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Die Aktienhaussen der 80er- und 90er-Jahre: Waren es spekulative Blasen?

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Bohl, M. Die Aktienhaussen der 80er- und 90er-Jahre: Waren es spekulative Blasen?. Credit and Capital Markets – Kredit und Kapital, 36(4), 465-482. https://doi.org/10.3790/ccm.36.4.465
Bohl, Martin T. "Die Aktienhaussen der 80er- und 90er-Jahre: Waren es spekulative Blasen?" Credit and Capital Markets – Kredit und Kapital 36.4, 2003, 465-482. https://doi.org/10.3790/ccm.36.4.465
Bohl, Martin T. (2003): Die Aktienhaussen der 80er- und 90er-Jahre: Waren es spekulative Blasen?, in: Credit and Capital Markets – Kredit und Kapital, vol. 36, iss. 4, 465-482, [online] https://doi.org/10.3790/ccm.36.4.465

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Die Aktienhaussen der 80er- und 90er-Jahre: Waren es spekulative Blasen?

Bohl, Martin T.

Credit and Capital Markets – Kredit und Kapital, Vol. 36 (2003), Iss. 4 : pp. 465–482

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Martin T. Bohl, Frankfurt (Oder)

References

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Abstract

The Stock Market Booms of the 80s and the 90s: Were they Speculative Bubbles?

Relying on a present value model and incorporating a quite general class of processes to model bubble like stock price deviations from the long-run equilibrium we provide empirical evidence of the existence of speculative bubbles in British, German and US stock prices. For this purpose we apply a new non-linear time series technique designed to detect asymmetric short-run adjustments to the longrun equilibrium. The empirical findings support the long-run validity of the present value model. Nevertheless, in the short-run stock prices exhibit bubble like departures from present value prices followed by a crash in all three stock markets under investigation. Hence, the stock price increases in the 80s and 90s may be driven by non-fundamental speculative bubble processes.