Stock Prices Market

发布时间:2019-10-19 17:01
Stock Prices Market

Fundamental Price

The determinants of stock prices are often a matter of debate. Economists and financial market participants hold different views as far as the pricing of an asset is concerned. Economists believe that the price of an asset should equal to the fundamental value, given the assumption of rational behavior and of rational expectations.

Market fundamental is the value of an asset depending on the current and future information about the returns from the asset. Any divergence of the actual price from the fundamental price will give rise to a ‘bubble component’ (Lucas 1978). However Brooks and Katsaris (2002) claimed that in certain periods the fundamental value of an asset seems to be irrelevant in the pricing policy.

On the other hand, financial market participants believe that fundamentals are only part of the price of an asset and extraneous events may well influence the price (Blanchard and Watson 1982). Further economists have overstated their views as there may be rational deviations of price from the fundamental value that is rational bubbles. Also there has been no consensus which view is correct (Allen and Gorton 1993).

There are two approaches which can explain the behavior of prices in the equity market during the 1920s, the 1980s and the 1990s. These periods witness market prices growing significantly followed by abrupt market collapses (Brooks & Katsaris 2005). Firstly, there was a non-linear relationship between actual prices and fundamental values. The second approach was that self-fulfilling expectations and speculative bubbles causes the actual price to diverge far away from the fundamental values.

As such studies on the relationship between actual price and fundamental value were important and the indirect test was used to identify the presence of bubbles in the financial data (Shiller 1981). However, the indirect test is not a good approach as it suffers from the problem of interpretation since bubble effects in the stock prices could not be distinguished from the effects of unobservable market fundamentals (Brooks & Katsaris 2005). Also the indirect test is a joint test for the presence of bubbles. It only provide ‘hints’ of there existence (Brooks & Katsaris 2002).

For this reason, the direct test which directly tests for the presence of bubbles was developed and adopted (Flood and Garber 1980). Under this particular test, the researcher select the type of bubble that might be present in the data set and examine whether this form of speculative bubble have any explanatory power for stock market returns. Financial Crisis

The crises of Oct 1929 and the Oct 1987 raised several questions regarding market rationality and the relevance of fundamental values. Several researches claim that this movement was of irrational herd behavior. However, the rational bubble theory rejects such a conclusion as investors were being compensated for such a behavior (Brooks and Katsaris 2001).

On the black Thursday 24th Oct 1929, Dow Jones Industrial registered a loss of an average of 39.6% within a week. Wanniski (1978) claims that the correction of stock prices were expected since the presence of bubbles resulted in an overvalued market. The main problem with the bubble is that it will burst at a given time and create a financial panic in the market.


Blanchard and Watson (1982) defined bubbles as the movements in the price, apparently unjustified by information available at the time, taking the form of a rapid increase followed by a burst or at least a sharp decline. A famous example will be the South Sea Bubble whereby the stock value of the South Sea Company rose by over 700% during the first half of 1720. And at the end of 1720, the price fell back to about fifty percent of its value at the start of the year.

Speculative Bubbles

Brooks & Katsaris (2003) defined speculative bubble as a persistent, systematic and increasing deviation of prices from their fundamental value defined as the risk-adjusted present value of all expected future cash flows.

Boucher (2003) defined speculative bubbles as the difference between the market value of a security and its fundamental value. He classified bubbles into three main categories: rational bubbles, irrational bubbles, fads and noise traders and finally inefficiencies that are due to imperfect and heterogeneous information.

Speculative Bubbles are generated when investors amend their information set regarding the future cash flows of an asset. The expected future price will be a good determinant of demand and supply. A positive expected bubbles return will lead to an increase in demand resulting in a deviation from their fundamental values (Brooks & Katsaris 2001).

Hamilton (1986) showed that self-fulfilling speculative bubbles may well be formed part of the fundamental value. West 1984 argued that self-fulfilling speculative bubbles may account for the excess volatility of stock prices. Tirole (1982) and Obstfeld and Regoff (1983) showed that a self-fulfilling appreciation of asset prices is difficult to reconcile with optimizing behavior in general equilibrium.

