Skip to main content

Global Bubbles in Stock Markets and Linkages

  • Chapter
Empirical Techniques in Finance

Part of the book series: Springer Finance ((FINANCE))

  • 1993 Accesses

This is a preview of subscription content, log in via an institution to check access.

Access this chapter

Chapter
USD 29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD 84.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD 109.00
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info
Hardcover Book
USD 109.99
Price excludes VAT (USA)
  • Durable hardcover edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  • Adler M, Dumas B (1983) International portfolio choice and corporation finance: a synthesis. Journal of Finance, 38: 925–984

    Article  Google Scholar 

  • Agmon T (1972) The relations among equity markets: a study of share price co-movements in the United States, United Kingdom, Germany and Japan. Journal of Finance, 27: 839–855

    Article  Google Scholar 

  • Agmon T (1973) Country risk: significance of country factor for share price movements in the United Kingdom, Germany, and Japan. Journal of Business, 46: 24–32

    Article  Google Scholar 

  • Allen F, Gorton G (1988) Rational finite bubbles, mimeo, The Wharton School, University of Pennsylvania.

    Google Scholar 

  • Becker KG, Finnerty JE, Gupta M (1990) The intertemporal relation between the U.S. and Japanese stock markets. Journal of Finance, 45: 1297–1306

    Article  Google Scholar 

  • Binswanger M (1999) Stock markets, speculative bubbles and economic growth. Elgar Publishing, Cheltenham

    Google Scholar 

  • Blanchard OJ, Watson M (1982) Bubbles, rational expectations and financial markets. In: Wachel P (ed) Crises in the Economic and Financial Structure, Lexington Books, Lexington

    Google Scholar 

  • Buiter WH, Pesenti PA (1990) Rational speculative bubbles in an exchange rate target zone. NBER Working Paper No. 3467

    Google Scholar 

  • Cagan P (1956) The Monetary Dynamics of Hyperinflation. In: Friedman M (ed) Studies in the quantity theory of money, University of Chicago Press, Chicago

    Google Scholar 

  • Campbell JY (2000) Asset pricing at the millennium. Journal of Finance, 55: 1515–1568.

    Article  Google Scholar 

  • Campbell JY, Shiller RJ (1988a) The dividend-price ratio and the expectations of future dividends and discount factors. Review of Financial Studies, 1: 195–228.

    Article  Google Scholar 

  • Campbell JY, Shiller RJ (1988b) Stock prices, earnings and expected dividends. Journal of Finance, 43: 661–76

    Article  Google Scholar 

  • Chan K, McQueen G, Thorley S (1998) Are there rational speculative bubbles in Asian stock markets? Pacific-Basin Finance Journal, 6: 125–51

    Article  Google Scholar 

  • Chen J (1999) When the bubble is going to burst. International Journal of Theoretical and Applied Finance, 2: 285–92

    Article  MATH  Google Scholar 

  • Chirinko R, Schaller H (1996) Bubbles, fundamentals, and investment: a multiple equation testing strategy. Journal of Monetary Economics, 38: 47–76

    Article  Google Scholar 

  • Christofi AC, Granger CWJ (1987) Co-integration and error correction: representation, estimation, testing. Econometrica, 55: 251–276

    Article  MathSciNet  Google Scholar 

  • Christofi AC, Philippatos GC (1987) An empirical investigation of the international arbitrage pricing theory. Management International Review, 27: 13–22

    Google Scholar 

  • Claessens S, Forbes K editors (2001) International financial contagion. Kluwer Academic Publishers, Amsterdam

    Google Scholar 

  • Dezhbakhsh H, Demirguc-Kunt A (1990) On the presence of speculative bubbles in stock prices. Journal of Financial and Quantitative Analysis, 25: 101–112

    Article  Google Scholar 

  • Diba BT, Grossman HI (1984) Rational bubbles in the price of gold. National Bureau of Economic Research, Working Paper No. 1300

    Google Scholar 

  • Diba BT, Grossman HI (1988a) The theory of rational bubbles in stock prices. Economic Journal, 98: 746–754

