Over the past years an intense work has been undertaken to understand the origin of the crashes and bubbles of +nancial markets. The explanations of these crashes have been grounded on the hypothesis of behavioral and social correlations between the agents in interacting particle models or on a feedback of the stock prices on trading behaviors in mean-+eld models (here bubbles and crashes are s...

Abstract We introduce a new definition of bubbles in discrete-time models based on the discounted stock price losing mass under an equivalent martingale measure at some finite drawdown. provide probabilistic characterisations this and give examples martingales that are others not. In Markovian case, we sufficient analytic conditions for presence bubbles. also show existence is directly linked t...

When investors have differences of opinion about the payoffs of a stock, Harrison and Kreps (1978) demonstrate the existence of a speculative bubble in the stock price, that is, the stock price can exceed the valuation of the most optimistic investor. A crucial condition that supports this result in their model is that investors are not allowed to short sell the stock. This paper demonstrates t...

Purpose By modelling China’s property price changes and their effect on GDP, this study aims to develop a more general model of the costs benefits driving bubbles. Design/methodology/approach The authors five-sector dynamic (using data from China seven other comparator jurisdictions), resulting in bubble risk factor. then correlate factor with prices GDP. Findings find that economic structures ...

today one of the major questions in the iranian economy is that do liquidity injected into the economy more effected productive activities or speculative activities .this study was conducted to compare the effects of liquidity growth on real sector and assets market bubbles in iranian economy during the period 1994(2)-2012(1). for this purpose, price index of four major assets in iranian econom...

This paper investigates the presence of speculative bubbles in Scandinavian countries namely Denmark, Finland, Norway, and Sweden over period from 1980Q1 to 2018Q4 searches for evidence bubble migration among those countries. First, we apply GSADF test developed by Phillips et al. (2015) on quarterly housing price-to-rent ratios exuberance episodic bubbles. Subsequently, examine between these m...