The characteristics of the speculative bubble is that of a positive feedback sent to the market from the increasing prices to an increase in investors’ enthusiasm, hence increasing the quantity demanded and finally the price increases. However it should not be ignored that an asset cannot go on increasing in price i.e. at a point in time, the price will be stagnant, and then there may be a negative turn in the sequence of prices and demand (Shiller 2001).

Rational bubble

Rational bubble theory can be defined as an investor acting rationally in inflating prices (Brooks and Katsaris 2001). The theory of rational bubbles shows that even with rational expectations, asset price deviates from the fundamental value. The self-fulfilling expectations about the positive future price increase help the bubbles to grow even faster. Furthermore it can be noted that rational bubbles have explosive conditional expectations implies that a negative rational bubbles component cannot exist, because given free disposal, stockholders cannot rationally expect a stock price to decrease without bound and hence to become negative at a finite future date (Sophia E.Stavrati 2006).

An important factor of the rational bubble is that investors are aware that share prices are inflated however; they believe that there is a high probability that the bubble will grow which will lead to a higher return than expected, as they are compensated for the probability of a market crash. This may be illustrated as the rational behavior of investors whereby they follow the market. As James (2003) put it in his own words, “one may be a fool for buying an asset which is overpriced, one will profit if there are greater fools who will pay even more for the asset”.

Historically stock prices have the tendency to rise substantially over an extended period and then fall very quickly. Such movements can be hard to reconcile with the notions of investor rationality and market efficiency. But literature developed in the recent years showed that consistent change of stock prices from the fundamental does not necessarily reflect irrational behavior on the part of the investors. This is so because there is an expectation to hold the asset till the indefinite future and to make a capital gain. Also, stock buyers will only be willing to pay for a higher price than that set by the fundamental if they believe that someone else will subsequently pay a higher price and thus they will be compensated for holding an inflated asset (Koutas 2003).

The existence of bubbles has numerous implications both for the asset and risk management practices and for the authorities in charge of the monetary policy and financial market supervision. In order to avoid a financial crash, bubbles test can be used to identify the risk associated and impose measures in order anticipate the financial crash for e.g. freeze the market to avoid speculation about the share price of an asset. (Sebastien Morin, 2003)

Bubbles Collapse

Stochastic bubbles are bubbles that may either survive or collapse in each period (Schaller & Van Norden 1997). The existence of stochastic bubbles means that there are two regimes generating the market, one where the bubble collapses and one where it survives. This factor is taken into account by rational investors when deciding whether or not to hold an asset. For example in the surviving regime, returns should be comparatively high so as to compensate the investor for taking additional risk in terms of the bubble component.

Schaller & Van Norden (1997) showed that bubbles are more likely to collapse when they comprise a large portion of the stock price. Also, in periods where positive bubbles collapses, returns should be negative and the probability of collapse should increase while the bubbles grow larger. An exception to the above will be the case of rational bubbles.

Situation giving rise to bubbles

It is argued below that one of the manifestations of asymmetric information in this context is that asset prices can deviate from their fundamental values and be subject to bubbles. The activities of bad portfolio managers may cause bubbles (Allen and Gorton 1993).

They defined the bad portfolio managers as those who do not have the same information set as good portfolio managers. They showed how the bad portfolio managers try to speculate the market and make a capital gain despite knowing that if the bubbles burst, investors will be losing their money that has been invested.

Overinvestment and malinvestment may create bubbles in the market. Overinvestment means investing in too many capital assets to meet the required demand. On the contrary, malinvestment means investing in the wrong capital assets to produce goods and services. A most recent example will be Asian Financial Crises 1997.

The Chinese Government injected a lot of assets in the red chips companies in the expectation to increase the share price. The stock price did increase but it did not last for long as a bubble was being created (Jim Saxton 2003). The bubble component caused a financial panic and many other markets suffered from this situation.

A bubble can arise when the actual price is directly related to its own expected rate of change, as normally occurs in asset markets. In this situation, the arbitrary, self-fulfilling expectation of price changes may drive price changes independently of market fundaments and thus being in a state of bubbles (Flood and Garber 1980).


The concept of bubble is against the Efficient Market Hypothesis (initiated by E. Fama). The deviation of the asset price from the fundamental value caused bt the bubble is often driven by psychological factors. It can be noted that Efficient Market Hypothesis ignores market psychology in the formation of a stock price.