    Article  Google Scholar 

  • Diba BT, Grossman HI (1988b) Explosive rational bubbles in stock prices. American Economic Review, 78: 520–530

    Google Scholar 

  • Eun C, Shim S (1989) International transmission of stock market movements. Journal of Financial and Quantitative Analysis, 24: 241–256

    Article  Google Scholar 

  • Evans GE (1991) Pitfalls in testing for explosive bubbles in asset prices. American Economic Review, 81: 922–30

    Google Scholar 

  • Fischer KP, Palasvrita AP (1990) High road to a global marketplace: the international transmission of stock market fluctuations. Financial Review, 25: 371–494

    Article  Google Scholar 

  • Flood RP, Garber PM (1980) Market fundamentals versus price level bubbles: the first tests. Journal of Political Economy, 88: 745–770

    Article  Google Scholar 

  • French K, Poterba J (1991) Investor diversification and international equity markets. American Economic Review, 81: 222–226

    Google Scholar 

  • Froot KA, Obstfeld M (1991) Intrinsic bubbles: the case of stock prices. American Economic Review, 81: 1189–214

    Google Scholar 

  • Geweke J, Meese R, Dent W (1983) Comparing alternative tests of causality in temporal systems: analytic results and experimental evidence. Journal of Econometrics, 21: 161–194

    Article  MathSciNet  Google Scholar 

  • Ghosh A (1993) Cointegration and error correction models: intertemporal causality between index spot and future prices. Journal of Futures Markets, 13: 193–198

    Article  Google Scholar 

  • Gilles C, LeRoy SF (1992) Bubbles and charges. International Economic Review, 33: 323–339

    Article  ADS  Google Scholar 

  • Granger CWJ (1969) Investigating causal relations by econometric models and cross spectral methods. Econometrica, 37: 428–438

    Google Scholar 

  • Grauer RR, Hakansson NH (1987) Gains from international diversification: 1968–1985 returns on portfolios of stocks and bonds. Journal of Finance, 42: 721–741

    Article  Google Scholar 

  • Grubel HG, Fadner K (1971) The interdependence of international equity markets. Journal of Finance, 26: 89–94

    Article  Google Scholar 

  • Grubel HG (1968) Internationally diversified portfolios: welfare gains and capital flows. American Economic Review, 58: 1299–1314

    Google Scholar 

  • Guilkey DK, Salemi MK (1982) Small sample properties of three tests of Granger causal ordering in a bivariate stochastic system. Review of Economics and Statistics, 64: 668–680

    Article  Google Scholar 

  • Hamao Y, Masulis RW, Ng V (1990) Correlations in price changes and volatility across international stock markets. Review of Financial Studies, 3: 281–307

    Article  Google Scholar 

  • Hamilton JD, Whiteman CH (1985) The observable implications of self-fulfilling expectations. Journal of Monetary Economics, 16: 353–73

    Article  Google Scholar 

  • Hamilton JD (1985) On testing for self-fulfilling speculative price bubbles. International Economic Review, 27: 545–552

    Article  MathSciNet  Google Scholar 

  • Hansen LP, Sargent T (1980) Formulating and estimating dynamic linear rational expectations models. Journal of Economic Dynamics and Control, 2: 7–46

    Article  MathSciNet  Google Scholar 

  • Harvey AC (1990) The econometric analysis of time series, second edition, The MIT Press, Cambridge

    Google Scholar 

  • Harvey AC, Ruiz E, Sentana E (1992) Unobserved component time series models with ARCH disturbances. Journal of Econometrics, 52: 129–157

    Article  Google Scholar 

  • Harvey CR (1991) The world price of covariance risk. Journal of Finance, 46: 111–157.

