Was There an Explosive Bubble in U.S. Stock Prices before the Recent Stock Market Crash?

윤기향(플로리다애틀랜틱大)

Abstract

Existing studies on bubbles have been mainly concerned with investigating the stationarity properties of stock prices and dividends using unit-root and cointegration tests. However, the standard tests may not be able to detect an important class of bubbles. We develop a model that relates bubble measures to the Weibull distribution. In recent times there were at least three eruptions and subsequent collapses of seeming bubbles: 1987, 2000, and 2007. Using U.S. monthly data from 1980:1 to 2007:10, we have found that only the boom and crash of 2007 represented a bubble, although our stationarity tests fail to detect the bubble. Our results are in agreement with recent findings reported by Bohl (2003) and Nasseh and Strauss (2004).