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coursework代寫Stock Prices Market

發布于2020-05-22 作者:留學寫作網 閱讀:
Stock Prices Market

Fundamental Price

The determinants of stock prices are often a matter of debate. Economists and financial market participants hold different views as far as the pricing of an asset is concerned. Economists believe that the price of an asset should equal to the fundamental value, given the assumption of rational behavior and of rational expectations.

Market fundamental is the value of an asset depending on the current and future information about the returns from the asset. Any divergence of the actual price from the fundamental price will give rise to a ‘bubble component’ (Lucas 1978). However Brooks and Katsaris (2002) claimed that in certain periods the fundamental value of an asset seems to be irrelevant in the pricing policy.

On the other hand, financial market participants believe that fundamentals are only part of the price of an asset and extraneous events may well influence the price (Blanchard and Watson 1982). Further economists have overstated their views as there may be rational deviations of price from the fundamental value that is rational bubbles. Also there has been no consensus which view is correct (Allen and Gorton 1993).

北美代写,论文Essay代写,网课代修,Exam代考There are two approaches which can explain the behavior of prices in the equity market during the 1920s, the 1980s and the 1990s. These periods witness market prices growing significantly followed by abrupt market collapses (Brooks & Katsaris 2005). Firstly, there was a non-linear relationship between actual prices and fundamental values. The second approach was that self-fulfilling expectations and speculative bubbles causes the actual price to diverge far away from the fundamental values.

As such studies on the relationship between actual price and fundamental value were important and the indirect test was used to identify the presence of bubbles in the financial data (Shiller 1981). However, the indirect test is not a good approach as it suffers from the problem of interpretation since bubble effects in the stock prices could not be distinguished from the effects of unobservable market fundamentals (Brooks & Katsaris 2005). Also the indirect test is a joint test for the presence of bubbles. It only provide ‘hints’ of there existence (Brooks & Katsaris 2002).

北美代写,论文Essay代写,网课代修,Exam代考For this reason, the direct test which directly tests for the presence of bubbles was developed and adopted (Flood and Garber 1980). Under this particular test, the researcher select the type of bubble that might be present in the data set and examine whether this form of speculative bubble have any explanatory power for stock market returns. Financial Crisis

The crises of Oct 1929 and the Oct 1987 raised several questions regarding market rationality and the relevance of fundamental values. Several researches claim that this movement was of irrational herd behavior. However, the rational bubble theory rejects such a conclusion as investors were being compensated for such a behavior (Brooks and Katsaris 2001).

On the black Thursday 24th Oct 1929, Dow Jones Industrial registered a loss of an average of 39.6% within a week. Wanniski (1978) claims that the correction of stock prices were expected since the presence of bubbles resulted in an overvalued market. The main problem with the bubble is that it will burst at a given time and create a financial panic in the market.

Bubbles

Blanchard and Watson (1982) defined bubbles as the movements in the price, apparently unjustified by information available at the time, taking the form of a rapid increase followed by a burst or at least a sharp decline. A famous example will be the South Sea Bubble whereby the stock value of the South Sea Company rose by over 700% during the first half of 1720. And at the end of 1720, the price fell back to about fifty percent of its value at the start of the year.

Speculative Bubbles

北美代写,论文Essay代写,网课代修,Exam代考Brooks & Katsaris (2003) defined speculative bubble as a persistent, systematic and increasing deviation of prices from their fundamental value defined as the risk-adjusted present value of all expected future cash flows.

北美代写,论文Essay代写,网课代修,Exam代考Boucher (2003) defined speculative bubbles as the difference between the market value of a security and its fundamental value. He classified bubbles into three main categories: rational bubbles, irrational bubbles, fads and noise traders and finally inefficiencies that are due to imperfect and heterogeneous information.

北美代写,论文Essay代写,网课代修,Exam代考Speculative Bubbles are generated when investors amend their information set regarding the future cash flows of an asset. The expected future price will be a good determinant of demand and supply. A positive expected bubbles return will lead to an increase in demand resulting in a deviation from their fundamental values (Brooks & Katsaris 2001).

