메뉴 건너뛰기




Volumn 39, Issue 1, 1999, Pages 21-36

Evidence of nonlinear speculative bubbles in pacific-rim stock markets

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0033098179     PISSN: 10629769     EISSN: None     Source Type: Journal    
DOI: 10.1016/s1062-9769(99)80002-7     Document Type: Article
Times cited : (15)

References (39)
  • 2
    • 0002778178 scopus 로고
    • Nonlinear speculative bubbles in the Pakistani stock market
    • Ahmed, E., and J. B. Rosser Jr. 1995. "Nonlinear speculative bubbles in the Pakistani stock market." The Pakistan Development Review, 34: 25-41.
    • (1995) The Pakistan Development Review , vol.34 , pp. 25-41
    • Ahmed, E.1    Rosser J.B., Jr.2
  • 3
    • 38249026830 scopus 로고
    • A global model of OECD aggregate supply and demand using vector autoregressive techniques
    • Ahmed, E., J. B. Rosser Jr., and R. G. Sheehan. 1988. "A global model of OECD aggregate supply and demand using vector autoregressive techniques." European Economic Review, 32: 1711-1729.
    • (1988) European Economic Review , vol.32 , pp. 1711-1729
    • Ahmed, E.1    Rosser J.B., Jr.2    Sheehan, R.G.3
  • 4
    • 51249177202 scopus 로고
    • A comparison of national and international aggregate supply and demand VAR models: The United States, Japan, and the European economic community
    • Ahmed, E., J. B. Rosser Jr., and R. G. Sheehan. 1989. "A comparison of national and international aggregate supply and demand VAR models: The United States, Japan, and the European economic community." Weltwirtschaftliches Archiv, 125: 252-272.
    • (1989) Weltwirtschaftliches Archiv , vol.125 , pp. 252-272
    • Ahmed, E.1    Rosser J.B., Jr.2    Sheehan, R.G.3
  • 7
    • 0001441373 scopus 로고
    • Ex ante versus interim rationality and the existence of bubbles
    • Bhattacharyya, S., and B. L. Lipman. 1995. "Ex ante versus interim rationality and the existence of bubbles." Economic Theory, 6: 469-494.
    • (1995) Economic Theory , vol.6 , pp. 469-494
    • Bhattacharyya, S.1    Lipman, B.L.2
  • 9
    • 0001866008 scopus 로고
    • Bubbles, rational expectations, and financial markets
    • edited by P. Wachtel. Lexington: Lexington Books
    • Blanchard, O. J., and M. W. Watson. 1982. "Bubbles, rational expectations, and financial markets." Pp. 295-315 in, Crises in the Economic and Financial Structure, edited by P. Wachtel. Lexington: Lexington Books.
    • (1982) Crises in the Economic and Financial Structure , pp. 295-315
    • Blanchard, O.J.1    Watson, M.W.2
  • 12
    • 84986349417 scopus 로고
    • The time series properties of the risk premium in the yen/dollar exchange rate
    • Canova, F., and T. Ito. 1991. "The time series properties of the risk premium in the yen/dollar exchange rate." Journal of Applied Econometrics, 6: 125-142.
    • (1991) Journal of Applied Econometrics , vol.6 , pp. 125-142
    • Canova, F.1    Ito, T.2
  • 16
    • 84977712440 scopus 로고
    • Positive feedback investment strategies and destabilizing rational speculation
    • De Long, J., A. Shleifer, L. Summers, and R. Waldman. 1990. "Positive feedback investment strategies and destabilizing rational speculation." Journal of Finance, 45: 379-395.
    • (1990) Journal of Finance , vol.45 , pp. 379-395
    • De Long, J.1    Shleifer, A.2    Summers, L.3    Waldman, R.4
  • 18
    • 0011667194 scopus 로고
    • Do fundamentals, bubbles, or neither determine stock prices?
    • edited by G.P. Dwyer, Jr. and R. W. Hafer. Boston: Kluwer Academic Publishers
    • Dwyer, G. P. Jr., and R. W. Hafer. 1990. "Do fundamentals, bubbles, or neither determine stock prices?" Pp. 31-68 in The Stock Market: Bubbles, Volatility, and Chaos, edited by G.P. Dwyer, Jr. and R. W. Hafer. Boston: Kluwer Academic Publishers.
    • (1990) The Stock Market: Bubbles, Volatility, and Chaos , pp. 31-68
