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

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dc.contributor Helsingin yliopisto, Yleisen valtio-opin laitos fi
dc.contributor University of Helsinki, Department of Political Science en
dc.contributor Helsingfors universitet, Allmän statslära, Institutionen för sv
dc.contributor.author Taipalus, Katja
dc.date.accessioned 2009-09-08T09:46:00Z
dc.date.available 2009-09-08T09:46:00Z
dc.date.issued 2005-04-26 en
dc.identifier.uri http://hdl.handle.net/10138/11833
dc.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. sv
dc.description 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. en
dc.description 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. fi
dc.description.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. en
dc.language.iso en en
dc.subject stock markets en
dc.subject bubbles en
dc.subject unit root en
dc.subject tests en
dc.subject indicators en
dc.title Bubbles in the Finnish and US Equities Markets - Test for the existence and development of an indicator en
dc.identifier.laitoskoodi 711 en
dc.type.ontasot Licentiate thesis en
dc.type.ontasot Lisensiaatintyö fi
dc.type.ontasot Licentiatsavhandling sv

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