北美代写,论文Essay代写,网课代修,Exam代考Hamilton (1986) showed that self-fulfilling speculative bubbles may well be formed part of the fundamental value. West 1984 argued that self-fulfilling speculative bubbles may account for the excess volatility of stock prices. Tirole (1982) and Obstfeld and Regoff (1983) showed that a self-fulfilling appreciation of asset prices is difficult to reconcile with optimizing behavior in general equilibrium.

北美代写,论文Essay代写,网课代修,Exam代考The characteristics of the speculative bubble is that of a positive feedback sent to the market from the increasing prices to an increase in investors’ enthusiasm, hence increasing the quantity demanded and finally the price increases. However it should not be ignored that an asset cannot go on increasing in price i.e. at a point in time, the price will be stagnant, and then there may be a negative turn in the sequence of prices and demand (Shiller 2001).

Rational bubble

Rational bubble theory can be defined as an investor acting rationally in inflating prices (Brooks and Katsaris 2001). The theory of rational bubbles shows that even with rational expectations, asset price deviates from the fundamental value. The self-fulfilling expectations about the positive future price increase help the bubbles to grow even faster. Furthermore it can be noted that rational bubbles have explosive conditional expectations implies that a negative rational bubbles component cannot exist, because given free disposal, stockholders cannot rationally expect a stock price to decrease without bound and hence to become negative at a finite future date (Sophia E.Stavrati 2006).

An important factor of the rational bubble is that investors are aware that share prices are inflated however; they believe that there is a high probability that the bubble will grow which will lead to a higher return than expected, as they are compensated for the probability of a market crash. This may be illustrated as the rational behavior of investors whereby they follow the market. As James (2003) put it in his own words, “one may be a fool for buying an asset which is overpriced, one will profit if there are greater fools who will pay even more for the asset”.

北美代写,论文Essay代写,网课代修,Exam代考Historically stock prices have the tendency to rise substantially over an extended period and then fall very quickly. Such movements can be hard to reconcile with the notions of investor rationality and market efficiency. But literature developed in the recent years showed that consistent change of stock prices from the fundamental does not necessarily reflect irrational behavior on the part of the investors. This is so because there is an expectation to hold the asset till the indefinite future and to make a capital gain. Also, stock buyers will only be willing to pay for a higher price than that set by the fundamental if they believe that someone else will subsequently pay a higher price and thus they will be compensated for holding an inflated asset (Koutas 2003).

The existence of bubbles has numerous implications both for the asset and risk management practices and for the authorities in charge of the monetary policy and financial market supervision. In order to avoid a financial crash, bubbles test can be used to identify the risk associated and impose measures in order anticipate the financial crash for e.g. freeze the market to avoid speculation about the share price of an asset. (Sebastien Morin, 2003)

Bubbles Collapse

北美代写,论文Essay代写,网课代修,Exam代考Stochastic bubbles are bubbles that may either survive or collapse in each period (Schaller & Van Norden 1997). The existence of stochastic bubbles means that there are two regimes generating the market, one where the bubble collapses and one where it survives. This factor is taken into account by rational investors when deciding whether or not to hold an asset. For example in the surviving regime, returns should be comparatively high so as to compensate the investor for taking additional risk in terms of the bubble component.

Schaller & Van Norden (1997) showed that bubbles are more likely to collapse when they comprise a large portion of the stock price. Also, in periods where positive bubbles collapses, returns should be negative and the probability of collapse should increase while the bubbles grow larger. An exception to the above will be the case of rational bubbles.

Situation giving rise to bubbles

It is argued below that one of the manifestations of asymmetric information in this context is that asset prices can deviate from their fundamental values and be subject to bubbles. The activities of bad portfolio managers may cause bubbles (Allen and Gorton 1993).

