Rational Speculative Bubble Size in Hang Seng, S&P500 and Nikkei 225 Index Trend from Year 1976 until 2016

  • Authors

    • Nurharyanti Borhan
    • Nurfadhlina Abdul Halim
    • Wan Muhammad Amir W. Ahmad
    • Mustafa Mamat
    • Nor Azlida Aleng
    • Kasypi Mokhtar
    • Mohd Asrul Affendi Abdullah
    • Zailani Abdullah
    2018-04-06
    https://doi.org/10.14419/ijet.v7i2.14.11150
  • Financial Bubble, Generalized Johansen-Ledoit-Sornette, Speculative Bubble, Trend.

  • Abstract

    Rational speculative bubble size happens when the prices of an asset surpass its intrinsic value. This bubbles are harmful when burst because its gives a big impact towards the economic. The aims of this study is to show the size of rational speculative bubble existed from year 1976 until 2016. The period are separated into four which are the first cycle is from 1/11976 to 6/12/1987, the second cycle happen in 7/12/1987 to 12/8/1998, 13/8/1998 to 26/10/2008 for the third cycle and 27/10/2008 to 31/12/2016 for the fourth cycle. This study is also emphasizing on the trend of the rational speculative bubble from one cycle to another cycle. This bubbles size was studied in three markets which are Hang Seng, S&P 500 and Nikkei 225 by using generalized Johansen-Ledoit-Sornette model. The difference

     

     

  • References

    1. [1] Dean Baker 2008 The Housing Bubble and the Financial Crisis

      Centre for Economic and Policy Research,USA ,(2008) 73-81

      [2] Efsun Kürüm and Gerhard-Wilhelm Weber and Cem Ìyigün 2014 Financial Bubbles Springer Proceedings in Mathematics & Statistic},73 (2014) 453-468.

      [3] Davendran Indiran,Nurfadhlina Abdul Halim Wan Muhammad Amir Wan Ahmad and Mustafa Mamat, An Analytical Comparison between Standard Johansen-Ledoit-Sornette Model and Generalized Johansen-Ledoit-Sornette Model, Applied Mathematical Sciences 8 (2014) 2257-2267

      [4] Davendran Indiran,Nurfadhlina Abdul Halim and Wan Muhammad Amir Wan Ahmad, Hong Kong Stock Market's Rational Speculative Bubble Periods 2008, International Journal of Applied Research 1,10 (2015) 863

      [5] Vincenzo Liberatore, Computational LPPL Fit to Financial Bubbles, (2010).

      [6] Cate Reavis, The Global Financial Crisis of 2008: The Role of Greed,Fear and Oligarchs,MITSloan Management, (2012) 09-093

      [7] Kimberly Amadeo,2008 Financial Crisis: Causes, Costs, Could it Reoccur (2017) Retrieved from: https://www.thebalance.com/2008-financial-crisis-3305679

      [8] Sher Verick and Iyanatul Islam, The Great Recession of 2008-2009: Causes, Consequences and Policy Responses. IZA Discussion Paper No. 4934, (2010)

      [9] Nurharyanti Borhan, Nurfadhlina Abdul Halim and Wan Muhammad Amir W. Ahmad, Rational Speculative Bubble Size in Gold,Hang Seng, S&P500 and Nikkei 225 Index During Year 2008 to 2016. IOP Conference Series: Journal of Physics Conference Series 890 (2017). Retrieved from: http://iopscience.iop.org/article/10.1088/1742-6596/890/1/012166/pdf

  • Downloads

  • How to Cite

    Borhan, N., Abdul Halim, N., Muhammad Amir W. Ahmad, W., Mamat, M., Azlida Aleng, N., Mokhtar, K., Asrul Affendi Abdullah, M., & Abdullah, Z. (2018). Rational Speculative Bubble Size in Hang Seng, S&P500 and Nikkei 225 Index Trend from Year 1976 until 2016. International Journal of Engineering & Technology, 7(2.14), 36-38. https://doi.org/10.14419/ijet.v7i2.14.11150

    Received date: 2018-04-06

    Accepted date: 2018-04-06

    Published date: 2018-04-06