Was there a bubble in NASDAQ?—Information-based re-examination
نویسنده
چکیده
There is a little doubt in public mind that the dot-com boom on Nasdaq in the end of the 90s represented a stock market bubble. Indeed, major violations of rationality were observed. For instance, some dot-coms, which terminated their business still held positive market value. Market cap of dot-coms, which were parts of established companies sometimes exceeded market caps of their corporate parents (Shiller, 2000, Malkiel, 2005). However, academics are not so united in diagnosing the situation, which existed with hi-tech stocks at the turn of the century as the bubble, as well as the existence of asset pricing Distinctive feature of my tests is that they do not involve estimation of the " fundamental value " of the stock market and, consequently, the uncertainties inherent in any valuation model. My results are consistent with the facts that: (1) Merton no-dominance hypothesis of asset prices holds, but (2) price and volatility of the Nasdaq-100 index are mispriced and exhibit long-term correlations in the period between Jan. 1999 and Apr. 2000. We interpret the latter as an evidence of a bubble in Nasdaq-100 Index.
منابع مشابه
The Nasdaq crash of April 2000: Yet another example of log-periodicity in a speculative bubble ending in a crash
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