Stock prices' interdependence during the South Sea boom and bust

Choudhry, Taufiq

doi:10.1002/ijfe.1640

Cited by 3 publications

(1 citation statement)

References 67 publications

(147 reference statements)

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“…Previous research that has been concerned with the issue of stock market interdependence has employed correlation and cointegration methodology (e.g. Carlos, Moyen, and Hill 2002;Choudhry 2018;Dale, Johnson, and Tang 2005). However, Forbes and Rigobon (2002) showed that the conventional measure of crossmarket correlation to identify contagion is biased upwards and inaccurate because of heteroskedasticity.…”

Section: Introductionmentioning

confidence: 99%

An examination of higher-moment contagion during the South Sea Bubble

Hasan

Gausden

Kume

2021

Applied Economics Letters

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The objective of this paper is to investigate the nature and the direction of the contagion during the episode of the South Sea Bubble. Previous research in this area has adopted a correlation and cointegration approach. In preference, though, we place reliance upon four different tests of linear and higher-moment contagion. From using daily data on the share prices of six companies from December 1719 to January 1721, strong evidence is obtained of contagion when applying coskewness, co-volatility, and co-kurtosis tests.

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Section: Introductionmentioning

confidence: 99%

An examination of higher-moment contagion during the South Sea Bubble

Hasan

Gausden

Kume

2021

Applied Economics Letters

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Analysis of market efficiency and fractal feature of NASDAQ stock exchange: Time series modeling and forecasting of stock index using ARMA-GARCH model

Arashi

Rounaghi²

2022

Futur Bus J

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The multi-fractal analysis has been applied to investigate various stylized facts of the financial market including market efficiency, financial crisis, risk evaluation and crash prediction. This paper examines the daily return series of stock index of NASDAQ stock exchange. Also, in this study, we test the efficient market hypothesis and fractal feature of NASDAQ stock exchange. In the previous studies, most of the technical analysis methods for stock market, including K-line chart, moving average, etc. have been used. These methods are generally based on statistical data, while the stock market is in fact a nonlinear and chaotic system which depends on political, economic and psychological factors. In this research we modeled daily stock index in NASDAQ stock exchange using ARMA-GARCH model from 2000 until the end of 2016. After running the model, we found the best model for time series of daily stock index. In next step, we forecasted stock index values for 2017 and our findings show that ARMA-GARCH model can forecast very well at the error level of 1%. Also, the result shows that a correlation exists between the stock price indexes over time scales and NASDAQ stock exchange is efficient market and non-fractal market.

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Trading Companies and Distribution of Speculative Bubbles within European Commodity and Stock Markets, 17-18 century

Sapuntsov¹

2022

Genesis: Исторические Исследования

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The paper examines the first financial crises based on speculative exchange transactions with overseas goods and securities of trading companies. Based on the study of Tulip mania, as well as the bubble of the South Seas and Mississippi, the features of concluding transactions "for the future" with the supply of assets that do not exist at the moment, the possibility of production or procurement of which was based on skillfully spreading rumors, are described in detail. Attention is paid to the "behavior of the crowd" when, with insufficient regulation on the stock market, the broad masses of the population became participants in exchange trading, investing there not only their own, but sometimes also borrowed assets. The assessment of measures to prevent stock speculation in the context of the abolition of monopoly rights of trading companies and the liberalization of public relations is given. The main conclusion of the author is the dialectical interpretation of speculative crises of the XVII-XVIII centuries as, on the one hand, objectively previously unknown phenomena, for the prevention of which the government did not have enough knowledge and tools. On the other hand, crises became effective tools in carrying out structural transformations in societies of that time, breaking the established foundations, redistributing wealth, stimulating institutional changes, since the adoption of prohibitive measures in relation to speculation on the stock exchange would make it impossible overseas trade and expansion of trading companies abroad, which in fact was accompanied by a profitable robbery of colonies with the corresponding the flow of resources to Europe. Financial crises based on speculation and "air" trading persist to the present and often become global, which, in the author's opinion, is due to the impossibility of introducing total control over new financial instruments for investing abroad and an ambiguous assessment of the profitability of such activities in the future.

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Stock prices' interdependence during the South Sea boom and bust

Cited by 3 publications

References 67 publications

An examination of higher-moment contagion during the South Sea Bubble

An examination of higher-moment contagion during the South Sea Bubble

Analysis of market efficiency and fractal feature of NASDAQ stock exchange: Time series modeling and forecasting of stock index using ARMA-GARCH model

Trading Companies and Distribution of Speculative Bubbles within European Commodity and Stock Markets, 17-18 century

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