Detecting speculative bubbles in an IT-intensive stock market |
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Authors: | Email author" target="_blank">Juha?JunttilaEmail author |
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Institution: | (1) University of Oulu, Department of Economics, University of Oulu, P.O. Box 4600, FIN-90014, Finland |
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Abstract: | Using a battery of unit root test procedures and cointegration analysis with alternative null hypotheses we find some evidence
of speculative bubbles in the Finnish stock market for monthly data on industry portfolio stock prices and returns from the
1990s. When analyzing the time series behavior of stock market prices and returns against the development of certain macroeconomic
fundamentals, the bubbles seem to be present especially in the information technology (IT) prices and only during the latter
half of the decade. (JEL C22, G12) |
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Keywords: | |
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