    Article  Google Scholar 

  • Hilliard J (1979) The relationship between equity indices on world exchanges. Journal of Finance, 34: 103–114

    Article  Google Scholar 

  • Ikeda S, Shibata A (1992) Fundamentals-dependent bubbles in stock prices. Journal of Monetary Economics, 30: 143–168

    Article  Google Scholar 

  • Jeon BN, von Furstenberg GM (1990) Growing international co-movement in stock price indexes. Quarterly Review of Economics and Business, 30: 15–30

    Google Scholar 

  • Kim C-J, Nelson CR (1999) State-space models with regime switching: classical and Gibbs-sampling approach with applications. The MIT Press, Cambridge

    Google Scholar 

  • King MA, Wadhwani S (1990) Transmission of volatility between stock markets. Review of Financial Studies, 3: 5–33

    Article  Google Scholar 

  • LeRoy S, Porter RD (1981) The present-value relation: tests based on implied variance bounds. Econometrica, 49: 555–74

    Article  Google Scholar 

  • Lessard DR (1973) International portfolio diversification: a multivariate analysis for a group of Latin American countries. Journal of Finance, 28: 619–633

    Article  Google Scholar 

  • Lessard DR (1974) World, national, and industry factors in equity returns. Journal of Finance, 24: 379–391

    Article  Google Scholar 

  • Lessard DR (1976) World, country, and industry relationships in equity returns. Financial Analysts Journal, 32: 2–8

    Article  Google Scholar 

  • Levy H, Sarnat M (1970) International diversification of investment portfolios. American Economic Review, 50: 668–675

    Google Scholar 

  • Longin F, Solnik B (2001) Extreme correlation of international equity markets. Journal of Finance, 56: 649–76

    Article  Google Scholar 

  • Lutkepohl H (1993) Introduction to multiple time series analysis, second edition, Spinger-Verlag, New York

    Google Scholar 

  • McCarthy J, Najand M (1995) State-space modeling of linkages among international markets. Journal of Multinational Financial Management, 5: 1–9

    Google Scholar 

  • Makridakis SG, Wheelwright SC (1974) An analysis of the interrelationships among the major world stock exchanges. Journal of Business Finance and Accounting, Summer, 195–215.

    Google Scholar 

  • Maldonado R, Saunders A (1981) International portfolio diversification and the inter-temporal stability of international stock market relationships. Financial Management, 10: 54–63

    Article  Google Scholar 

  • Malliaris AG, Urrutia JL (1992) The international crash of October 1987: causality tests. Journal of Financial and Quantitative Analysis, 27: 353–364

    Article  Google Scholar 

  • Malliaris AG, Urrutia JL (1996) European stock market fluctuations: short and long term links. Journal of International Financial Markets, Institutions and Money, 6: 21–34

    Google Scholar 

  • Malliaris AG, Urrutia JL (1997) Equity and oil markets under external shocks. In: Ghosh D, Ortiz E (eds) Global Structure of Financial Markets, Routledge Publishers, London, pp. 103–116.

    Google Scholar 

  • Miller M, Weller P (1990) Currency bubbles which affect fundamentals: a qualitative treatment. Economic Journal, 100: 170–179

    Article  Google Scholar 

  • Panton DB, Lessing VP, Joy OM (1976) Co-movement of international equity markets: a taxonomic approach. Journal of Financial and Quantitative Analysis, 11: 415–432

    Article  Google Scholar 

  • Philippatos G, Christofi AC, Christofi P (1983) The inter-temporal stability of international stock market relationships: another view. Financial Management, 12: 63–69

    Article  Google Scholar 

  • Pierce DA, Haugh LD (1977) Causality in temporal systems: characterizations and a survey. Journal of Econometrics, 5: 265–293

    Article  MathSciNet  Google Scholar 

  • Rappoport P, White EN (1993) Was there a bubble in the 1929 stock market? Journal of Economic History, 53: 549–574

    Article  Google Scholar 

  • Rappoport P, White EN (1994) The New York stock market in the 1920s and 1930s: did stock prices move together too much? NBER Working Paper, No. 4627

    Google Scholar 

  • Ripley TM (1973) Systematic elements in the linkage of national stock market indices. Review of Economics and Statistics, 55: 3556–361

