Herd behaviour, bubbles and crashes
Article Abstract:
The herd behavior observed in speculative markets is analyzed. This contagious phenomenon is also characterized by bubbles which result in price equilibria that are not consonant with essential values. These are but temporary occurrences and cause constant volatility around such values. Expected returns are assumed to be the chief incentive for speculators' tendency to follow the herd.
Publication Name: Economic Journal
Subject: Economics
ISSN: 0013-0133
Year: 1995
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Expected stock returns and volatility in a two-regime market
Article Abstract:
A two-regime switching regression model is developed to study market volatility and excess stock returns. Periods of rising stock market prices is represented in regime 1. Regime 2 is for periods of falling stock market prices. Regime 1 showed no relationship between market volatility and excess returns. Regime 2 showed a significantly negative relationship.
Publication Name: Journal of Economics and Business
Subject: Economics
ISSN: 0148-6195
Year: 1995
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Oil sensitivity and systematic risk in oil-sensitive stock indices
Article Abstract:
The oil sensitivity of equity returns of non-gulf, oil-based countries are compared with that of two major oil-sensitive indexes United States oil and transportation industries. The comparison of oil sensitivity of those returns in relation to their sensitivity to world capital market is examined.
Publication Name: Journal of Economics and Business
Subject: Economics
ISSN: 0148-6195
Year: 2005
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