Determinants of stock price bubbles

Narayan, Paresh Kumar, Mishra, Sagarika, Sharma, Susan and Liu, Ruipeng 2013, Determinants of stock price bubbles, Economic modelling, vol. 35, pp. 661-667.

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Title Determinants of stock price bubbles
Author(s) Narayan, Paresh Kumar
Mishra, Sagarika
Sharma, Susan
Liu, Ruipeng
Journal name Economic modelling
Volume number 35
Start page 661
End page 667
Total pages 7
Publisher Elsevier BV
Place of publication Amsterdam, The Netherlands
Publication date 2013
ISSN 0264-9993
1873-6122
Keyword(s) asset price
bubbles
cross-section
trading volume
volatility
Summary In this paper we propose a cross-sectional model of the determinants of asset price bubbles. Using 589 firms listed on the NYSE, we find conclusive evidence that trading volume and share price volatility have statistically significant effects on asset price bubbles. However, evidence from sector-based stocks is mixed. We find that for firms belonging to electricity, energy, financial, and banking sectors, and for the smallest size firms, trading volume has a statistically significant and positive effect on bubbles. We do not discover any robust evidence of a statistically significant effect of share price volatility on bubbles at the sector-level.
Language eng
Field of Research 150202 Financial Econometrics
Socio Economic Objective 910299 Microeconomics not elsewhere classified
HERDC Research category C1 Refereed article in a scholarly journal
HERDC collection year 2013
Copyright notice ©2013, Elsevier
Persistent URL http://hdl.handle.net/10536/DRO/DU:30057078

Document type: Journal Article
Collection: School of Accounting, Economics and Finance
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