Land and Stock Bubbles, Crashes and Exit Strategies In Japan Circa 1990 and in 2013

Shiryaev, A.N.; Zhitlukhin, Mikhail; Ziemba, William T.

doi:10.2139/ssrn.2346236

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Land and Stock Bubbles, Crashes and Exit Strategies In Japan Circa 1990 and in 2013

57 Pages Posted: 28 Oct 2013

See all articles by A.N. Shiryaev

William T. Ziemba

University of British Columbia (UBC) - Sauder School of Business; Systemic Risk Centre - LSE

Date Written: October 28, 2013

Abstract

We study the land and stock markets in Japan circa 1990. While the Nikkei stock average in the late 1980s and its -48% crash in 1990 is generally recognized as a financial market bubble, a bigger bubble and crash was in the golf course membership index market. The crash in the Nikkei which started on the first trading day of 1990 was predictable in April 1989 using the bond-stock earnings yield model which signaled a crash but not when. We show that it was possible to use the change point detection model based solely on price movements for protable exits of long positions both circa 1990 and in 2013.

Keywords: bubble, disorder model, change point detection, bond-stock model, Nikkei Stock Average, golf course membership index

JEL Classification: B25, C63, E44, E65, G12

Suggested Citation: Suggested Citation

Shiryaev, A.N. and Zhitlukhin, Mikhail and Ziemba, William T., Land and Stock Bubbles, Crashes and Exit Strategies In Japan Circa 1990 and in 2013 (October 28, 2013). Available at SSRN: https://ssrn.com/abstract=2346236 or http://dx.doi.org/10.2139/ssrn.2346236