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dc.contributor.authorLeone, Vitoren
dc.contributor.authorDe Medeiros, Ribeiro Otavioen
dc.date.accessioned2017-03-06T16:22:43Z
dc.date.available2017-03-06T16:22:43Z
dc.date.issued2014-09-18
dc.identifier.citationLeone V. and Medeiros O. (2015) Signalling the Dotcom Bubble: A Multiple Changes in Persistence Approach. The Quarterly Review of Economics and Finance, 55, pp. 77–86en
dc.identifier.urihttp://hdl.handle.net/2086/13427
dc.description.abstractThis study investigates multiple changes in persistence in the dividend–price and price–earnings ratio of the NASDAQ Composite Index. Recent time series methods that are capable of signalling and dating asset price bubbles are employed, in particular the method developed by Leybourne, Kim, and Taylor (2007).The method allows for breaks between periods in which the data are integrated of order zero I(0) and integrated of order one I(1). The results confirm the existence of the so-called Dotcom bubble with its start and end dates. Furthermore, an unexpected negative bubble was also identified, extending from the beginning of the 1970s to the beginning of the 1990s, suggesting that the NASDAQ stock prices were below their fundamental values as indicated by their dividend yields, finding not previously reported in the literature. As the tools used by regulators take considerable time to take effect, methods capable of picking up warnings signals of the start of a bubble could be very useful. We conjecture that the method-ology can also be applied to study recent phenomena in real estate, commodity and foreign exchange marketsen
dc.language.isoenen
dc.publisherElsevieren
dc.subjectNASDAQen
dc.subjectOrder of integrationen
dc.subjectPersistence shiftsen
dc.subjectRational bubbleen
dc.subjectUnit rootsen
dc.titleSignalling the Dotcom bubble: A multiple changesin persistence approachen
dc.typeArticleen
dc.identifier.doihttp://dx.doi.org/10.1016/j.qref.2014.08.006
dc.researchgroupFiBReen
dc.peerreviewedYesen
dc.explorer.multimediaNoen
dc.funderN/Aen
dc.projectidN/Aen
dc.cclicenceN/Aen
dc.date.acceptance2014-08-19en
dc.researchinstituteFinance and Banking Research Group (FiBRe)en


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