Why do speculative bubbles gather steam? some international evidence
Why do speculative bubbles gather steam? some international evidence
We combined tests for speculative bubbles in stock markets with a crosscountry regression framework to analyse whether economic and institutional variables can be identified that make speculative bubbles in stock markets more likely to occur. The list of variables that we found to have a significant effect on the probability that a speculative bubble arises includes an index of shareholder rights (with a negative sign), the share of assets of foreign-owned banks in total banking assets (with a positive sign) and the ratio of gross private saving to gross private disposable income (with a positive sign).
1089-1093
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Pierdzioch, Christian
60eb79c6-d98e-4ceb-a634-9acaf7ebc451
July 2012
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Pierdzioch, Christian
60eb79c6-d98e-4ceb-a634-9acaf7ebc451
Kizys, Renatas and Pierdzioch, Christian
(2012)
Why do speculative bubbles gather steam? some international evidence.
Applied Economics Letters, 19 (11), .
(doi:10.1080/13504851.2011.613752).
Abstract
We combined tests for speculative bubbles in stock markets with a crosscountry regression framework to analyse whether economic and institutional variables can be identified that make speculative bubbles in stock markets more likely to occur. The list of variables that we found to have a significant effect on the probability that a speculative bubble arises includes an index of shareholder rights (with a negative sign), the share of assets of foreign-owned banks in total banking assets (with a positive sign) and the ratio of gross private saving to gross private disposable income (with a positive sign).
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e-pub ahead of print date: 4 October 2011
Published date: July 2012
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Local EPrints ID: 434496
URI: http://eprints.soton.ac.uk/id/eprint/434496
ISSN: 1350-4851
PURE UUID: b8e13b6e-ee6c-4195-9e8d-e49bc96cba28
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Date deposited: 25 Sep 2019 16:30
Last modified: 16 Mar 2024 04:41
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Author:
Christian Pierdzioch
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