北美代写,论文Essay代写,网课代修,Exam代考They defined the bad portfolio managers as those who do not have the same information set as good portfolio managers. They showed how the bad portfolio managers try to speculate the market and make a capital gain despite knowing that if the bubbles burst, investors will be losing their money that has been invested.

北美代写,论文Essay代写,网课代修,Exam代考Overinvestment and malinvestment may create bubbles in the market. Overinvestment means investing in too many capital assets to meet the required demand. On the contrary, malinvestment means investing in the wrong capital assets to produce goods and services. A most recent example will be Asian Financial Crises 1997.

The Chinese Government injected a lot of assets in the red chips companies in the expectation to increase the share price. The stock price did increase but it did not last for long as a bubble was being created (Jim Saxton 2003). The bubble component caused a financial panic and many other markets suffered from this situation.

A bubble can arise when the actual price is directly related to its own expected rate of change, as normally occurs in asset markets. In this situation, the arbitrary, self-fulfilling expectation of price changes may drive price changes independently of market fundaments and thus being in a state of bubbles (Flood and Garber 1980).

EMH

The concept of bubble is against the Efficient Market Hypothesis (initiated by E. Fama). The deviation of the asset price from the fundamental value caused bt the bubble is often driven by psychological factors. It can be noted that Efficient Market Hypothesis ignores market psychology in the formation of a stock price.

北美代写,论文Essay代写,网课代修,Exam代考Also, the random walk theory is used to test for the efficiency of the market. It implies that stock prices are expected to change randomly and investors cannot forecast the fluctuations. In simple terms, stock prices are not determined by the law of demand and supply. As such the random walk theory contradicts with fundamental analysis. It seems to describe the stock price behavior without considering the fundamental value (Sophia E.Stavrati 2006).

The market is further considered to be not efficient if there exist speculative bubbles in the market. A speculative bubble can be distinguished as a persistent rise in the price of an asset. The initial rise creates forecasts of further rises and attracting new buyers, in general speculators interested in the rise of the price of the asset rather than in its use or its potential incomes (Shiller 2002). Also the fundamental value of a stock is hard to renconcile and furthermore if the bubble last for a long time, the fundamental relation may not be observed except in very long sample periods.

北美代写,论文Essay代写,网课代修,Exam代考The existence of speculative bubbles, when stock prices deviates from the level suggested by market fundamental, does not necessarily violate the rational expectations and efficient market hypothesis. Investors cognizant of market overvaluation are compensated for the risk of the bubble collapsing with the excess positive returns (Waters & Payne 2005).

北美代写,论文Essay代写,网课代修,Exam代考However in order to be able to achieve the above, two conditions should be met. Firstly, there must be restrictions in short selling (Li and Yung 2004) and secondly in the presence of informational asymmetries and market efficiency, the stock prices should be underpriced limiting the ability to capture the market (Ghosh et al 2000).

Further bubble is not a random deviation of price from value, for the law of large numbers suggests that purely random deviations will wash out over time without any necessity of collapse.

北美代写,论文Essay代写,网课代修,Exam代考Nevertheless, if investors have finite time horisons then the resale price of their assets becomes a major determinant of their investment decisions and a bubble can emerge. This is not however sufficient. It has been shown that even with a finite time horizon, a bubble can not exist if expectations are rational, and that is if investors’ forecasts are optimal. Hence, bubbles require both finite time horizons and non optimal forecasting. Stated differently, bubbles require inefficient markets.

Ruling out bubbles

北美代写,论文Essay代写,网课代修,Exam代考Koutas (2003) stated that a firm may rule out bubbles if it imposes a limit on the highest price of the asset. As such once the asset reached the maximum price it can no longer be governed by the market forces which are the most deterministic variable for the price of an asset.

北美代写,论文Essay代写,网课代修,Exam代考Bubbles cannot exist in a model with a finite number of infinite-lived rational agents since they will be rule out as and when they existed (Tirole 1982). For example if an asset price has a bubble component, market participants will short sell the asset, invest some of the proceeds in order to pay for dividend stream and have positive wealth left over. As such the arbitrage would rule out bubbles.