Also, the random walk theory is used to test for the efficiency of the market. It implies that stock prices are expected to change randomly and investors cannot forecast the fluctuations. In simple terms, stock prices are not determined by the law of demand and supply. As such the random walk theory contradicts with fundamental analysis. It seems to describe the stock price behavior without considering the fundamental value (Sophia E.Stavrati 2006).

The market is further considered to be not efficient if there exist speculative bubbles in the market. A speculative bubble can be distinguished as a persistent rise in the price of an asset. The initial rise creates forecasts of further rises and attracting new buyers, in general speculators interested in the rise of the price of the asset rather than in its use or its potential incomes (Shiller 2002). Also the fundamental value of a stock is hard to renconcile and furthermore if the bubble last for a long time, the fundamental relation may not be observed except in very long sample periods.

The existence of speculative bubbles, when stock prices deviates from the level suggested by market fundamental, does not necessarily violate the rational expectations and efficient market hypothesis. Investors cognizant of market overvaluation are compensated for the risk of the bubble collapsing with the excess positive returns (Waters & Payne 2005).

However in order to be able to achieve the above, two conditions should be met. Firstly, there must be restrictions in short selling (Li and Yung 2004) and secondly in the presence of informational asymmetries and market efficiency, the stock prices should be underpriced limiting the ability to capture the market (Ghosh et al 2000).

Further bubble is not a random deviation of price from value, for the law of large numbers suggests that purely random deviations will wash out over time without any necessity of collapse.

Nevertheless, if investors have finite time horisons then the resale price of their assets becomes a major determinant of their investment decisions and a bubble can emerge. This is not however sufficient. It has been shown that even with a finite time horizon, a bubble can not exist if expectations are rational, and that is if investors’ forecasts are optimal. Hence, bubbles require both finite time horizons and non optimal forecasting. Stated differently, bubbles require inefficient markets.

Ruling out bubbles

Koutas (2003) stated that a firm may rule out bubbles if it imposes a limit on the highest price of the asset. As such once the asset reached the maximum price it can no longer be governed by the market forces which are the most deterministic variable for the price of an asset.

Bubbles cannot exist in a model with a finite number of infinite-lived rational agents since they will be rule out as and when they existed (Tirole 1982). For example if an asset price has a bubble component, market participants will short sell the asset, invest some of the proceeds in order to pay for dividend stream and have positive wealth left over. As such the arbitrage would rule out bubbles.

Finally he has shown that in the context of an overlapping generations model, a bubble cannot arise when the interest rate exceeds the growth rate of the economy. This is because the bubble would eventually become infinitely large in relation to the wealth of the economy, thus violating some agent’s budget constraint.

There is a need to counter bubbles as and when they arise. As bubbles are the causes for financial crashes example include the south sea bubble, Mississippi bubble, the great crash of 1929 and this may disrupt the functioning of the financial market. Banks can counter bubbles through the tools available to them. For instance, by imposing early credit restrictions or by influencing forecasts in way of publishing any overvalued stock. However in order to be able to carry out this task, they need to, first of all, detect the speculative bubbles and detecting these bubbles are not always an easy task.

Two main reasons are:

  • Speculative bubbles definition is somewhat ambiguous and controversial. For example it covers in fact two kinds of bubbles: rational bubbles and irrational bubbles.
  • Speculative bubbles test have some drawbacks. The major drawback is based on the interpretation as the test can sometimes confuse with other phenomenon.

Moreover, bubbles affect the riskiness of the market and it may also contribute to the fluctuations of the macroeconomic variables as it had been the case during the occurrence of the October 1929 Wall Street Crash and the Great Depression. It is interesting to note that bubbles create excess demand in the market while supply remains constant (Rappoport and White 1993). Therefore, in other words, there will be a shortage and this will lead to an increase in the share price.

Flood and Hodrick (1986) stated that test should be carried out in the specification of model. Most often the model is not rightly specified which rule out the bubbles despite their very existence. He further demonstrated how the failure of variance bound tests should not be taken as evidence of rational speculative bubbles. Finally he argued that designing a bubble test is hard since the path of a bubble in the data would like some forms of incorrect modeling of agents’ expectations.

