Yliopiston etusivulle Suomeksi På svenska In English Helsingin yliopisto

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

Show full item record

Files in this item

Files Description Size Format View/Open
abstract.pdf 49.20Kb PDF View/Open
Use this URL to link or cite this item: http://hdl.handle.net/10138/11833
Vie RefWorksiin
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, Department of Political Science
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 avhandlingens sammandrag. Pappersexemplaret av hela avhandlingen finns för läsesalsbruk i Statsvetenskapliga biblioteket (Unionsgatan 35). Dessa avhandlingar fjärrutlånas endast som microfiche.Abstract only. The paper copy of the whole thesis is available for reading room use at the Library of Social Sciences (Unioninkatu 35) . Microfiche copies of these theses are available for interlibrary loans.Vain tiivistelmä. Opinnäytteiden sidotut arkistokappaleet ovat luettavissa HY:n keskustakampuksen valtiotieteiden kirjastossa (Unioninkatu 35). Opinnäytteitä lainataan ainoastaan mikrokortteina kirjaston kaukopalvelun välityksellä
URI: http://hdl.handle.net/10138/11833
Date: 2005-04-26
This item appears in the following Collection(s)

Show full item record

Search Helda


Advanced Search

Browse

My Account