Empirical evidence of the existence of speculative bubbles in the prices of stocks traded on the São Paulo Stock Exchange

Speculative price bubbles are defined as a significant deviation between an asset's intrinsic value and its market value and in this paper it refers to stock values. Literature about the theme has noted the existence of bubbles in various types of markets and their respective assets. A great deal of effort has been directed toward identifying bubbles in stock price indices. However, few research endeavors focus on assets as the unit of analysis. Studies about stocks in Brazil have identified the presence of bubbles in IBOVESPA (São Paulo Stock Exchange Index). Given this context and assuming that the speculative bubbles are present in the Brazilian stock market, this research is focused on the following question: Is there evidence of the existence of speculative bubbles in stock prices traded on the São Paulo Stock Exchange? Econometric tests were performed on twenty-seven stocks, based upon their positions each semester, for the period between the first semesters of 1990 until the first semester of 2010. The nominal values of the selected stocks were adjusted for inflation by the IPCA (Brazilian Consumer Price Index). In order to identify the presence of bubbles, we applied the Johansen non-cointegration test and/or the Granger non-causality test between the intrinsic value, dividends and interest on equity capital, and the market value (semester closing price) of the stocks. The primary findings reveal a presence of bubbles in twenty of the twenty-seven stocks, at a 5% significance level. Of the seven stocks not showing evidence of bubbles, six are financial institutions. In five stocks the tests reveal Granger causality stemming from the market value toward the intrinsic value. The study findings are consistent and contribute with previous research in the literature and, are useful for investors, financial institutions, academics, government agents, and traders.     

金融泡沫与房地产泡沫的共生模型研究

近年来随着我国房地产业的迅猛发展,我国房地产业是否出现泡沫,房地产泡沫是否引发金融泡沫越来越受到人们的关注。本文剖析了房地产泡沫引发金融泡沫的主要机理,同时从金融泡沫的角度出发,通过条件假设,简化推导出房地产泡沫破灭导致借贷市场失衡的房地产泡沫率临界值,进而以现实泡沫率与泡沫率临界值的比较分析,判定房地产泡沫引发金融泡沫的可能性,并针对其中最具影响的关键因素提出了防范房地产泡沫引发金融泡沫的措施。     

卖空约束、投资者行为和A股市场的定价泡沫

本文构建了一个随机估值模型,在此基础上运用面板数据方法对A股市场的资产定价泡沫水平和成因进行了研究,获得了如下研究结论:首先,A股市场中估值泡沫和投机泡沫并存。其次,卖空约束导致的定价偏差是定价泡沫的成因之一。第三,异质信念和不对称信息与泡沫水平正相关,过度自信与泡沫水平负相关。第四,重要流通股股东的信息优势与交易中的不对称信息无协同效应。最后,若卖空约束不存在,观察不到损失厌恶对泡沫的影响。     

Asset price bubbles and economic welfare

In this paper, we provide the first empirical evidence on whether or not asset price bubbles predict economic welfare. Using a time-series model, we show that asset price bubbles both positively and negatively predict economic welfare, although the evidence that asset price bubbles are welfare-enhancing is much stronger. These results are also robust to out-of-sample forecasting as well as to a predictive regression model augmented by structural break dates.     

Asset price bubbles: a survey

Why do asset price bubbles continue to appear in various markets? What types of events give rise to bubbles and why do arbitrage forces fail to quickly burst them? Do bubbles have real economic consequences and should policy makers do more to prevent them? This paper provides an overview of recent literature on bubbles, with significant attention given to behavioral models and rational models with frictions. The latest U.S. real estate bubble is described in the context of this literature.     

Testing for rational bubbles in the presence of structural breaks: Evidence from nonstationary panels

This paper presents new results on the rational bubbles hypothesis for a panel of 18 OECD countries using the model developed by Campbell (2000). We provide an analysis of international data that exploits increased power deriving from the panel unit root and cointegration methodology, together with the flexibility of allowing explicitly for multiple endogenous structural breaks in the individual series. Differently from the time series methodology, the panel data approach allows for a global analysis of the financial crashes that are related to rational bubbles. We find strong evidence in favor of bubbles phenomena.     

资产价格泡沫与货币政策响应--基于Taylor规则的分析

本文从Taylor规则的分析角度出发,讨论资产价格泡沫与货币政策的关系.本文通过加入资本市场因素对Taylor规则进行了动态扩展,以研究1994年第1季度到2001年第4季度中国的货币政策是否对股市泡沫做出响应.本文的研究结论表明,在这一时期内中国的货币政策表现为一种不稳定的规则,中央银行并未运用利率政策抑制股市泡沫增长,在不经意间容忍了明显的股市泡沫.     

