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Speculative bubbles and the real estate market application of the sequential ADF test

Speculative bubbles and the real estate market application of the sequential ADF test when compared with the functional reality of the financial market. It was unable to account for the events which shook financial centres worldwide, namely the 1929 and the 1987 market crises till the 2008 sub-prime crises. All of these are only examples of intrinsic abnormalities mainly due to speculative madness. The economic and financial Copyright © 2015 Inderscience Enterprises Ltd. literature then cast doubt on the relevance of market efficiency theory on which it so heavily depended historically. Understanding market inefficiency meant looking for new explications. Many theorists, such as Blanchard and Watson (1982), Evans (1991), Diba and Grossman (1987), Froot and Obstfeld (1991), and Ikeda and Shibata (1992), explain financial market inefficiencies and more specifically share price volatility by the speculative bubble theory. Thereby, with the failure of the efficient market hypothesis, speculative bubbles started to form and develop in the financial and home markets more than two decades ago almost undetected. The spread of these bubbles to financial markets has since attracted the interests of numerous economic researchers who have been yet unable to reach a consensus and a unanimous interpretation. This phenomenon appears as the most treated concern in economics. The notion of the speculative http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png American Journal of Finance and Accounting Inderscience Publishers

Speculative bubbles and the real estate market application of the sequential ADF test

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References (25)

Publisher
Inderscience Publishers
Copyright
Copyright © 2015 Inderscience Enterprises Ltd.
ISSN
1752-7767
eISSN
1752-7775
DOI
10.1504/AJFA.2015.072592
Publisher site
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Abstract

when compared with the functional reality of the financial market. It was unable to account for the events which shook financial centres worldwide, namely the 1929 and the 1987 market crises till the 2008 sub-prime crises. All of these are only examples of intrinsic abnormalities mainly due to speculative madness. The economic and financial Copyright © 2015 Inderscience Enterprises Ltd. literature then cast doubt on the relevance of market efficiency theory on which it so heavily depended historically. Understanding market inefficiency meant looking for new explications. Many theorists, such as Blanchard and Watson (1982), Evans (1991), Diba and Grossman (1987), Froot and Obstfeld (1991), and Ikeda and Shibata (1992), explain financial market inefficiencies and more specifically share price volatility by the speculative bubble theory. Thereby, with the failure of the efficient market hypothesis, speculative bubbles started to form and develop in the financial and home markets more than two decades ago almost undetected. The spread of these bubbles to financial markets has since attracted the interests of numerous economic researchers who have been yet unable to reach a consensus and a unanimous interpretation. This phenomenon appears as the most treated concern in economics. The notion of the speculative

Journal

American Journal of Finance and Accounting – Inderscience Publishers

Published: Jan 1, 2015

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