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Detecting speculative bubbles in an IT-intensive stock market

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Abstract

Using a battery of unit root test procedures and cointegration analysis with alternative null hypotheses we find some evidence of speculative bubbles in the Finnish stock market for monthly data on industry portfolio stock prices and returns from the 1990s. When analyzing the time series behavior of stock market prices and returns against the development of certain macroeconomic fundamentals, the bubbles seem to be present especially in the information technology (IT) prices and only during the latter half of the decade. (JEL C22, G12)

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Authors and Affiliations

  1. University of Oulu, Department of Economics, University of Oulu, P.O. Box 4600, FIN-90014, Finland

    Juha Junttila

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  1. Juha Junttila
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Correspondence to Juha Junttila.

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Junttila, J. Detecting speculative bubbles in an IT-intensive stock market. J Econ Finan 27, 166–189 (2003). https://doi.org/10.1007/BF02827217

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