Periodically Collapsing Speculative Bubbles in Industries

Advances in Investment Analysis and Portfolio Management, Forthcoming

37 Pages Posted: 22 Dec 2009

See all articles by Megan Y. Sun

Megan Y. Sun

affiliation not provided to SSRN

Amit K. Sinha

Bradley University

Date Written: 2008

Abstract

Using the Markov regime switching unit root testing procedure developed by Hall, Psaradakis, and Sola (1999), we test the presence of periodically collapsing bubbles as postulated by Minsky (1975), in the time series of industry indices. Results indicate that although the industry index series may exhibit the presence of periodically collapsing bubbles during shorter time periods, such bubbles may not be detected during long time periods. We also find that bubbles in one industry can have an impact on the time series of another industry. In some cases, a bubble in one industry may lead to a bubble in another.

Keywords: Markov Regime Switching Unit Roots, Industry Bubbles

JEL Classification: G1, G12, G14

Suggested Citation

Sun, Megan Y. and Sinha, Amit K., Periodically Collapsing Speculative Bubbles in Industries (2008). Advances in Investment Analysis and Portfolio Management, Forthcoming, Available at SSRN: https://ssrn.com/abstract=1525464

Megan Y. Sun

affiliation not provided to SSRN ( email )

Amit K. Sinha (Contact Author)

Bradley University ( email )

1501 West Bradley Avenue
Peoria, IL 61625
United States
3096773582 (Phone)

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