Mistakes for model specification of intrinsic value of a bubble can be avoided in an experiment in which intrinsic values are controlled as via the experiment it is easier to control the variables but in real life situations it is not always the case.

Boucher (2003) used the classical Engle-Granger cointegration test to test for the presence of bubbles in the US market. He concludes that rational bubbles exist in the market. However the long term relationship should not be ignored as stock prices adhere to fundamentals in the long run and that mechanism is asymmetric. The Convention co-integration test does not take into account the long term relationship.

Hassan and Jung-Suk Yu (2006) tested for the presence of rational speculative bubbles for the rapidly growing frontier emerging stock markets (Bangladesh, Cote d’Ivoire, Ecuador, Ghana, Jamaica, Kenya, Mauritius and Trin. & Tobago). The identification of rational bubbles can be important in policy making decisions and international portfolio diversification.

They, first of all, used the long established bubble tests (co-integration test, Unit Root test and Variance Ratio test) and found that they did not reject the null hypothesis of bubbles. Finally they use the fractionally-integrated autoregressive-moving average model, denoted ARFIMA, They concluded that using the ARFIMA model they did not find any evidence for the presence of bubbles.

Suraya et al. (2006) used the Duration Dependence Test to test for the existence of bubbles in the Malaysian Stock Market. This duration dependence test builds on the rational dependence. According to the duration dependence method, the probability that a run of positive abnormal ends should decrease with the length of the run (sequence of returns of the same sign) if bubbles exist in the market. The study showed that bubbles were present in the market. However, the pre-crisis period (1994-1996) was bigger than that of the post crisis period (1999 – 2003)

Renatas Kizys and Christian Pierdziorch (2007) studied the international linkages of the stock markets of the Central Eastern Europe (CEE) countries. The analysis was based on whether the long-term international linkages of the stock markets of the CEE countries reflect international linkages of fundamentals or international linkages of speculative bubbles.

The results provide evidence about co-integration between speculative bubbles and it was further concluded that the Hungary and Poland were co integrated during the period from 2000 to 2005. On the other hand, for the CEE countries, there have co-integration in the early years of the 20th century but for the period 2004 and 2005, they were not co integrated. This co-integration sound important as the existence of co-integration indicate the presence of bubbles.


