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Speculative bubbles and herding in cryptocurrencies. [PDF]
Financ Innov, 2022 AbstractThis study investigates speculative bubbles in the cryptocurrency market and factors affecting bubbles during the COVID-19 pandemic. Our results indicate that each cryptocurrency covered in the study presented bubbles. Moreover, we found that explosive behavior in one currency leads to explosivity in other cryptocurrencies. During the pandemic,
Haykir O, Yagli I.
europepmc +4 more sources
Speculative bubbles and financial crisis [PDF]
SSRN Electronic Journal, 2009 Why are asset prices so much more volatile and so often detached from their fundamentals? Why does the burst of financial bubbles depress the real economy?
Pengfei Wang, Yi Wen
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A leverage-based model of speculative bubbles [PDF]
Journal of Economic Theory, 2008 This paper examines whether theoretical models of bubbles based on the notion that the price of an asset can deviate from its fundamental value are useful for understanding phenomena that are often described as bubbles, and which are distinguished by ...
Gadi Barlevy
core +6 more sources
A stochastic model for speculative bubbles [PDF]
, 2013 International audienceThe aim of this paper is to provide a simple modelling of speculative bubbles and to derive some quantitative properties of its dynamical evolution.
Gadat, Sébastien +2 more
core +8 more sources
Sequential Detector Statistics for Speculative Bubbles
Journal of Time Series AnalysisABSTRACTWe propose a heteroskedasticity‐robust locally best invariant (LBI) statistic to test the hypothesis of a unit root against the alternative of an explosive root associated with speculative bubbles. Compared to existing alternatives such as Dickey‐Fuller type tests, the LBI statistic has a standard limiting distribution and greater power ...
Jörg Breitung
exaly +4 more sources
On Testing for Speculative Bubbles [PDF]
Journal of Economic Perspectives, 1990 The possibility that movements in prices could be due to the self-fulfilling prophecies of market participants has long intrigued observers of free markets. This paper surveys the current state of the empirically-oriented literature concerning rational dynamic indeterminacies, by which we mean a situation of self-fulfilling prophecy within a rational ...
Flood, Robert P, Hodrick, Robert J
openaire +1 more source
Speculative Price Bubbles in the Rice Market and the 1974 Bangladesh Famine [PDF]
, 2000 This paper investigates the role played by speculative price bubbles in destabilizing food markets in Bangladesh during the 1974 famine. The hypothesis of speculative price bubbles in the rice market is tested using weekly price data.
Charles Becker, Munir Quddus
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Testing for rational speculative bubbles in the Brazilian residential real-estate market
, 2014 Speculative bubbles have been occurring periodically in local or global real estate markets and are considered a potential cause of economic crises. In this context, the detection of explosive behaviors in the financial market and the implementation of ...
Campbell J. +9 more
core +1 more source
Speculative Bubbles - An Introduction and Application of the Speculation Elicitation Task (SET) [PDF]
SSRN Electronic Journal, 2015 We introduce the speculation elicitation task (SET) to measure speculative tendencies of individuals. The resulting SET-score allows us to investigate the role of individual speculative behavior on experimental asset market bubbles. The experimental results show that overpricing in asset markets composed of subjects with a high propensity to speculate (
Janssen, Dirk-Jan +2 more
openaire +1 more source
On the maximum drawdown during speculative bubbles [PDF]
, 2006 A taxonomy of large financial crashes proposed in the literature locates the burst of speculative bubbles due to endogenous causes in the framework of extreme stock market crashes, defined as falls of market prices that are outlier with respect to the ...
Ausloos +10 more
core +2 more sources