Predicting Stock Market Crashes in China

被引：3
|
作者：
Lleo, Sebastien [1 ]
Ziemba, Willlliam T. [2 ,3 ]
机构：
[1] NEOMA Business Sch, Finance, Reims, France
[2] Univ British Columbia, Financial Modeling & Stochast Optimizat, Vancouver, BC, Canada
[3] London Sch Econ, System Risk Ctr, London, England
来源：
JOURNAL OF PORTFOLIO MANAGEMENT | 2018年 / 44卷 / 05期
关键词：
BUBBLES; SENTIMENT; EARNINGS;
D O I：
10.3905/jpm.2018.44.5.125
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
引用
收藏
页码：125 / 135
页数：11
相关论文
共 50 条
  • [1] Multifractal view on China's stock market crashes
    Li, Yong
    [J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2019, 536
  • [2] Stock market crashes are outliers
    A. Johansen
    D. Sornette
    [J]. The European Physical Journal B - Condensed Matter and Complex Systems, 1998, 1 : 141 - 143
  • [3] Stock market crashes are outliers
    Johansen, A
    Sornette, D
    [J]. EUROPEAN PHYSICAL JOURNAL B, 1998, 1 (02): : 141 - 143
  • [4] Stock market dynamics: Before and after stock market crashes
    Siokis, Fotios M.
    [J]. PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2012, 391 (04) : 1315 - 1322
  • [5] Rational panics and stock market crashes
    Barlevy, G
    Veronesi, P
    [J]. JOURNAL OF ECONOMIC THEORY, 2003, 110 (02) : 234 - 263
  • [6] Stock market crashes, firm characteristics, and stock returns
    Wang, Jia
    Meric, Gulser
    Liu, Zugang
    Meric, Ilhan
    [J]. JOURNAL OF BANKING & FINANCE, 2009, 33 (09) : 1563 - 1574
  • [7] Stock market crashes, precursors and replicas
    Sornette, D
    Johansen, A
    Bouchaud, JP
    [J]. JOURNAL DE PHYSIQUE I, 1996, 6 (01): : 167 - 175
  • [8] Large Bets and Stock Market Crashes
    Kyle, Albert S.
    Obizhaeva, Anna A.
    [J]. REVIEW OF FINANCE, 2023, 27 (06) : 2163 - 2203
  • [9] Adaptive expectations and stock market crashes
    Frankel, David M.
    [J]. INTERNATIONAL ECONOMIC REVIEW, 2008, 49 (02) : 595 - 619
  • [10] Stock market crashes and dynamics of aftershocks
    Kapopoulos, P
    Siokis, F
    [J]. ECONOMICS LETTERS, 2005, 89 (01) : 48 - 54
12345