Options
The launch of a speculative bubble indicator
Author(s)
Date Issued
2000
Series/Report no.
Working Paper Series, 2000;
ISBN
9628719084
Description
17 pages
Type
Working Paper
Abstract
This paper launches a speculative bubble indicator to detect bubbles in high frequency asset price using least square method. The bubble indicator can detect the accelerating expansion phase of speculative bubbles. The bubble indicator is applied to describe the daily NASDAQ, Euro and Yen, from January 1999 to the end of February 2000. The results provide insight in three controversial issues of bubbles, the life, the size and the frequency of bubbles. The conclusion is that bubbles are essentially short-lived, small-scale and a natural phenomenon in asset markets.
Loading...
Availability at HKSYU Library
