Working paper
Asset Price Bubbles in the Australian Market
CIFR Paper, Vol.No. 119/2016
SSRN
06/03/2016
DOI: 10.2139/ssrn.2831806
Abstract
We explore the prevalence of asset-price bubbles in Australian listed industrial equities and A-REIT markets. In contrast to the US listed stock markets, we find little evidence of asset-price bubbles in historical returns of Australian markets (1992-2016). Our findings are robust to the choice of econometric method and historical data range.We also provide a review of the literature surrounding asset-pricing bubbles, as well as a review of the econometric identification of asset-price bubbles. In our analysis we note that significant future research is required in the econometric identification of asset-price bubbles. While the existence of asset price bubbles cannot be ruled out, significant advancements in the literature are required before academics and practitioners can gain any further insight
Details
- Title: Subtitle
- Asset Price Bubbles in the Australian Market
- Creators
- Jamie AlcockPetra SinaglAngelo AsprisSean FoleyStephen E SatchellReuben SegaraDanika J WrightJuan Yao
- Resource Type
- Working paper
- Publication Details
- CIFR Paper, Vol.No. 119/2016
- Publisher
- SSRN
- DOI
- 10.2139/ssrn.2831806
- Number of pages
- 154 pages
- Language
- English
- Date posted
- 06/03/2016
- Academic Unit
- Finance
- Record Identifier
- 9984380644202771
Metrics
4 Record Views