    Google Scholar 

  • Richards A (1996) Volatility and predictability in national stock markets: how do emerging and mature markets differ? International Monetary Fund Staff Papers, 43: 461–501

    Article  Google Scholar 

  • Roll R (1988) The international crash of October 1987. In: Kanphuis R, Kormendi R, Watson H (eds) Black Monday and The Future of Financial Markets, Irwin, Homewood

    Google Scholar 

  • Roll R (1989) Price volatility, international market links and their implications for regulatory policies. Journal of Financial Services Research, 3: 211–236

    Article  Google Scholar 

  • Sarno L. Taylor M (1999) Moral hazard, asset price bubbles, capital flows and the East Asian crisis: the First test. Journal of International Money and Finance, 18: 637–57

    Article  Google Scholar 

  • Schollhammer H, Sand OC (1987) Lead-lag relationships among national equity markets: an empirical investigation. In: Khoury SJ, Ghosh A (eds) Recent Developments in International Banking and Finance, Lexington Books, Lexington

    Google Scholar 

  • Shiller RJ (1978) Rational expectations and the dynamic structure of macroeconomic models. Journal of Monetary Economics, 4: 1–44

    Article  Google Scholar 

  • Shiller RJ (1981) Do stock price move too much to be justified by subsequent changes in dividends? American Economic Review, 71: 421–436

    Google Scholar 

  • Shumway RH, Stoffer DS (2000) Time series analysis and its applications, Springer, New York

    Google Scholar 

  • Solnik BH (1974) Why not diversify internationally rather than domestically? Financial Analyst Journal, 30: 91–135

    Article  Google Scholar 

  • Solnik BH (1976) An equilibrium model of the international capital market. Journal of Economic Theory, 8: 500–524

    Article  MathSciNet  Google Scholar 

  • Solnik BH (1983) International arbitrage pricing theory. Journal of Finance, 38: 449–457

    Article  Google Scholar 

  • Stulz R (1981) A model of international asset pricing. Journal of Financial Economics, 9: 383–406

    Article  Google Scholar 

  • Tesar L, Werner I (1992) Home bias and the globalization of securities markets. NBER Working paper No. 4218.

    Google Scholar 

  • Tirole J (1982) On the possibility of speculation under rational expectations. Econometrica, 50: 1163–1181

    Article  MATH  Google Scholar 

  • Tirole J (1985) Asset bubbles and overlapping generations. Econometrica, 53: 1499–1528

    Article  Google Scholar 

  • Von Fustenberg GM, Jeon BN (1989) International stock price movements: links and messages. Brookings Papers on Economic Activity, 1: 125–167

    Article  Google Scholar 

  • Weil P (1990) On the possibility of price decreasing bubbles. Econometrica, 58: 1467–1474

    Article  MATH  Google Scholar 

  • Wells C (1996) The Kalman filter in finance, Kluwer Academic Publishers, Amsterdam

    Google Scholar 

  • West KD (1987) A specification test for speculative bubbles. Quarterly Journal of Economics, 102: 553–580

    Article  Google Scholar 

  • West KD (1988) Bubbles, fads, and stock price volatility tests: a partial evaluation. NBER Working Paper No. 2574

    Google Scholar 

  • Wheatley S (1988) Some tests of international equity integration. Journal of Financial Economics, 21: 177–212

    Article  Google Scholar 

  • Wu Y (1995) Are there rational bubbles in foreign exchange markets? Journal of International Money and Finance, 14: 27–46

    Article  Google Scholar 

  • Wu Y (1997) Rational bubbles in the stock market: accounting for the U.S. stock-price volatility. Economic Inquiry, 35: 309–319

    Article  Google Scholar 

Download references

Rights and permissions

Reprints and permissions

Copyright information

© 2005 Springer-Verlag Berlin Heidelberg

About this chapter

Cite this chapter

(2005). Global Bubbles in Stock Markets and Linkages. In: Empirical Techniques in Finance. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/3-540-27642-4_12

Download citation

Publish with us

Policies and ethics