北美代写,论文Essay代写,网课代修,Exam代考Finally he has shown that in the context of an overlapping generations model, a bubble cannot arise when the interest rate exceeds the growth rate of the economy. This is because the bubble would eventually become infinitely large in relation to the wealth of the economy, thus violating some agent’s budget constraint.

北美代写,论文Essay代写,网课代修,Exam代考There is a need to counter bubbles as and when they arise. As bubbles are the causes for financial crashes example include the south sea bubble, Mississippi bubble, the great crash of 1929 and this may disrupt the functioning of the financial market. Banks can counter bubbles through the tools available to them. For instance, by imposing early credit restrictions or by influencing forecasts in way of publishing any overvalued stock. However in order to be able to carry out this task, they need to, first of all, detect the speculative bubbles and detecting these bubbles are not always an easy task.

Two main reasons are:

  • Speculative bubbles definition is somewhat ambiguous and controversial. For example it covers in fact two kinds of bubbles: rational bubbles and irrational bubbles.
  • Speculative bubbles test have some drawbacks. The major drawback is based on the interpretation as the test can sometimes confuse with other phenomenon.

Moreover, bubbles affect the riskiness of the market and it may also contribute to the fluctuations of the macroeconomic variables as it had been the case during the occurrence of the October 1929 Wall Street Crash and the Great Depression. It is interesting to note that bubbles create excess demand in the market while supply remains constant (Rappoport and White 1993). Therefore, in other words, there will be a shortage and this will lead to an increase in the share price.

北美代写,论文Essay代写,网课代修,Exam代考Flood and Hodrick (1986) stated that test should be carried out in the specification of model. Most often the model is not rightly specified which rule out the bubbles despite their very existence. He further demonstrated how the failure of variance bound tests should not be taken as evidence of rational speculative bubbles. Finally he argued that designing a bubble test is hard since the path of a bubble in the data would like some forms of incorrect modeling of agents’ expectations.

北美代写,论文Essay代写,网课代修,Exam代考Mistakes for model specification of intrinsic value of a bubble can be avoided in an experiment in which intrinsic values are controlled as via the experiment it is easier to control the variables but in real life situations it is not always the case.

Boucher (2003) used the classical Engle-Granger cointegration test to test for the presence of bubbles in the US market. He concludes that rational bubbles exist in the market. However the long term relationship should not be ignored as stock prices adhere to fundamentals in the long run and that mechanism is asymmetric. The Convention co-integration test does not take into account the long term relationship.

北美代写,论文Essay代写,网课代修,Exam代考Hassan and Jung-Suk Yu (2006) tested for the presence of rational speculative bubbles for the rapidly growing frontier emerging stock markets (Bangladesh, Cote d’Ivoire, Ecuador, Ghana, Jamaica, Kenya, Mauritius and Trin. & Tobago). The identification of rational bubbles can be important in policy making decisions and international portfolio diversification.

北美代写,论文Essay代写,网课代修,Exam代考They, first of all, used the long established bubble tests (co-integration test, Unit Root test and Variance Ratio test) and found that they did not reject the null hypothesis of bubbles. Finally they use the fractionally-integrated autoregressive-moving average model, denoted ARFIMA, They concluded that using the ARFIMA model they did not find any evidence for the presence of bubbles.

Suraya et al. (2006) used the Duration Dependence Test to test for the existence of bubbles in the Malaysian Stock Market. This duration dependence test builds on the rational dependence. According to the duration dependence method, the probability that a run of positive abnormal ends should decrease with the length of the run (sequence of returns of the same sign) if bubbles exist in the market. The study showed that bubbles were present in the market. However, the pre-crisis period (1994-1996) was bigger than that of the post crisis period (1999 – 2003)

北美代写,论文Essay代写,网课代修,Exam代考Renatas Kizys and Christian Pierdziorch (2007) studied the international linkages of the stock markets of the Central Eastern Europe (CEE) countries. The analysis was based on whether the long-term international linkages of the stock markets of the CEE countries reflect international linkages of fundamentals or international linkages of speculative bubbles.

