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Determinants of stock price bubbles
journal contribution
posted on 2013-01-01, 00:00 authored by Paresh Narayan, Sagarika MishraSagarika Mishra, Susan SharmaSusan Sharma, Ruipeng LiuRuipeng LiuIn 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.
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Journal
Economic modellingVolume
35Pagination
661 - 667Publisher
Elsevier BVLocation
Amsterdam, The NetherlandsPublisher DOI
ISSN
0264-9993eISSN
1873-6122Language
engPublication classification
C1 Refereed article in a scholarly journalCopyright notice
2013, ElsevierUsage metrics
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