股票价格市场 基本价格 股票价格的决定因素往往是一个有争议的问题。经济学家和金融市场参与者持不同意见,资产的定价。经济学家认为,资产的价格应该等于基本价值,理性行为和理性预期假设。 市场根本的是资产的价值取决于当前和未来的信息资产的回报。任何实际价格分歧从根本上的价格将产生“泡沫成分” ( 1978年卢卡斯) 。然而,布鲁克斯和卡萨利斯(2002)声称,在某些时期,资产的基本价值似乎是无关紧要的定价政策。 另一方面,金融市场人士认为,基本面只是其中的一部分资产的价格和外来事件可能影响的价格(布兰查德和沃森1982年) 。进一步经济学家夸大了他们的意见,有可能是理性的价格偏差的基本价值,是理性泡沫。还有一直没有达成共识的观点是正确的( 1993年艾伦和Gorton ) 。 有两种方法可以解释涨价的行为在股市在20世纪20年代, 80年代和20世纪90年代。这些时期证人市场价格增长显着随后突然的市场崩溃( 2005年布鲁克斯与卡萨利斯) 。首先,有一个的实际数据和基本值之间的非线性关系。第二种方法是自我实现的预期和投机泡沫导致实际价格以远离的基本价值观分歧。 因此实际价格和基本值之间的关系的研究是重要的,间接的测试被用来确定的财务数据(希勒, 1981 )中的气泡的存在。然而,间接的测试是不是一个好方法,因为它诠释的问题,因为股票价格的泡沫效应可能遭受无法区分不可观察市场基本面的影响( 2005年布鲁克斯与卡萨利斯) 。此外,间接检测气泡的存在的联合试验。它只能提供有存在的'提示' (布鲁克斯和卡萨利斯2002 ) 。 出于这个原因,直接测试气泡的存在,直接测试制定并通过了(洪水和加伯1980 ) 。在这个特殊的测试,研究人员选择的类型可能存在的泡沫数据集,并检查是否这种形式的投机泡沫有任何股市回报率的解释能力。金融危机 1929年10月和1987年10月的危机提出了几个问题,关于市场的合理性和相关性的基本价值观。一些研究声称,这项运动的非理性羊群行为。然而,理性泡沫理论拒绝这样的结论,因为投资者被这样的行为(布鲁克斯和卡萨利斯2001 )补偿。 在黑色的1929年10月24日(星期四) ,道琼斯工业平均39.6%录得亏损,在一个星期内。万尼斯基(1978)声称校正由于气泡的存在导致市场高估的股票价格预期。泡沫的主要问题是,它会突然在一个给定的时间,并创建一个金融市场的恐慌情绪。 泡沫 布兰查德和沃森(1982)定义的泡沫的价格变动时可用的信息,显然是不合理的,采取的形式的快速增长,其次是爆裂或至少是大幅下降。一个著名的例子是南海泡沫,南海公司的股票价值增长超过700% ,在1720上半年。而在1720年年底,价格回落至约50 %的价值在开始的一年。 投机泡沫 布鲁克斯与卡萨利斯(2003)定义的投机泡沫,从他们的基本价值定义为风险调整后的预期未来现金流量的现值作为持久性,系统性和增加的价格偏差。 鲍彻( 2003)定义的证券的市场价值之间的差异,其根本价值的投机泡沫。他归类泡沫,主要分为三类:理性泡沫,非理性泡沫,时尚和噪音交易者,最后是由于不完善和异构信息的低效。 投资者时,会产生投机泡沫修改其有关资产的未来现金流量的信息集。预期未来价格将是一个很好的需求和供给的决定因素。一个积极的预期气泡回报将导致需求增加,导致偏离其基本价值(布鲁克斯和卡萨利斯2001 ) 。 汉密尔顿(1986)表明,自我实现的投机性泡沫很可能是基本价值的组成部分。 1984年西认为,自我实现的投机泡沫可能占股票价格的过度波动。梯若尔(1982)和(1983) Obstfeld和Regoff的表明,资产价格的升值是一个自我实现的难以调和与一般均衡的优化行为。 投机泡沫的特点是,向市场发出了积极的反馈,从价格上升,增加了投资者的积极性,从而增加需求量,终于提价。然而,它不应该被忽视,资产不能去提高价格,即在某个时间点,价格会停滞不前,那么有可能是负的顺序依次在价格和需求(希勒,2001年) 。 理性泡沫 理性泡沫理论可以被定义作为一个投资者理性行事价格膨胀(布鲁克斯和卡萨利斯, 2001 ) 。理性泡沫理论表明,即使有理性预期,资产价格偏离基本价值。自我实现的积极预期未来价格上涨的帮助气泡增长得更快。此外它可以被注意到,理性泡沫有爆炸性的条件期望意味着,一个消极理性的泡沫成分可以不存在,因为自由处置的,股东可以不理性的期望股票价格,以减少不绑定,因此在有限的未来日期负(索菲亚E.Stavrati 2006) 。 