SSRN-Detecting Speculative Bubbles in an IT-intensive Stock Market by Juha-Pekka Junttila

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Detecting Speculative Bubbles in an IT-intensive Stock Market

JUHA-PEKKA JUNTTILA
University of Oulu - Department of Economics

March 2001

Abstract:
Using a battery of simple unit root test procedures with alternative null hypotheses we find some evidence of speculative bubbles in the Finnish stock market for monthly data on industry portfolio returns from the 1990's. The bubbles seem to be present in the information technology (IT) returns and only during years 1997 - 2000. Furthermore, via the use of recursive causality tests we find that the dependence of the Finnish stock market on the development of macroeconomic variables varies significantly for different industry portfolio returns, and the IT-returns would seem to have a strong role in affecting particularly the time series behaviour of monetary variables at the European level, but not on the real side of the economy, neither domestic nor foreign.

Keywords: Bubbles, stock market, macroeconomy, unit roots, causality

JEL Classifications: C22, G12, E44

Working Paper Series

Contact Information for JUHA-PEKKA JUNTTILA (Contact Author)

Email address for JUHA-PEKKA JUNTTILA
University of Oulu - Department of Economics
PO Box 4600
FIN-90014 University of Oulu
Finland
+358-8-553 2916 (Phone)
+358-8-553 2906 (Fax)

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