Foreign currency bubbles

This paper develops a new model for studying foreign currency exchange rate bubbles. The model constructed is a modification of the martingale based bubble approach of Jarrow et al. (Adv Math Finance 105–130, 2006; Math Finance 20(2):145–185, 2008). This model generates some new insights into our understanding of exchange rate bubbles and it can be utilized empirically to test for their existence. The new insights are: (1) exchange rate bubbles can be negative, in contrast to asset price bubbles, (2) exchange rate bubbles are caused by price level bubbles in either or both of the relevant countries’ currencies, and (3) price level bubbles decrease the expected inflation rate in the domestic economy.     

What Drives Housing Markets: Fundamentals or Bubbles?

This study applies the dynamic Gordon growth model which is in the circumstance of rational bubbles to decompose log price-rent ratio into three parts, i.e., rational bubbles, discounted expected future rent growth rates and discounted expected future returns. The latter two terms represent housing fundamentals. The magnitudes of the components of price-rent ratio’s variance are estimated to distinguish the relative impact of the three parts on housing prices. Using time series data from the housing markets in the four largest cities in China (1991:Q1–2011:Q1 for Shanghai, Guangzhou and Shenzhen; 1993:Q2–2011:Q1 for Beijing), this paper presents a number of empirical findings: (a) the variance of rational bubbles is much larger than the variance of price-rent ratio, and rational bubbles contribute more fluctuations directly to price-rent ratio than the expected returns or the expected rent growth rates do; (b) the covariance between rational bubbles and expected returns or expected rent growth rates is also large; (c) the positive covariance of rational bubbles and expected returns implies that high expected returns coexist with bubbles, which differs from previous findings that lower expected returns drive asset prices; (d) the negative covariance of rational bubbles and expected rent growth rates indicates that the larger the bubbles are, the lower the expected rent growth rates are; (e) the positive covariance of expected returns and expected rent growth rates reveals under-reaction of the housing markets to rents.     

A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach

In this paper we test for the presence of rational bubbles in the NASDAQ stock market index over the period 1994:06–2003:11 by means of a methodology based on fractional processes. The results suggest that the existence of bubbles depends on the sampling frequency used in the analysis. We cannot reject the unit root hypothesis when using monthly data on price–dividend ratios, which according to the present value model suggests the existence of rational bubbles. However, we reject this hypothesis in favor of fractional alternatives when using daily and weekly data. This might be explained by the temporal aggregation and/or the sample sizes used in the application.     

基于内在泡沫模型的中国股市泡沫研究

基于2005年到2010年上证红利指数和编制上证红利指数的50只成分股分红数据,使用内在泡沫模型以及ADF单位根检验对中国股票市场是否存在内在泡沫以及泡沫中是否含有非理性成分进行研究,结果发现,在2005年到2010年这6年的时间里,中国股市存在两个显著的泡沫期,分别是2006年7月到2008年2月和2009年2月到2009年12月,而且泡沫具有内在性的特征以及非理性的成分。     

Bubble in the Indian stock market: myth or reality

The paper investigates the existence of speculative bubbles in the Indian stock market using both monthly and weekly returns for the period 1990–2007. Further, a year-by-year analysis using weekly returns was also carried out to test for the existence of bubbles in each individual year. The results suggest that no speculative bubbles were present in the Indian stock market for the sample period considered for this study.     

Periodically collapsing bubbles in the South African stock market

This paper studies the existence and timing of bubbles in South Africa’s stock market. An empirical model of bubble formation is tested against three competing models of asset price returns that rule out the existence of bubbles. The model controls for nonlinearities inherent in asset price returns by allowing for the existence of multiple regimes. The bubble model fits the data better than the competing models and suggests that the formation and existence of periodically collapsing bubbles are a reality.     

U.S. stock prices and the dot.com-bubble: Can dividend policy rescue the efficient market hypothesis?

This paper thoroughly integrates speculative bubbles to corporate finance literature by focusing on dividend policy issues. More specifically, we examine the importance of dividend policy when testing for speculative bubbles in the S&P 500 equity index on a data set spanning 1871 to 2014. Given the phenomenon of dividend smoothing, in particular in the U.S., we question the usefulness of observed dividend payments as fundamental factor in testing for bubbles. Circumventing dividend smoothing, we construct hypothetical dividend payouts which are based on reported corporate earnings instead. The empirical evidence presented here indeed suggests that the dividend policy of firms affects testing for speculative bubbles. While the dot.com-bubble—commonly seen as the prime example for a stock price bubble not only in the NASDAQ but also in other, broader equity indices—is detected with the observed dividend series as fundamental factor, this is not necessarily the case with our adjusted dividend time series. Some of our results argue against a speculative price bubble in the broader U.S. stock market in the late 1990s.     

Do stock price bubbles influence corporate investment?