理性泡沫的一个重要因素是投资者都知道,股票价格膨胀,但他们相信,有一个高概率的泡沫将增长,这将导致更高的回报而非预期,因为他们进行补偿的可能性市场崩溃。投资者据此,他们遵循的是市场的理性行为,可以说明这一点。正如詹姆斯(2003年)把他自己的话说, “可能是一个傻瓜,一个被高估的资产购买,将利润甚至将支付更多的资产,如果有更大的傻瓜” 。 历史上股票价格的倾向在较长时间内大幅上升,然后下降非常迅速。这种运动可以是难以调和与投资者的理性和市场效率的概念。但在最近几年开发的文献表明,股票的价格从根本上一致的变化并不一定反映部分投资者的非理性行为。这是因为有一个预期持有资产,直到不确定的未来,使资本增益。此外,股民才会相信别人随后将付出更高的代价,因此,他们将举行虚增资产( 2003年Koutas )的补偿,如果他们愿意支付更高的价格比那一套根本。 气泡的存在有大量的资产和风险管理实践,并负责货币政策和金融市场监管当局的影响。为了避免金融崩溃,气泡测试可以用来识别相关的风险,并采取措施,以预测金融危机如市场冻结,以避免资产的股价猜测。 (塞巴斯蒂安·莫兰, 2003年) 泡沫的破裂 随机气泡的气泡可以生存或折叠在每一个时期(斯凯勒尔范诺登1997 ) 。随机气泡的存在意味着有两个政权产生市场,气泡崩溃和一个生存。理性的投资者考虑到这个因素,决定是否持有资产。例如尚存政权,回报率应该是比较高的,以补偿投资者的泡沫成分方面采取额外的风险。 夏勒范诺登(1997)表明,气泡更容易,它们包括大部份的股票价格崩溃的时候。此外,在期间积极泡沫崩溃,回报率应该是负的,应该增加,而泡沫崩溃的概率较大增长。上述的例外将是理性泡沫的情况下。 情况引起气泡 下面有人认为在这种背景下信息不对称的表现形式之一是,资产价格偏离其基本价值和气泡。不好的投资组合经理的活动可能会导致气泡( 1993年艾伦和Gorton ) 。 他们定义了不良的投资组合经理,那些谁没有良好的投资组合经理设置为相同的信息。他们表现不好的投资组合经理如何揣度市场和资本收益,尽管知道,如果泡沫破灭,投资者将失去他们的钱已投资。 过度投资和不良投资可能在市场上产生气泡。过度投资是指投资太多的资本性资产,以满足所需的需求。相反,不良投资是指投资在错误的资本资产,以生产商品和服务。一个最近的例子是1997年亚洲金融危机。 期望中的红筹公司,中国政府注入了大量的资产,以提高股价。股价的确增加了,但它并不会持续很长时间作为泡沫被创建(吉姆·萨克斯顿, 2003) 。泡沫成分造成的金融​​恐慌和许多其它市场出现这种情况。 泡时的实际价格,直接关系到其自身预期的变化率,通常发生在资产市场。在这种情况下,任意的,自我实现的预期价格变动可能会推动价格变动的,独立的市场基本原理,从而在气泡的状态(洪水和加伯1980 ) 。 EMH 泡沫的概念,是对有效市场假说(由E.玛发起) 。从根本值引起的资产价格的偏差BT的泡沫往往是由心理因素驱动。它可以有效市场假说指出,股票价格的形成,忽略市场心理。 此外,随机漫步理论是用来测试市场的效率。这意味着,股票价格预计将随机变化,投资者无法预测的波动。简单而言,股票价格是无法确定的法律需求和供给。由于这样的随机漫步理论的基本分析矛盾。它似乎没有考虑的基本价值(索菲亚E.Stavrati 2006 )来描述股票价格行为。 市场被进一步认为是效率不高,如果在市场上存在投机泡沫。作为资产价格的持续上升,可以区分投机泡沫。最初的崛起创造预期进一步上升,并吸引新的买家,一般投机者感兴趣的资产价格上升,而不是在它的使用价值或潜在的收入( 2002年希勒) 。此外,某只股票的基本价值是难以renconcile并且如果气泡持续很长一段时间,可能无法观察到的基本关系,除非在很长的采样周期。 存在投机泡沫,当股价偏离市场的根本所建议的水平,并不一定违反理性预期和有效市场假说。投资者认识到市场高估多余的正回报( 2005年水域佩恩)泡沫崩溃的风险补偿。 不过,为了能够实现上述两个条件,应该得到满足。首先,必须有卖空的限制( 2004年李容) ,其次中存在的信息不对称和市场效率,限制来占领市场的能力Ghosh等人( 2000年)的股票价格被低估。 