The results provide evidence about co-integration between speculative bubbles and it was further concluded that the Hungary and Poland were co integrated during the period from 2000 to 2005. On the other hand, for the CEE countries, there have co-integration in the early years of the 20th century but for the period 2004 and 2005, they were not co integrated. This co-integration sound important as the existence of co-integration indicate the presence of bubbles.

 

股票價格市場
基本價格
股票價格的決定因素往往是一個有爭議的問題。經濟學家和金融市場參與者持不同意見,資產的定價。經濟學家認為,資產的價格應該等于基本價值,理性行為和理性預期假設。
市場根本的是資產的價值取決于當前和未來的信息資產的回報。任何實際價格分歧從根本上的價格將產生“泡沫成分” ( 1978年盧卡斯) 。然而,布魯克斯和卡薩利斯(2002)聲稱,在某些時期,資產的基本價值似乎是無關緊要的定價政策。
另一方面,金融市場人士認為,基本面只是其中的一部分資產的價格和外來事件可能影響的價格(布蘭查德和沃森1982年) 。進一步經濟學家夸大了他們的意見,有可能是理性的價格偏差的基本價值,是理性泡沫。還有一直沒有達成共識的觀點是正確的( 1993年艾倫和Gorton ) 。
有兩種方法可以解釋漲價的行為在股市在20世紀20年代, 80年代和20世紀90年代。這些時期證人市場價格增長顯著隨后突然的市場崩潰( 2005年布魯克斯與卡薩利斯) 。首先,有一個的實際數據和基本值之間的非線性關系。第二種方法是自我實現的預期和投機泡沫導致實際價格以遠離的基本價值觀分歧。
因此實際價格和基本值之間的關系的研究是重要的,間接的測試被用來確定的財務數據(希勒, 1981 )中的氣泡的存在。然而,間接的測試是不是一個好方法,因為它詮釋的問題,因為股票價格的泡沫效應可能遭受無法區分不可觀察市場基本面的影響( 2005年布魯克斯與卡薩利斯) 。此外,間接檢測氣泡的存在的聯合試驗。它只能提供有存在的'提示' (布魯克斯和卡薩利斯2002 ) 。
出于這個原因,直接測試氣泡的存在,直接測試制定并通過了(洪水和加伯1980 ) 。在這個特殊的測試,研究人員選擇的類型可能存在的泡沫數據集,并檢查是否這種形式的投機泡沫有任何股市回報率的解釋能力。金融危機
1929年10月和1987年10月的危機提出了幾個問題,關于市場的合理性和相關性的基本價值觀。一些研究聲稱,這項運動的非理性羊群行為。然而,理性泡沫理論拒絕這樣的結論,因為投資者被這樣的行為(布魯克斯和卡薩利斯2001 )補償。
在黑色的1929年10月24日(星期四) ,道瓊斯工業平均39.6%錄得虧損,在一個星期內。萬尼斯基(1978)聲稱校正由于氣泡的存在導致市場高估的股票價格預期。泡沫的主要問題是,它會突然在一個給定的時間,并創建一個金融市場的恐慌情緒。
泡沫
