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Identifier to cite or link to this item: https://hdl.handle.net/10086/27965

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Title
Power law in market capitalization during Dot-com and Shanghai bubble periods
Creator
Creator Name
Mizuno, Takayuki Mizuno, Takayuki
Affiliation
Affiliation Name
National Institute of Informatics
Affiliation
Affiliation Name
SOKENDAI (The Graduate University for Advanced Studies)
Affiliation
Affiliation Name
PRESTO, Japan Science and Technology Agency
Creator Name
Ohnishi, Takaaki Ohnishi, Takaaki
Affiliation
Affiliation Name
University of Tokyo
Affiliation
Affiliation Name
The Canon Institute for Global Studies
Creator Name
Watanabe, Tsutomu Watanabe, Tsutomu
Affiliation
Affiliation Name
University of Tokyo
Affiliation
Affiliation Name
The Canon Institute for Global Studies
Key Word
Power law
Zipf's law
Market capitalization
Asset bubble
Stock market
Econophysics
PACS:G010
PACS:D300
Abstract
The distributions of market capitalization in the NASDAQ and Shanghai stock exchanges from 1990 to 2015 have a fat upper tail that follows a power law function. The power law index, which fluctuates around one depending on the economic conditions, became small during the dot-com and Shanghai bubble periods. By using the regression coefficient of random forests for market capitalization and income statement items, we found that net assets are most reflected in market capitalization for companies listed in NASDAQ. The distribution of the price book-value ratio (PBR), which is defined as market capitalization divided by net assets, also got fat during the bubble periods. These results suggest that speculative money was excessively concentrated on specific stocks during such periods.
Publisher
Institute of Economic Research, Hitotsubashi University
Issued Date
2016-07
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
HIT-REFINED Working Paper Series ; No. 60
Relation
Related Identifier
URI
  http://www.ier.hit-u.ac.jp/hit-refined/
Number of Pages
10
Sponsorship
基盤研究(S) = Grants-in-Aid for Scientific Research (S)
Appears in Collections
Working Paper Series / Real Estate Markets, Financial Crisis, and Economic Growth An Integrated Economic Approach
URL
https://hdl.handle.net/10086/27965