The Stock Market: Bubbles, Volatility, and Chaos / Edition 1

by G.P. Dwyer, R.W. Hafer

Overview

Gerald P. Dwyer, Jr. and R. W. Hafer The articles and commentaries included in this volume were presented at the Federal Reserve Bank of St. Louis' thirteenth annual economic policy conference, held on October 21-22, 1988. The conference focused on the behavior of asset market prices, a topic of increasing interest to both the popular press and to academic journals as the bull market of the 1980s continued. The events that transpired during October, 1987, both in the United States and abroad, provide an informative setting to test alter­ native theories. In assembling the papers presented during this conference, we asked the authors to explore the issue of asset pricing and financial market behavior from several vantages. Was the crash evidence of the bursting of a speculative bubble? Do we know enough about the work­ ings of asset markets to hazard an intelligent guess why they dropped so dramatically in such a brief time? Do we know enough to propose regulatory changes that will prevent any such occurrence in the future, or do we want to even if we can? We think that the articles and commentaries contained in this volume provide significant insight to inform and to answer such questions. The article by Behzad Diba surveys existing theoretical and empirical research on rational bubbles in asset prices.

Product Details

ISBN-13:	9789048157815
Publisher:	Springer Netherlands
Publication date:	12/10/2010
Edition description:	Softcover reprint of hardcover 1st ed. 1990
Pages:	201
Product dimensions:	5.98(w) x 8.78(h) x 0.36(d)

Table of Contents

1 Introduction.- 2 Bubbles and Sk-Price Volatility.- 3 Do Fundamentals, Bubbles, or Neither Explain Sk Prices? Some International Evidence.- 4 Economic and Financial Data as Nonlinear Processes.- 5 Statistical Analysis of Price and Basis Behavior: October 12–26, 1987, S&P 500 Futures and Cash.- 6 The Swiftness of Divine Retribution and Its Tendency to Mistake Its Target: An Analysis of the Brady Report.

Editorial Reviews

Six articles and related commentaries from the conference of October 1988 explore the issues of asset pricing and financial market behavior from several perspectives. The crash in asset market prices that transpired during October 1987, both in the US and abroad, provided the setting to test alternative theories. Annotation c. Book News, Inc., Portland, OR (booknews.com)

Booknews

'In conclusion, the book should provide an important contribution to the libraries of those interested in crash- related research on asset pricing and financial markets.' Southern Economic Journal 59:3 1993

From the Publisher