Arbeitspapier
Herding Behaviour, Bubbles and Log Periodic Power Laws in Illiquid Stock Markets. A Case Study on the Bucharest Stock Exchange
In this paper we investigate the herding behaviour of the Bucharest Stock Exchange (BSE), using log periodic power laws models. By analysing the behaviour of the most speculative index from the Bucharest Stock Exchange, the BET-FI, we are able to demonstrate that Log-Periodic Power Law (LPPL) models are a useful tool for recognizing the behaviour of a stock market bubble, and have good abilities for predicting the critical point of a bubble. From our statistical investigation, it turns out that an iterative calibration of the model for the BET-FI regime leads ex post to a rather accurate forecast of the stock market crash in January 2008. Next, by using the same methodology, the anti-bubble regime from 2008 is used for a statistical fit. We then find an accurate “prediction” of the local point of phase transition on 27 October 2008.
- Language
-
Englisch
- Bibliographic citation
-
Series: Tinbergen Institute Discussion Paper ; No. 13-109/VIII
- Classification
-
Wirtschaft
- Subject
-
Log-periodic Power Law
Stock Market Bubble
Crash
- Event
-
Geistige Schöpfung
- (who)
-
Pele, Daniel Traian
Mazurencu-Marinescu, Miruna
Nijkamp, Peter
- Event
-
Veröffentlichung
- (who)
-
Tinbergen Institute
- (where)
-
Amsterdam and Rotterdam
- (when)
-
2013
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Pele, Daniel Traian
- Mazurencu-Marinescu, Miruna
- Nijkamp, Peter
- Tinbergen Institute
Time of origin
- 2013
Other Objects (12)
Do stock price bubbles influence corporate investment?
Prospect Theory and Stock Returns During Bubbles
Are there bubbles in stock prices? Testing for fundamental shocks
Econometric estimation and theoretical modeling of rational stock-market bubbles
Stock market dynamics: a psycho-economic approach to speculative bubbles
Price bubbles sans dividend anchors: Evidence from laboratory stock markets
Are there bubbles in stock prices? Testing for fundamental shocks
The Bucharest Stock Exchange: A starting point in structuring a valuable CSR index
Uncertainty of macroeconomic forecasters and the prediction of stock market bubbles
Uncertainty of macroeconomic forecasters and the prediction of stock market bubbles
Quantitative easing and asset bubbles in a stock-flow consistent framework
On the exact calculation of the mean stock level in the base stock periodic review policy
Do stock price bubbles influence corporate investment?
Prospect Theory and Stock Returns During Bubbles
Are there bubbles in stock prices? Testing for fundamental shocks
Econometric estimation and theoretical modeling of rational stock-market bubbles
Stock market dynamics: a psycho-economic approach to speculative bubbles
Price bubbles sans dividend anchors: Evidence from laboratory stock markets
Are there bubbles in stock prices? Testing for fundamental shocks
The Bucharest Stock Exchange: A starting point in structuring a valuable CSR index
Uncertainty of macroeconomic forecasters and the prediction of stock market bubbles
Uncertainty of macroeconomic forecasters and the prediction of stock market bubbles
Quantitative easing and asset bubbles in a stock-flow consistent framework
On the exact calculation of the mean stock level in the base stock periodic review policy
Do stock price bubbles influence corporate investment?
Prospect Theory and Stock Returns During Bubbles
Are there bubbles in stock prices? Testing for fundamental shocks
Econometric estimation and theoretical modeling of rational stock-market bubbles
Stock market dynamics: a psycho-economic approach to speculative bubbles
Price bubbles sans dividend anchors: Evidence from laboratory stock markets
Are there bubbles in stock prices? Testing for fundamental shocks
The Bucharest Stock Exchange: A starting point in structuring a valuable CSR index
Uncertainty of macroeconomic forecasters and the prediction of stock market bubbles
Uncertainty of macroeconomic forecasters and the prediction of stock market bubbles
Quantitative easing and asset bubbles in a stock-flow consistent framework