Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?

• Main Authors: PHILLIPS, Peter C. B., WU, Yangru, YU, Jun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2009
• Subjects: Explosive root; irrational exuberance; mildly explosive process; Nasdaq bubble; periodically collapsing bubble; sup test; unit root test; Econometrics; Finance
• Online Access: https://ink.library.smu.edu.sg/soe_research/1155; https://ink.library.smu.edu.sg/context/soe_research/article/2154/viewcontent/IERMS22578Revised.pdf
• Institution: Singapore Management University

A recursive test procedure is suggested that provides a mechanism for testing explosive behavior, date-stamping the origination and collapse of economic exuberance, and providing valid confidence intervals for explosive growth rates. The method involves the recursive implementation of a right-side u...