Bubbles in the Finnish and US Equities Markets - Test for the existence and development of an indicator

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Title: Bubbles in the Finnish and US Equities Markets - Test for the existence and development of an indicator
Author: Taipalus, Katja
Contributor: University of Helsinki, Faculty of Social Sciences, Department of Political Science
Date: 2005-04-26
Language: en
URI: http://hdl.handle.net/10138/11833
Thesis level: Licentiate thesis
Abstract: Tests for unit roots in the log dividend yields, which are consistent with ´rational bubbles´ in stock prices, are conducted for S&P500 as well as for Finnish stock market indexes. In addition to the traditional unit root tests we split the data into 10-year segments and use frequency domain analysis to test for the presence of unit roots in the dividend yield data.The results strongly suggest existence of bubbles in the US as well as in Finland. Finally we develop a novel dividend yield-based method to track out periods when stock prices divert their fundamental level. This indicator produces promising results as it seems to have some forecasting ability concerning the booms and busts in the stock markets.
Description: Endast sammandrag. Inbundna avhandlingar kan sökas i Helka-databasen (http://www.helsinki.fi/helka). Elektroniska kopior av avhandlingar finns antingen öppet på nätet eller endast tillgängliga i bibliotekets avhandlingsterminaler.Only abstract. Paper copies of master’s theses are listed in the Helka database (http://www.helsinki.fi/helka). Electronic copies of master’s theses are either available as open access or only on thesis terminals in the Helsinki University Library.Vain tiivistelmä. Sidottujen gradujen saatavuuden voit tarkistaa Helka-tietokannasta (http://www.helsinki.fi/helka). Digitaaliset gradut voivat olla luettavissa avoimesti verkossa tai rajoitetusti kirjaston opinnäytekioskeilla.
Subject: stock markets
unit root

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