  1. Vipin Arora & Shuping Shi, 2013. "A Heterogenous Agent Foundation for Tests of Asset Price Bubbles," CAMA Working Papers 2013-35, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  2. Refet S. Gürkaynak, 2008. "Econometric Tests Of Asset Price Bubbles: Taking Stock," Journal of Economic Surveys, Wiley Blackwell, vol. 22(1), pages 166-186, February.
  3. Maximilian Brauers & Matthias Thomas & Joachim Zietz, 2014. "Are There Rational Bubbles in REITs? New Evidence from a Complex Systems Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 49(2), pages 165-184, August.
  4. Accolley, Delali, 2021. "Some Markov-Switching Models for the Toronto Stock Exchange," MPRA Paper 108072, University Library of Munich, Germany.
  5. Vipin Arora & Shuping Shi, 2016. "Nonlinearities and tests of asset price bubbles," Empirical Economics, Springer, vol. 50(4), pages 1421-1433, June.
  6. Psaradakis, Zacharias & Sola, Martin & Spagnolo, Fabio, 2001. "A simple procedure for detecting periodically collapsing rational bubbles," Economics Letters, Elsevier, vol. 72(3), pages 317-323, September.
  7. David G. McMillan, 2010. "Present Value Model, Bubbles and Returns Predictability: Sector‐Level Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(5‐6), pages 668-686, June.
  8. Panopoulou, Ekaterini & Pantelidis, Theologos, 2015. "Speculative behaviour and oil price predictability," Economic Modelling, Elsevier, vol. 47(C), pages 128-136.
  9. Ogonna Nneji & Chris Brooks & Charles Ward, 2013. "Commercial Real Estate and Equity Market Bubbles: Are They Contagious to REITs?," Urban Studies, Urban Studies Journal Limited, vol. 50(12), pages 2496-2516, September.
  10. Ogonna Nneji & Chris Brooks & Charles Ward, 2011. "Intrinsic and Rational Speculative Bubbles in the U.S. Housing Market 1960-2009," ICMA Centre Discussion Papers in Finance icma-dp2011-01, Henley Business School, University of Reading.
  11. Balcilar, Mehmet & Gupta, Rangan & Jooste, Charl & Wohar, Mark E., 2016. "Periodically collapsing bubbles in the South African stock market," Research in International Business and Finance, Elsevier, vol. 38(C), pages 191-201.
  12. Bell, Adrian R. & Brooks, Chris & Killick, Helen, 2022. "The first real estate bubble? Land prices and rents in medieval England c. 1300–1500," Research in International Business and Finance, Elsevier, vol. 62(C).
  13. repec:zbw:bofism:2006_035 is not listed on IDEAS
  14. Carlos Cañizares Martínez, 2023. "Leaning against housing booms fueled by credit," Working Paper series 23-04, Rimini Centre for Economic Analysis.
  15. Catherine Araujo Bonjean & Catherine Simonet, 2016. "Are grain markets in Niger driven by speculation?," Oxford Economic Papers, Oxford University Press, vol. 68(3), pages 714-735.
  16. Nneji, Ogonna, 2015. "Liquidity shocks and stock bubbles," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 35(C), pages 132-146.
  17. Matthew L. Higgins & Frank Ofori-Acheampong, 2018. "A Markov Regime-Switching Model with Time-Varying Transition Probabilities for Identifying Asset Price Bubbles," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(4), pages 1-14, April.
  18. Frank J. Fabozzi & Iason Kynigakis & Ekaterini Panopoulou & Radu S. Tunaru, 2020. "Detecting Bubbles in the US and UK Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 60(4), pages 469-513, May.
  19. David G. McMillan, 2010. "Present Value Model, Bubbles and Returns Predictability: Sector-Level Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(5-6), pages 668-686.
  20. Dmitry Kulikov, 2012. "Testing for Rational Speculative Bubbles on the Estonian Stock Market," Research in Economics and Business: Central and Eastern Europe, Tallinn School of Economics and Business Administration, Tallinn University of Technology, vol. 4(1).
  21. Keith Anderson & Chris Brooks & Sotiris Tsolacos, 2009. "Testing for periodically collapsing rational speculative bubbles in US REITs," ICMA Centre Discussion Papers in Finance icma-dp2009-11, Henley Business School, University of Reading.
  22. Ogonna Nneji & Charles Ward, 2011. "An investigation of bubble spillovers from the stock market and the residential property market to REITs," ERES eres2011_75, European Real Estate Society (ERES).
  23. Keith Anderson & Chris Brooks & Apostolos Katsaris, 2013. "Testing for speculative bubbles in asset prices," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 3, pages 73-94, Edward Elgar Publishing.
  24. Ahmed, Ehsan & Barkley Rosser, J. Jr. & Uppal, Jamshed Y., 1999. "Evidence of nonlinear speculative bubbles in pacific-rim stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(1), pages 21-36.
  25. Carl H. Korkpoe & Peterson Owusu Junior, 2018. "Behaviour of Johannesburg Stock Exchange All Share Index Returns - An Asymmetric GARCH and News Impact Effects Approach," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 68(1), pages 26-42, January-M.
