Category

Number of Access this item:736（2024-04-18 22:06 Counts）

Identifier to cite or link to this item: https://hdl.handle.net/10086/28518

Link to primary information 

File Format Size Views Description
cover_28518 pdf
wp067 pdf 174 KB 915

Item Information

Output File

Title
Stock market bubble detection based on the price dispersion among similar listed Firms
Creator
Creator Name
Mizuno, Takayuki Mizuno, Takayuki
Affiliation
Affiliation Name
National Institute of Informatics
Affiliation
Affiliation Name
The Graduate University for Advanced Studies
Affiliation
Affiliation Name
PRESTO
Affiliation
Affiliation Name
The Canon Institute for Global Studies
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
Stock market
Financial bubble
Nowcast
Power law
Abstract
A statistical method is proposed for detecting stock market bubbles that occur when speculative funds concentrate on a small set of stocks. The bubble is defined by stock price diverging from the fundamentals. A firm’s financial standing is certainly a key fundamental attribute of that firm. The law of one price would dictate that firms of similar financial standing share similar fundamentals. We investigated the variation in market capitalization among those firms. Even during non-bubble periods, the market capitalization was distributed. The market capitalization distribution grew fat during bubble periods, namely, the market capitalization gap opens up in a small subset of firms with similar fundamentals. This phenomenon suggests that speculative funds concentrate in this subset.We demonstrated that this phenomenon could have been used to detect the dot-com bubble of 1998-2000 in different stock exchanges.
Publisher
Institute of Economic Research, Hitotsubashi University
Issued Date
2017-04
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
HIT-REFINED Working Paper Series ; No. 67
Relation
Related Identifier
URI
  http://www.ier.hit-u.ac.jp/hit-refined/
Number of Pages
8
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/10086/28518