进一步的泡沫是不是一个随机的价格偏差值,大数定律表明,纯粹的随机偏差将洗出随着时间的推移,没有任何崩溃的必要性。 不过,如果投资者只有有限的时间horisons ,那么其资产的转售价格成为其投资决策的主要决定因素,可出现一个气泡。然而这不是足够的。它已被证明,即使在有限的时间跨度,一泡就不能存在,如果预期是理性的,那就是,如果投资者的预测是最优的。因此,气泡需要有限的时间跨度和非最优预测。换句话说,气泡需要低效率的市场。 排除气泡 Koutas (2003)指出,一家公司可能排除气泡,如果最高的资产价格施加了限制。因此一旦资产达到的最高价格,它可以不再受市场的力量是最确定的变量为资产价格的。 气泡不能存在于一个模型与数量有限的寿命无限理性的代理人,因为它们会被排除,他们存在的时候( 1982年梯若尔) 。例如,如果资产价格有泡沫成分,市场参与者将短期资产出售,投资的部分收益,以支付股息流有正面的财富遗留。由于这种套利将排除气泡。 最后,他已经表明,在世代交叠模型的背景下,泡沫不会出现当利率超过经济的增长速度。这是因为泡沫最终将成为无限大的经济财富关系,从而违反了一些代理的预算约束。 有必要对付气泡出现时。随着气泡的主要原因是金融崩溃的例子包括南海泡沫,密西西比泡沫, 1929年的大碰撞,这可能扰乱金融市场的运作。银行可以对抗的气泡通过提供给他们的工具。例如,通过实施早期的信贷限制或影响预报的方式发布任何被高估的股票。不过,为了能够完成这项任务,他们需要的话,首先,检测投机泡沫和检测的这些泡沫并不总是一件容易的事。 主要有两个原因: 投机泡沫的定义是有点模糊和有争议的。例如,它覆盖的泡沫实际上是两个种:理性泡沫和非理性泡沫。 投机泡沫测试有一些缺点。主要的缺点是基于作为测试有时会混淆等现象的解释。 此外,气泡会影响市场的风险性,因为它已经发生在1929年10月华尔街崩盘和大萧条的情况下,它也可能有助于宏观经济变量的波动。有趣的是,要注意的是气泡创造市场需求过剩而供给保持不变( 1993年Rappoport和白色) 。因此,换句话说,将短缺,这将导致在股价增长。 洪水的Hodrick (1986)指出,试验应在本说明书中的模型进行。最经常使用的模型不正确地指定规则出泡沫,尽管他们的存在。他还演示了如何方差结合试验的失败不应该被视为理性投机泡沫的证据。最后,他认为,一个气泡试验设计是很难的,因为泡在数据路径的想一些不正确的建模形式的代理商的期望。 内在价值的气泡的模型规范错误,可避免在一个实验中,本征值被控制为通过实验,是更容易控制的变量,但在现实生活中的情况下,情况并非总是如此。 鲍彻(2003)采用了经典的恩格尔格兰杰协整检验,测试在美国市场泡沫的存在。他得出结论认为,在市场存在理性泡沫。然而,长期的关系不应该被忽略,因为股票价格坚持从长远来看基本面和机制是不对称的。 “公约”的协整检验不考虑长期合作关系。 哈桑和贞淑玉(2006)的理性投机泡沫的存在,为迅速发展的前沿新兴股票市场(孟加拉国,厄瓜多尔,科特迪瓦,加纳,牙买加,肯尼亚,毛里求斯和TRIN和多巴哥)测试。理性泡沫的鉴定也很重要,在政策决策和国际投资组合的多样化。 他们,首先,采用确立已久的泡沫测试(协整检验,单位根检验和方差比率测试) ,并发现他们没有拒绝零假设气泡。最后,他们使用的分数综合自回归移动平均模型,记ARFIMA ,他们的结论是使用ARFIMA模型气泡的存在,他们没有发现任何证据。 苏拉娅等。 (2006)使用的持续时间依赖测试,以测试在马来西亚股市泡沫的存在。此时间依赖性试验的基础上理性的依赖。据的持续时间的依赖性的方法,运行正的异常结束的概率应该减少运行(返回相同的符号序列)的长度,如果在市场上存在气泡。研究表明,气泡是目前在市场上。然而,金融危机前的时期(1994-1996年)是大于后危机时期(1999 - 2003 ) Renatas Kizys和基督教Pierdziorch的(2007)研究了中东欧( CEE )国家的股市的国际联系。分析是基于长期的国际联系的中东欧国家的股市是否反映了国际联系的基本面或国际投机泡沫的联系。 关于投机泡沫之间的协整结果提供的证据,并进一步认为,匈牙利和波兰从2000年至2005年期间共整合。另一方面,中东欧国家,有共同整合在20世纪的最初几年,但2004年和2005年期间,他们没有共同整合。重要的,因为存在共整合此协整声音表示气泡的存在。