  26. Simon van Norden & Huntley Schaller & ), 1995. "Speculative Behaviour, Regime-Switching, and Stock Market Crashes," Econometrics 9502003, University Library of Munich, Germany.
  27. Xiaoliang Liu & Guenther Filler & Martin Odening, 2013. "Testing for speculative bubbles in agricultural commodity prices: a regime switching approach," Agricultural Finance Review, Emerald Group Publishing Limited, vol. 73(1), pages 179-200, May.
  28. Simon van Norden & Huntley Schaller & ), 1995. "Regime Switching in Stock Market Returns," Econometrics 9502002, University Library of Munich, Germany.
  29. Robert Vigfusson & Simon van Norden, 1996. "Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?," Staff Working Papers 96-11, Bank of Canada.
  30. Maldonado, Wilfredo L. & Tourinho, Octávio A.F. & Valli, Marcos, 2012. "Exchange rate bubbles: Fundamental value estimation and rational expectations test," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1033-1059.
  31. Nathan S. Balke & Mark E. Wohar, 2009. "Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(1), pages 35-75.
  32. Geetu Aggarwal & Navdeep Aggarwal, 2021. "Risk-adjusted Returns from Statistical Arbitrage Opportunities in Indian Stock Futures Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(1), pages 79-99, March.
  33. Warren Dean & Robert Faff, 2008. "Evidence of feedback trading with Markov switching regimes," Review of Quantitative Finance and Accounting, Springer, vol. 30(2), pages 133-151, February.
  34. Simon van Norden & Huntley Schaller, 2002. "Fads or bubbles?," Empirical Economics, Springer, vol. 27(2), pages 335-362.
  35. Anderson, Keith & Brooks, Chris & Katsaris, Apostolos, 2010. "Speculative bubbles in the S&P 500: Was the tech bubble confined to the tech sector?," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 345-361, June.
  36. Kim, Jan R. & Lim, Gieyoung, 2016. "Fundamentals and rational bubbles in the Korean housing market: A modified present-value approach," Economic Modelling, Elsevier, vol. 59(C), pages 174-181.
  37. Rose N. Lai & Robert A. Van Order, 2010. "Momentum and House Price Growth in the United States: Anatomy of a Bubble," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 38(4), pages 753-773, Winter.
  38. Wei, Yigang & Li, Yan & Wang, Zhicheng, 2022. "Multiple price bubbles in global major emission trading schemes: Evidence from European Union, New Zealand, South Korea and China," Energy Economics, Elsevier, vol. 113(C).
  39. Wilfredo L. Maldonado & Octávio A. F. Tourinho & Jorge A. B. M. de Abreu, 2014. "Cointegrated Periodically Collapsing Bubbles in the Exchange Rate of 'BRICS' Countries," CAMA Working Papers 2014-34, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  40. Gilbert V. Nartea & Muhammad A. Cheema & Kenneth R. Szulczyk, 2017. "Searching for rational bubble footprints in the Singaporean and Indonesian stock markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(3), pages 529-552, July.
  41. Catherine Araujo Bonjean & Catherine Simonet, 2012. "Are grain markets in Niger driven by speculation?," CERDI Working papers halshs-00626409, HAL.
  42. Ogonna Nneji & Chris Brooks & Charles Ward, 2011. "Housing and equity bubbles: Are they contagious to REITs?," ICMA Centre Discussion Papers in Finance icma-dp2011-11, Henley Business School, University of Reading.
  43. Vijay Kumar Vishwakarma & Ohannes George Paskelian, 2012. "Bubble In The Indian Real Estate Markets: Identification Using Regime-Switching Methodology," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(3), pages 27-40.
  44. Kanas, Angelos, 2005. "Nonlinearity in the stock price-dividend relation," Journal of International Money and Finance, Elsevier, vol. 24(4), pages 583-606, June.
  45. Uribe Gil, Jorge Mario, 2013. "Testing for multiple bubbles with daily data," Documentos de Trabajo 11028, Universidad del Valle, CIDSE.
  46. Carlos Canizares Martinez, 2023. "Leaning against housing booms fueled by credit," Working and Discussion Papers WP 9/2023, Research Department, National Bank of Slovakia.
  47. Taipalus, Katja, 2006. "Bubbles in the Finnish and US equities markets," Scientific Monographs, Bank of Finland, number 35/2006.
  48. Ehsan Ahmed & J. Rosser & Jamshed Uppal, 2014. "Are there nonlinear speculative bubbles in commodities prices?," Journal of Post Keynesian Economics, Taylor & Francis Journals, vol. 36(3), pages 415-438.
  49. Kodjovi G. Assoe, 1998. "Regime-Switching in Emerging Stock Market Returns," Multinational Finance Journal, Multinational Finance Journal, vol. 2(2), pages 101-132, June.
  50. Ehsan Ahmed & J. Barkley Rosser Jr. & Jamshed Y. Uppal, 2010. "Emerging Markets and Stock Market Bubbles: Nonlinear Speculation?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 46(4), pages 23-40, January.
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