    • Dwyer G.P., Jr.1    Hafer, R.W.2
  • 19
    • 0000230606 scopus 로고
    • Long swings in the dollar: Are they in the data and do markets know it?
    • Engel, C., and J. D. Hamilton. 1990. "Long swings in the dollar: Are they in the data and do markets know it?" American Economic Review, 80: 689-713.
    • (1990) American Economic Review , vol.80 , pp. 689-713
    • Engel, C.1    Hamilton, J.D.2
  • 20
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation
    • Engle, R. F. 1982. "Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation." Econometrica, 50: 987-1007.
    • (1982) Econometrica , vol.50 , pp. 987-1007
    • Engle, R.F.1
  • 21
    • 0001315552 scopus 로고
    • Market fundamentals versus price level bubbles: The first tests
    • Flood, R. P., and P. M. Garber. 1980. "Market fundamentals versus price level bubbles: The first tests." Journal of Political Economy, 88: 745-776.
    • (1980) Journal of Political Economy , vol.88 , pp. 745-776
    • Flood, R.P.1    Garber, P.M.2
  • 24
    • 38248999661 scopus 로고
    • An empirical examination of the deterministic component in stock price volatility
    • Gu, M. 1993. "An empirical examination of the deterministic component in stock price volatility." Journal of Economic Behavior and Organization, 22: 239-252.
    • (1993) Journal of Economic Behavior and Organization , vol.22 , pp. 239-252
    • Gu, M.1
  • 25
    • 0001342006 scopus 로고
    • A new approach to the economic analysis of nonstationary time series and the business cycle
    • Hamilton, J. D. 1989. "A new approach to the economic analysis of nonstationary time series and the business cycle." Econometrica, 57: 357-384.
    • (1989) Econometrica , vol.57 , pp. 357-384
    • Hamilton, J.D.1
  • 27
    • 0003426437 scopus 로고    scopus 로고
    • Washington: International Finance Corporation
    • IFC. 1996. Emerging Stock Market Factbook. Washington: International Finance Corporation.
    • (1996) Emerging Stock Market Factbook
  • 31
    • 0030521734 scopus 로고    scopus 로고
    • Incomplete markets over an infinite horizon: Longlived securities and speculative bubbles
    • Magill, M. J. P., and M. Quinzii. 1996. "Incomplete markets over an infinite horizon: Longlived securities and speculative bubbles." Journal of Mathematical Economics, 26: 133-170.
    • (1996) Journal of Mathematical Economics , vol.26 , pp. 133-170
    • Magill, M.J.P.1    Quinzii, M.2
  • 32
    • 21344480023 scopus 로고
    • The predictability of stock market regime: Evidence from the Toronto stock exchange
    • van Norden, S. and H. Schaller. 1993. "The predictability of stock market regime: Evidence from the Toronto stock exchange." Review of Economics and Statistics, 75: 505-510.
    • (1993) Review of Economics and Statistics , vol.75 , pp. 505-510
    • Van Norden, S.1    Schaller, H.2
  • 33
    • 0009410789 scopus 로고    scopus 로고
    • Volatility and predictability in national stock markets: How do emerging and mature markets differ?
    • Richards, A. J. 1996. "Volatility and predictability in national stock markets: How do emerging and mature markets differ?" International Monetary Fund Staff Papers, 43: 461-501.
    • (1996) International Monetary Fund Staff Papers , vol.43 , pp. 461-501
    • Richards, A.J.1
  • 37
    • 0001022690 scopus 로고
    • On the possibility of speculation under rational expectations
    • Tirole, J. 1982. "On the possibility of speculation under rational expectations." Econometrica, 50: 1163-1181.
    • (1982) Econometrica , pp. 1163-1181
    • Tirole, J.1
  • 38
    • 0001575872 scopus 로고
    • Asset bubbles and overlapping generations
    • Tirole, J. 1985. "Asset bubbles and overlapping generations." Econometrica, 53: 1499-1528.
    • (1985) Econometrica , vol.53 , pp. 1499-1528
    • Tirole, J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.