Buch
Bubbles in the Finnish and US equities markets
Tests for unit roots in log dividend yields, which are consistent with `rational bubbles' in stock prices, are conducted for the S&P500 and Finnish stock market indexes.In addition to the traditional unit root tests, we split the data into 10-year segments and use frequency domain analysis to test for the presence of unit roots in the dividend yield data.The results strongly suggest the existence of bubbles in both the US and Finnish markets.Finally we develop a novel dividend yield-based method to track periods when stock prices divert their fundamental levels. This indicator produces promising results, as it seems to have some forecasting ability concerning booms and busts in the stock markets.
- ISBN
-
952-462-307-2
- Language
-
Englisch
- Bibliographic citation
-
Series: Bank of Finland Studies ; No. E:35
- Classification
-
Wirtschaft
Comparative Economic Systems: General
- Subject
-
equity price
bubble
rolling ADF
Kapitalanlage
Aktienmarkt
Spekulationsblase
Dividende
Vergleich
USA
Finnland
- Event
-
Geistige Schöpfung
- (who)
-
Taipalus, Katja
- Event
-
Veröffentlichung
- (who)
-
Bank of Finland
- (where)
-
Helsinki
- (when)
-
2006
- Handle
- Last update
-
10.03.2025, 11:44 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
- Buch
Associated
- Taipalus, Katja
- Bank of Finland
Time of origin
- 2006
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