布蘭查德和沃森(1982)定義的泡沫的價格變動時可用的信息,顯然是不合理的,采取的形式的快速增長,其次是爆裂或至少是大幅下降。一個著名的例子是南海泡沫,南海公司的股票價值增長超過700% ,在1720上半年。而在1720年年底,價格回落至約50 %的價值在開始的一年。
投機泡沫
布魯克斯與卡薩利斯(2003)定義的投機泡沫,從他們的基本價值定義為風險調整后的預期未來現金流量的現值作為持久性,系統性和增加的價格偏差。
鮑徹( 2003)定義的證券的市場價值之間的差異,其根本價值的投機泡沫。他歸類泡沫,主要分為三類:理性泡沫,非理性泡沫,時尚和噪音交易者,最后是由于不完善和異構信息的低效。
投資者時,會產生投機泡沫修改其有關資產的未來現金流量的信息集。預期未來價格將是一個很好的需求和供給的決定因素。一個積極的預期氣泡回報將導致需求增加,導致偏離其基本價值(布魯克斯和卡薩利斯2001 ) 。
漢密爾頓(1986)表明,自我實現的投機性泡沫很可能是基本價值的組成部分。 1984年西認為,自我實現的投機泡沫可能占股票價格的過度波動。梯若爾(1982)和(1983) Obstfeld和Regoff的表明,資產價格的升值是一個自我實現的難以調和與一般均衡的優化行為。
投機泡沫的特點是,向市場發出了積極的反饋,從價格上升,增加了投資者的積極性,從而增加需求量,終于提價。然而,它不應該被忽視,資產不能去提高價格,即在某個時間點,價格會停滯不前,那么有可能是負的順序依次在價格和需求(希勒,2001年) 。
理性泡沫
理性泡沫理論可以被定義作為一個投資者理性行事價格膨脹(布魯克斯和卡薩利斯, 2001 ) 。理性泡沫理論表明,即使有理性預期,資產價格偏離基本價值。自我實現的積極預期未來價格上漲的幫助氣泡增長得更快。此外它可以被注意到,理性泡沫有爆炸性的條件期望意味著,一個消極理性的泡沫成分可以不存在,因為自由處置的,股東可以不理性的期望股票價格,以減少不綁定,因此在有限的未來日期負(索菲亞E.Stavrati 2006) 。
理性泡沫的一個重要因素是投資者都知道,股票價格膨脹,但他們相信,有一個高概率的泡沫將增長,這將導致更高的回報而非預期,因為他們進行補償的可能性市場崩潰。投資者據此,他們遵循的是市場的理性行為,可以說明這一點。正如詹姆斯(2003年)把他自己的話說, “可能是一個傻瓜,一個被高估的資產購買,將利潤甚至將支付更多的資產,如果有更大的傻瓜” 。
歷史上股票價格的傾向在較長時間內大幅上升,然后下降非常迅速。這種運動可以是難以調和與投資者的理性和市場效率的概念。但在最近幾年開發的文獻表明,股票的價格從根本上一致的變化并不一定反映部分投資者的非理性行為。這是因為有一個預期持有資產,直到不確定的未來,使資本增益。此外,股民才會相信別人隨后將付出更高的代價,因此,他們將舉行虛增資產( 2003年Koutas )的補償,如果他們愿意支付更高的價格比那一套根本。
氣泡的存在有大量的資產和風險管理實踐,并負責貨幣政策和金融市場監管當局的影響。為了避免金融崩潰,氣泡測試可以用來識別相關的風險,并采取措施,以預測金融危機如市場凍結,以避免資產的股價猜測。 (塞巴斯蒂安·莫蘭, 2003年)
泡沫的破裂
隨機氣泡的氣泡可以生存或折疊在每一個時期(斯凱勒爾范諾登1997 ) 。隨機氣泡的存在意味著有兩個政權產生市場,氣泡崩潰和一個生存。理性的投資者考慮到這個因素,決定是否持有資產。例如尚存政權,回報率應該是比較高的,以補償投資者的泡沫成分方面采取額外的風險。
