Periodically collapsing Evans bubbles and stock-price volatility

a simple procedure for detecting periodically collapsing rational bubbles ¤

Testing for Periodically Collapsing Bubbles: an Generalized Sup Adf Test

Identifying explosive bubbles under the influence of their periodically collapsing property has long been a concern in bubble testing literature. In this paper, we argue that the sup Augmented Dickey-Fuller (ADF) test (Phillips, Wu and Yu, 2009), which implements a right-tail ADF test and a sup test on a forward expanding sample sequence, is sensitive to the sample starting point when there are...

Price limits and stock market volatility *

We examine the relationship between price limits and stock market volatility. We find when price limits are made more (less) restrictive stock market volatility is usually not lower (higher). This finding contradicts conventional wisdom and the view of most regulators.  2001 Elsevier Science B.V. All rights reserved.

Market Dynamics And Stock Price Volatility

This paper presents a possible explanation for some of the empirical properties of asset returns within a heterogeneous-agents framework. The model turns out, even if we assume the input fundamental value follows an simple Gaussian distribution lacking both fat tails and volatility dependence, these features can show up in the time series of asset returns. In this model, the profit comparison a...

Factors Associated with Stock Price Volatility

The worldwide increase in share price volatility in recent years has stimulated an abundance of research in an effort to understand individual share price volatility in international markets. The objectives of this study are: (i) to isolate factors suggested by investment theories and practices and to observe their ability to jointly explain share price volatility on the developing Kuala Lumpur...