Dispersion in investor beliefs and short-selling constraints can lead to stock market bubbles. This paper argues that firms, unlike investors, can exploit such bubbles by issuing new shares at inflated prices. This lowers the cost of capital and increases real investment. Perhaps surprisingly, large bubbles are not eliminated in equilibrium nor do large bubbles necessarily imply large distortions. Using the variance of analysts’ earnings forecasts to proxy for the dispersion of investor beliefs, we find that increases in dispersion cause increases in new equity issuance, Tobin's Q, and real investment, as predicted by the model.     

Bubbles,growth and imperfection of credit market in a two-country model

This study extends Hirano and Yanagawa (Rev Econ Stud 84(1):406–443, 2017) to an asymmetric two-country model and examines bubbles effects on each country’s long-run economic growth rate. This study also provides numerical examples with respect to the relationship between each country’s growth rate and their financial frictions in the balanced growth equilibria with bubbles and without bubbles. It shows that foreign bubbles have positive and negative effects on both countries’ growth rates, and which effect dominates depends on the level of financial development in both countries. In this study, the positive effect of bubbles tends to dominate when the total level of financial frictions in both countries is relatively low. When the total effect of bubbles on the growth rate is positive, the burst of foreign bubbles leads to a decrease in the growth rate in both countries. This implies that there is a positive correlation between foreign bubbles and the domestic as well as the foreign country’s growth rate.     

布局建设中国国际金融中心的战略问题

布局和建设中国国际金融中心的战略意义是推进国际金融中心服务于中国大国战略的实现，并促进中国金融改革开放的深化。然而，建设国际金融中心也面临着诸多的风险，如操之过急的金融自由化引发金融动荡、虚拟经济的过度泡沫化危害经济发展，以及国际金融市场动荡向国内蔓延更为迅速等都是需要密切关注的风险点。中国布局和建设国际金融中心的基本原则是：遵循金融改革开放风险可控的首要前提、坚守金融依附实体经济的基本底线和把握金融中心服务国内经济的根本宗旨。坚持这些基本原则有助于中国在建设国际金融中心过程尽可能趋利避害，维护国家金融安全。以国际金融多中心为战略选择，选定上海、香港和北京作为布局中国国际金融中心的目标城市，符合中国整体战略利益，也与中国经济和金融发展现状相适应。     

Investing in wine,precious metals and G-7 stock markets – A co-occurrence analysis for price bubbles

This paper used the GSADF test to determine the periods defined in this paper as price bubbles in the three markets studied, i.e. the investment wine market, precious metal market and national stock market indices of G-7 countries. The results obtained enabled the calculation of the values of the phi correlation coefficients, which served the research objective of assessing the co-occurrence of price bubbles in the markets analysed. The research period adopted in the study was December 2003 to March 2022, and the data were examined at a monthly frequency.Based on the results, it was concluded that the periods of price bubbles in the investment wine market, relative to the other investments studied, are long and amount to a maximum of 50% of the time studied. Price bubble periods for investments in the DAX index and the Rhone 100 index or the Rest of the World 60 index will lower the risk of an investment portfolio in times of greatest turbulence in these markets. In addition, the co-occurrence of price bubbles was not confirmed for the S&P500 index and the Bordeaux Legends 40 investment. Moreover, no co-occurrence of price bubbles was identified between investments in most of the wine indices studied and investments in silver and gold. However, the same phenomenon was not confirmed for platinum investments.     

基于改进BP神经网络的房地产泡沫测度评价研究

当前房地产是否存在泡沫,如何测度这种泡沫程度,是当前舆论界和理论界研究和讨论的热点。通过分析房地产泡沫的深层次影响因素,并据此建立了四个层次测度指标体系。基于用变尺度法改进的BP网络建立了房地产泡沫测度模型,并通过一个实例进行应用和说明。     

Have Equity REITs Experienced Periodically Collapsing Bubbles?

This paper uses the momentum threshold autoregressive (MTAR) model and the residuals-augmented Dickey–Fuller (RADF) test to examine the possibility of Evans’ (1991) periodically collapsing bubbles in the equity REIT market. The results are mixed. The MTAR model indicates that overall real equity REIT prices and dividends are cointegrated with asymmetric adjustment towards the long-run equilibrium. However, the estimated coefficients of the MTAR model do not indicate the presence of periodically collapsing bubbles. Adjustment in the standard cointegration tests of bubbles for skewness and excess kurtosis via the RADF test fails to reject the null hypothesis of no cointegration, leaving the possibility of periodically collapsing bubbles. The MTAR and RADF results with respect to equity REIT sub-sectors are mixed. Lodging is the only sub-sector in which both the MTAR and RADF results support periodically collapsing bubbles. Moreover, market fundamentals proxied by two alternative measures of capacity utilization do not explain either real equity REIT prices or dividends.