Coordinated bubbles and crashes

Zheng, Huanhuan

doi:10.1016/j.jedc.2020.103974

Cited by 6 publications

(2 citation statements)

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“…Investors prioritize safety over return during crises, as they become more risk averse (see, for example, Zheng, 2020 ). As a result, economies with a higher probability of sovereign default are less competitive in raising funds during the pandemic crisis.…”

Section: Empirical Analysismentioning

confidence: 99%

Sovereign debt responses to the COVID-19 pandemic

Zheng

2023

Journal of International Economics

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Section: Empirical Analysismentioning

confidence: 99%

Sovereign debt responses to the COVID-19 pandemic

Zheng

2023

Journal of International Economics

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“…The importance of bubbles and crashes in the stock market has always attracted a large amount of interest, given how wealth is created quickly, just to end abruptly when most economists, forecasters, and experts expected the positive trend to continue in an indefinite way (see Harsha and Ismail 2019;Ziemann 2021) for a review on the mechanisms behind bubbles and crashes). Although most of this interest comes from behavioral areas that explore the psychological mechanisms behind such phenomena (e.g., Andraszewicz 2020; Pan 2019), it is not limited to so (e.g., Zheng 2020). In this paper, we adopted an alternative approach, based on Johansen et al (2000) that is considered to have the potential to produce promising results (Harsha and Ismail 2019).…”

Section: Introductionmentioning

confidence: 99%

Log Periodic Power Analysis of Critical Crashes: Evidence from the Portuguese Stock Market

et al. 2022

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The study of critical phenomena that originated in the natural sciences has been extended to the financial economics’ field, giving researchers new approaches to risk management, forecasting, the study of bubbles and crashes, and many kinds of problems involving complex systems with self-organized criticality (SOC). This study uses the theory of self-similar oscillatory time singularities to analyze stock market crashes. We test the Log Periodic Power Law/Model (LPPM) to analyze the Portuguese stock market, in its crises in 1998, 2007, and 2015. Parameter values are in line with those observed in other markets. This is particularly interesting since if the model performs robustly for Portugal, which is a small market with liquidity issues and the index is only composed of 20 stocks, we provide consistent evidence in favor of the proposed LPPM methodology. The LPPM methodology proposed here would have allowed us to avoid big loses in the 1998 Portuguese crash, and would have permitted us to sell at points near the peak in the 2007 crash. In the case of the 2015 crisis, we would have obtained a good indication of the moment where the lowest data point was going to be achieved.

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Responses of FDI to geopolitical risks: The role of governance, information, and technology

Bussy

Zheng

2023

International Business Review

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Coordinated bubbles and crashes

Cited by 6 publications

References 50 publications

Sovereign debt responses to the COVID-19 pandemic

Sovereign debt responses to the COVID-19 pandemic

Log Periodic Power Analysis of Critical Crashes: Evidence from the Portuguese Stock Market

Responses of FDI to geopolitical risks: The role of governance, information, and technology

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