EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?

• 成果类型: Article
• 署名作者: Phillips, Peter C. B.; Wu, Yangru; Yu, Jun
• 署名单位: Singapore Management University; University of Southampton; University of Auckland; Yale University; Rutgers University System; Rutgers University New Brunswick; Central University of Finance & Economics
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/j.1468-2354.2010.00625.x
• 发表日期: 2011
• 页码: 201-226
• 关键词: Time-series regression; stock-price volatility; unit-root; Speculative bubbles; Rational bubbles; models; tests; MARKET; expectations; BIAS

摘要

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.