夏勒范諾登(1997)表明,氣泡更容易,它們包括大部份的股票價格崩潰的時候。此外,在期間積極泡沫崩潰,回報率應該是負的,應該增加,而泡沫崩潰的概率較大增長。上述的例外將是理性泡沫的情況下。
情況引起氣泡
下面有人認為在這種背景下信息不對稱的表現形式之一是,資產價格偏離其基本價值和氣泡。不好的投資組合經理的活動可能會導致氣泡( 1993年艾倫和Gorton ) 。
他們定義了不良的投資組合經理,那些誰沒有良好的投資組合經理設置為相同的信息。他們表現不好的投資組合經理如何揣度市場和資本收益,盡管知道,如果泡沫破滅,投資者將失去他們的錢已投資。
過度投資和不良投資可能在市場上產生氣泡。過度投資是指投資太多的資本性資產,以滿足所需的需求。相反,不良投資是指投資在錯誤的資本資產,以生產商品和服務。一個最近的例子是1997年亞洲金融危機。
期望中的紅籌公司,中國政府注入了大量的資產,以提高股價。股價的確增加了,但它并不會持續很長時間作為泡沫被創建(吉姆·薩克斯頓, 2003) 。泡沫成分造成的金融​​恐慌和許多其它市場出現這種情況。
泡時的實際價格,直接關系到其自身預期的變化率,通常發生在資產市場。在這種情況下,任意的,自我實現的預期價格變動可能會推動價格變動的,獨立的市場基本原理,從而在氣泡的狀態(洪水和加伯1980 ) 。
EMH
泡沫的概念,是對有效市場假說(由E.瑪發起) 。從根本值引起的資產價格的偏差BT的泡沫往往是由心理因素驅動。它可以有效市場假說指出,股票價格的形成,忽略市場心理。
此外,隨機漫步理論是用來測試市場的效率。這意味著,股票價格預計將隨機變化,投資者無法預測的波動。簡單而言,股票價格是無法確定的法律需求和供給。由于這樣的隨機漫步理論的基本分析矛盾。它似乎沒有考慮的基本價值(索菲亞E.Stavrati 2006 )來描述股票價格行為。
市場被進一步認為是效率不高,如果在市場上存在投機泡沫。作為資產價格的持續上升,可以區分投機泡沫。最初的崛起創造預期進一步上升,并吸引新的買家,一般投機者感興趣的資產價格上升,而不是在它的使用價值或潛在的收入( 2002年希勒) 。此外,某只股票的基本價值是難以renconcile并且如果氣泡持續很長一段時間,可能無法觀察到的基本關系,除非在很長的采樣周期。
存在投機泡沫,當股價偏離市場的根本所建議的水平,并不一定違反理性預期和有效市場假說。投資者認識到市場高估多余的正回報( 2005年水域佩恩)泡沫崩潰的風險補償。
不過,為了能夠實現上述兩個條件,應該得到滿足。首先,必須有賣空的限制( 2004年李容) ,其次中存在的信息不對稱和市場效率,限制來占領市場的能力Ghosh等人( 2000年)的股票價格被低估。
進一步的泡沫是不是一個隨機的價格偏差值,大數定律表明,純粹的隨機偏差將洗出隨著時間的推移,沒有任何崩潰的必要性。
不過,如果投資者只有有限的時間horisons ,那么其資產的轉售價格成為其投資決策的主要決定因素,可出現一個氣泡。然而這不是足夠的。它已被證明,即使在有限的時間跨度,一泡就不能存在,如果預期是理性的,那就是,如果投資者的預測是最優的。因此,氣泡需要有限的時間跨度和非最優預測。換句話說,氣泡需要低效率的市場。
排除氣泡
Koutas (2003)指出,一家公司可能排除氣泡,如果最高的資產價格施加了限制。因此一旦資產達到的最高價格,它可以不再受市場的力量是最確定的變量為資產價格的。
氣泡不能存在于一個模型與數量有限的壽命無限理性的代理人,因為它們會被排除,他們存在的時候( 1982年梯若爾) 。例如,如果資產價格有泡沫成分,市場參與者將短期資產出售,投資的部分收益,以支付股息流有正面的財富遺留。由于這種套利將排除氣泡。
