BUBBLE PREDICTION AND COMPARATIVE ANALYSIS OF EMERGING AND MATURE MARKETS

Finance & Accounting Research Journal

View Publication Info
 
 
Field Value
 
Title BUBBLE PREDICTION AND COMPARATIVE ANALYSIS OF EMERGING AND MATURE MARKETS
 
Creator Lee, Hyang
Park, Jungyoung
 
Subject Technical Indicator
Bias
Stock Market Bubbles
 
Description By analyzing the financial bubbles, it can be observed that every bubble burst causes financial turmoil and severe economic recession. The paper utilize the technical analysis indicators for providing warning conditions for predicting the stock market bubbles. The significance of the technical analysis indicators are that they can provide early warning system for financial crisis and can help in avoiding such problems. We applied the early warning technical indicators to the stock market of US, South Korea, Brazil, China, Germany, and Japan for the period of 1995 to 2018. We also made comparison of the bubble warning conditions of emerging markets and the mature markets. The standard bubble warning conditions include K value 90, Bias 10%, and RSI value of 90.  Empirical results shows that mature market shows less degree of volatility and lowering the warning baseline can improve the accuracy of bubble predictions. Furthermore, results shows that mature markets bursting time is about 6 months while in emerging market, the time is reduced to only 3 months. These results also indicate that mature market has good antirisk ability compare to the emerging markets.
 
Publisher Fair East Publishers
 
Date 2020-06-22
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier http://fepbl.com/index.php/farj/article/view/100
 
Source Finance & Accounting Research Journal; Vol. 2 No. 1 (2020); 22-31
2708-6348
2708-633X
 
Language eng
 
Relation http://fepbl.com/index.php/farj/article/view/100/272
 
Rights Copyright (c) 2020 Hyang Lee, Jungyoung Park
https://creativecommons.org/licenses/by-nc/4.0
 

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