The Mirror of History: How to Statistically Identify Stock Market Bubble Bursts - Normandie Université
Article Dans Une Revue Journal of Economic Behavior and Organization Année : 2022

The Mirror of History: How to Statistically Identify Stock Market Bubble Bursts

Résumé

This paper proposes a method for detecting bubble phases and the timing of bursts in global stock markets. The study identifies 27 bubbles in 29 global stock market indices over the last century. Using transformations and change-point detection on index returns, we discover that every major bubble has the same two-phase pattern indeed. Although the mechanisms or causes of each bubble are complex and unique, they all follow the same pattern. Thus, our findings suggest that history has a tendency to repeat itself. © 2022 Elsevier B.V.
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Dates et versions

hal-04454682 , version 1 (13-02-2024)

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S. Boubaker, Zhenya Liu, Tianqing Sui, L. Zhai. The Mirror of History: How to Statistically Identify Stock Market Bubble Bursts. Journal of Economic Behavior and Organization, 2022, 204, pp.128-147. ⟨10.1016/j.jebo.2022.09.024⟩. ⟨hal-04454682⟩
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