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

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...

Full description

Saved in:
Bibliographic Details
Main Authors: PHILLIPS, Peter C. B., WU, Yangru, YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2011
Subjects:
Online Access:https://ink.library.smu.edu.sg/soe_research/1265
https://ink.library.smu.edu.sg/context/soe_research/article/2264/viewcontent/YuIER2011.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English
id sg-smu-ink.soe_research-2264
record_format dspace
spelling sg-smu-ink.soe_research-22642019-07-22T06:38:37Z Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values? PHILLIPS, Peter C. B. WU, Yangru YU, Jun 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 unit root test and a sup test, both of which are easy to use in practical applications, and some new limit theory for mildly explosive processes. The test procedure is shown to have discriminatory power in detecting periodically collapsing bubbles, thereby overcoming a weakness in earlier applications of unit root tests for economic bubbles. An empirical application to the Nasdaq stock price index in the 1990s provides confirmation of explosiveness and date stamps the origination of financial exuberance to mid-1995, prior to the famous remark in December 1996 by Alan Greenspan about irrational exuberance in the financial market, thereby giving the remark empirical content. 2011-02-01T08:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/1265 info:doi/10.1111/j.1468-2354.2010.00625.x https://ink.library.smu.edu.sg/context/soe_research/article/2264/viewcontent/YuIER2011.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Econometrics Finance Finance and Financial Management International Economics
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Econometrics
Finance
Finance and Financial Management
International Economics
spellingShingle Econometrics
Finance
Finance and Financial Management
International Economics
PHILLIPS, Peter C. B.
WU, Yangru
YU, Jun
Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?
description 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 unit root test and a sup test, both of which are easy to use in practical applications, and some new limit theory for mildly explosive processes. The test procedure is shown to have discriminatory power in detecting periodically collapsing bubbles, thereby overcoming a weakness in earlier applications of unit root tests for economic bubbles. An empirical application to the Nasdaq stock price index in the 1990s provides confirmation of explosiveness and date stamps the origination of financial exuberance to mid-1995, prior to the famous remark in December 1996 by Alan Greenspan about irrational exuberance in the financial market, thereby giving the remark empirical content.
format text
author PHILLIPS, Peter C. B.
WU, Yangru
YU, Jun
author_facet PHILLIPS, Peter C. B.
WU, Yangru
YU, Jun
author_sort PHILLIPS, Peter C. B.
title Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?
title_short Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?
title_full Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?
title_fullStr Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?
title_full_unstemmed Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?
title_sort explosive behavior in the 1990s nasdaq: when did exuberance escalate asset values?
publisher Institutional Knowledge at Singapore Management University
publishDate 2011
url https://ink.library.smu.edu.sg/soe_research/1265
https://ink.library.smu.edu.sg/context/soe_research/article/2264/viewcontent/YuIER2011.pdf
_version_ 1770570997627355136