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  1. 117 経済学研究科・経済学部
  2. Working Papers on Central Bank Communication
  1. 0 資料タイプ別
  2. 60 レポート類
  3. 063 ワーキングペーパー

Detecting Stock Market Bubbles Based on the Cross-Sectional Dispersion of Stock Prices

http://hdl.handle.net/2261/00077273
http://hdl.handle.net/2261/00077273
55df1d3c-387c-4ae3-8d26-13a1b0d30c58
名前 / ファイル ライセンス アクション
cb-wp010.pdf cb-wp010.pdf (236.1 kB)
Item type テクニカルレポート / Technical Report(1)
公開日 2019-09-03
タイトル
タイトル Detecting Stock Market Bubbles Based on the Cross-Sectional Dispersion of Stock Prices
言語
言語 eng
キーワード
主題Scheme Other
主題 Stock market
キーワード
主題Scheme Other
主題 Financial bubble
キーワード
主題Scheme Other
主題 Nowcast
キーワード
主題Scheme Other
主題 Power law
資源タイプ
資源 http://purl.org/coar/resource_type/c_18gh
タイプ technical report
著者 Mizuno, Takayuki

× Mizuno, Takayuki

WEKO 156073

Mizuno, Takayuki

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Ohnishi, Takaaki

× Ohnishi, Takaaki

WEKO 156074

Ohnishi, Takaaki

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Watanabe, Tsutomu

× Watanabe, Tsutomu

WEKO 156075

Watanabe, Tsutomu

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著者所属
著者所属 National Institute of Informatics
著者所属
著者所属 Graduate School of Information Science and Technology, The University of Tokyo
著者所属
著者所属 Graduate School of Economics, The University of Tokyo
抄録
内容記述タイプ Abstract
内容記述 A statistical method is proposed for detecting stock market bubbles that occur when speculative funds concentrate on a small set of stocks. The bubble is defined by stock price diverging from the fundamentals. A firm’s financial standing is certainly a key fundamental attribute of that firm. The law of one price would dictate that firms of similar financial standing share similar fundamentals. We investigate the variation in market capitalization normalized by fundamentals that is estimated by Lasso regression of a firm's financial standing. The market capitalization distribution has a substantially heavier upper tail during bubble periods, namely, the market capitalization gap opens up in a small subset of firms with similar fundamentals. This phenomenon suggests that speculative funds concentrate in this subset. We demonstrated that this phenomenon could have been used to detect the dot-com bubble of 1998-2000 in different stock exchanges.
内容記述
内容記述タイプ Other
内容記述 Publisher's another name: JSPS Grants-in-Aid for Scientific Research (S) Central Bank Communication Design
書誌情報 Working Papers on Central Bank Communication

巻 010, 発行日 2019-08
著者版フラグ
値 publisher
出版者
出版者 Research Project on Central Bank Communication
関係URI
識別子タイプ URI
関連識別子 http://www.centralbank.e.u-tokyo.ac.jp/en/category/research-data/
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