Tan, Sook-Rei, Li, Changtai, and Chia, Wai-Mun (2024) Behavioral Heterogeneity in the Japanese and US Stock Markets. The Singapore Economic Review. (In Press)

PDF (Publisher Accepted Version) - Published Version Restricted to Repository staff only

Abstract

Using monthly stock prices and exchange rate of Japan and the US from June 1980 to December 2019, we identify episodes of boom/bubble and bust/crash in these stock markets by comparing their market prices with their respective fundamental values. We then examine the price dynamic of the two stock markets and foreign exchange market using a three-market heterogeneous agent model with fundamentalists and chartists. Our results suggest that the degree of behavioral heterogeneity is greater in the boom/bubble regime than that of the bust/crash regime. We also confirm that behavioral heterogeneity and cross market trades prevail only during boom/bubble period which is consistent with existing literature of 1986–1991 Japanese asset price bubble.

Item ID:	72753
Item Type:	Article (Research - C1)
ISSN:	1793-6837
Keywords:	Stock bubble; behavioral heterogeneity; multi-market interaction; regime switching VAR; Markov switching VAR
Copyright Information:	© World Scientific Publishing Company
Date Deposited:	20 Sep 2022 23:35
FoR Codes:	38 ECONOMICS > 3801 Applied economics > 380199 Applied economics not elsewhere classified @ 100%
SEO Codes:	15 ECONOMIC FRAMEWORK > 1502 Macroeconomics > 150299 Macroeconomics not elsewhere classified @ 100%
Downloads:	Total: 6
	More Statistics