Assessing Pre-Crisis Fundamentals in Selected Asian Stock Markets

Lau, Ee Leng.; Tan, G. K. Randolph; Rahman, Shafiqur

doi:10.1142/s0217590805001962

Cited by 5 publications

(4 citation statements)

References 13 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Bertus and Stanhouse (2001) employed state-space model and dynamic factor analysis to document the price bubble in gold futures markets. Recent studies have used the state-space model to test for the existence of bubbles in housing or stock markets (Alessandri, 2006;Lau et al, 2005;Teng et al, 2013;Wu, 1997;Xiao and Park, 2010;Xiao and Tan, 2007). Therefore, in this study, we used the state-space model to calculate the bubble price.…”

Section: Literature Reviewmentioning

confidence: 99%

Housing bubble contagion from city centre to suburbs

2016

View full text Add to dashboard Cite

Most previous studies have reported that housing prices diffuse from the city centre to surrounding areas. However, these studies have overlooked the fact that housing prices comprise fundamental and bubble prices. We investigated whether bubble prices also diffuse from the city centre to suburbs and whether fundamental or bubble prices promote housing price diffusion. We focused on the movement of housing bubbles from the city centre to the suburbs. Using data for the Taipei metropolitan area from 1973 to 2014 for empirical analysis, our state-space model estimates statistically significant fundamental and bubble prices in Taipei City (city centre) and New Taipei City (suburbs). Engle–Granger cointegration test results reveal that the housing and bubble prices of the two cities are cointegrated; however, fundamental prices are not. F statistics reveal that the Granger causality of bubble prices (the central city Granger causing changes in the suburbs) is more significant and powerful than that of the fundamental prices. Therefore, we demonstrate that housing bubbles force housing price diffusion. In addition, when bubble prices spread from the city centre to the suburbs, the housing bubble in the suburbs is larger than that in the city centre, implying that the suburbs have greater potential for a bubble burst crisis called the bubble contagion. Authorities should pay more attention to the bubble contagion and must address the problem of high housing prices in the suburbs to prevent this bubble from bursting

show abstract

Section: Literature Reviewmentioning

confidence: 99%

Housing bubble contagion from city centre to suburbs

2016

View full text Add to dashboard Cite

show abstract

“…Por último, los comportamientos irracionales de agentes serían el motivo de las desviaciones, según teorías desarrolladas por las finanzas conductuales. Agentes impulsados por sentimientos de codicia y/o miedo toman decisiones irracionales que desvían el mercado (Lau, 2005). Los agentes en el mercado pueden comportarse guiados por espíritus animales, excesos de confianza, tendencias y sesgos psicológicos individuales o grupales que generan decisiones irracionales.…”

Section: Desvíos Del Valor Fundamentalunclassified

Economía aplicada: ensayos de investigación económica 2021

2023

View full text Add to dashboard Cite

“…While we do not compare our results with a no bubbles model, we find that the intrinsic bubble model with a non-linear fundamental process does a credible job in explaining stock price variations when compared to the model with a linear fundamental process. Lau et al (2005) use a Kalman filter estimate bubbles for Taiwan, Singapore, Korea and Malaysia under the classical assumptions. Similar to Balke and Wohar (2009) we try to identify the bubble component in the data instead of testing for its existence.…”

Section: Related Literaturementioning

confidence: 99%

Do Bubbles Spill Over? Estimating Financial Bubbles in Emerging Markets

Hatipoglu

Uyar

2012

Emerging Markets Finance and Trade

View full text Add to dashboard Cite

High correlation of stock price indices among a relatively large number of developed and emerging markets indicates that bubbles might spill over from one country to another. To test for such spill-over effects we estimate the bubble component of price changes using a non-linear structural state space model with time-variable parameters.We apply directionality tests to bubbles formed in USA and Turkey. We find that bubbles originating in USA lead to bubbles in Turkey. We provide empirical evidence on bubbles formed during major financial crises of the last two decades in Turkey and the last century in US. Despite the improvement in fundamentals and overall economic performance, we find Turkish asset market is still subject to volatile financial bubbles that might stem from abroad.JEL classification: G12, E44, C32

show abstract

Assessing Pre-Crisis Fundamentals in Selected Asian Stock Markets

Cited by 5 publications

References 13 publications

Housing bubble contagion from city centre to suburbs

Housing bubble contagion from city centre to suburbs

Economía aplicada: ensayos de investigación económica 2021

Do Bubbles Spill Over? Estimating Financial Bubbles in Emerging Markets

Contact Info

Product

Resources

About