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Determinants of stock price bubbles

journal contribution
posted on 01.01.2013, 00:00 authored by Paresh Narayan, Sagarika MishraSagarika Mishra, Susan SharmaSusan Sharma, Ruipeng LiuRuipeng Liu
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.

History

Journal

Economic modelling

Volume

35

Pagination

661 - 667

Publisher

Elsevier BV

Location

Amsterdam, The Netherlands

ISSN

0264-9993

eISSN

1873-6122

Language

eng

Publication classification

C1 Refereed article in a scholarly journal

Copyright notice

2013, Elsevier