最后,他已經表明,在世代交疊模型的背景下,泡沫不會出現當利率超過經濟的增長速度。這是因為泡沫最終將成為無限大的經濟財富關系,從而違反了一些代理的預算約束。
有必要對付氣泡出現時。隨著氣泡的主要原因是金融崩潰的例子包括南海泡沫,密西西比泡沫, 1929年的大碰撞,這可能擾亂金融市場的運作。銀行可以對抗的氣泡通過提供給他們的工具。例如,通過實施早期的信貸限制或影響預報的方式發布任何被高估的股票。不過,為了能夠完成這項任務,他們需要的話,首先,檢測投機泡沫和檢測的這些泡沫并不總是一件容易的事。
主要有兩個原因:
投機泡沫的定義是有點模糊和有爭議的。例如,它覆蓋的泡沫實際上是兩個種:理性泡沫和非理性泡沫。
投機泡沫測試有一些缺點。主要的缺點是基于作為測試有時會混淆等現象的解釋。
此外,氣泡會影響市場的風險性,因為它已經發生在1929年10月華爾街崩盤和大蕭條的情況下,它也可能有助于宏觀經濟變量的波動。有趣的是,要注意的是氣泡創造市場需求過剩而供給保持不變( 1993年Rappoport和白色) 。因此,換句話說,將短缺,這將導致在股價增長。
洪水的Hodrick (1986)指出,試驗應在本說明書中的模型進行。最經常使用的模型不正確地指定規則出泡沫,盡管他們的存在。他還演示了如何方差結合試驗的失敗不應該被視為理性投機泡沫的證據。最后,他認為,一個氣泡試驗設計是很難的,因為泡在數據路徑的想一些不正確的建模形式的代理商的期望。
內在價值的氣泡的模型規范錯誤,可避免在一個實驗中,本征值被控制為通過實驗,是更容易控制的變量,但在現實生活中的情況下,情況并非總是如此。
鮑徹(2003)采用了經典的恩格爾格蘭杰協整檢驗,測試在美國市場泡沫的存在。他得出結論認為,在市場存在理性泡沫。然而,長期的關系不應該被忽略,因為股票價格堅持從長遠來看基本面和機制是不對稱的。 “公約”的協整檢驗不考慮長期合作關系。
哈桑和貞淑玉(2006)的理性投機泡沫的存在,為迅速發展的前沿新興股票市場(孟加拉國,厄瓜多爾,科特迪瓦,加納,牙買加,肯尼亞,毛里求斯和TRIN和多巴哥)測試。理性泡沫的鑒定也很重要,在政策決策和國際投資組合的多樣化。
他們,首先,采用確立已久的泡沫測試(協整檢驗,單位根檢驗和方差比率測試) ,并發現他們沒有拒絕零假設氣泡。最后,他們使用的分數綜合自回歸移動平均模型,記ARFIMA ,他們的結論是使用ARFIMA模型氣泡的存在,他們沒有發現任何證據。
蘇拉婭等。 (2006)使用的持續時間依賴測試,以測試在馬來西亞股市泡沫的存在。此時間依賴性試驗的基礎上理性的依賴。據的持續時間的依賴性的方法,運行正的異常結束的概率應該減少運行(返回相同的符號序列)的長度,如果在市場上存在氣泡。研究表明,氣泡是目前在市場上。然而,金融危機前的時期(1994-1996年)是大于后危機時期(1999 - 2003 )
Renatas Kizys和基督教Pierdziorch的(2007)研究了中東歐( CEE )國家的股市的國際聯系。分析是基于長期的國際聯系的中東歐國家的股市是否反映了國際聯系的基本面或國際投機泡沫的聯系。
關于投機泡沫之間的協整結果提供的證據,并進一步認為,匈牙利和波蘭從2000年至2005年期間共整合。另一方面,中東歐國家,有共同整合在20世紀的最初幾年,但2004年和2005年期間,他們沒有共同整合。重要的,因為存在共整合此協整聲音表示氣泡的存在。
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