Determinants of stock price bubbles

被引：28
|
作者：
Narayan, Paresh Kumar [1 ]
Mishra, Sagarika [1 ]
Sharma, Susan [1 ]
Liu, Ruipeng [1 ]
机构：
[1] Deakin Univ, Fac Business & Law, Sch Accounting Econ & Finance, Burwood, Vic 3125, Australia
来源：
ECONOMIC MODELLING | 2013年 / 35卷
关键词：
Asset price; Bubbles; Cross-section; Trading volume; Volatility; VOLATILITY; VARIANCE;
D O I：
10.1016/j.econmod.2013.08.010
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper we propose a cross-sectional model of the determinants of asset price bubbles. Using 589 firms listed on the NYSE, we find conclusive evidence that trading volume and share price volatility have statistically significant effects on asset price bubbles. However, evidence from sector-based stocks is mixed. We find that for firms belonging to electricity, energy, financial, and banking sectors, and for the smallest size firms, trading volume has a statistically significant and positive effect on bubbles. We do not discover any robust evidence of a statistically significant effect of share price volatility on bubbles at the sector-level. (C) 2013 Elsevier B.V. All rights reserved.
引用
收藏
页码：661 / 667
页数：7
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