References (9)


Citations (4)



When the Bubble is Going to Burst

Jing Chen

University of Northern British Columbia - School of Business

November 1998

There has been constant debate about the predictability of the security markets. We examine the relationship between the prices of a stock and its convertible bond during the Hong Kong stock market bubble of 1997 and its subsequent crash. We find that the price behavior of the share and the convertible bond not only gave a clear signal of the market reversal, but also the minimum range of the market fall. This example offers concrete evidence that the market becomes highly predictable at times and gives us a chance to understand the relationship of the underlying stock and its derivatives during market bubbles.

Number of Pages in PDF File: 20

JEL Classification: G12, G13

Open PDF in Browser Download This Paper

Date posted: December 5, 1998  

Suggested Citation

Chen, Jing, When the Bubble is Going to Burst (November 1998). Available at SSRN: http://ssrn.com/abstract=140766 or http://dx.doi.org/10.2139/ssrn.140766

Contact Information

Jing Chen (Contact Author)
University of Northern British Columbia - School of Business ( email )
Prince George, BC, V2N 4Z9
250-960-6480 (Phone)
250-960-5544 (Fax)
HOME PAGE: http://web.unbc.ca/~chenj/
Feedback to SSRN

Paper statistics
Abstract Views: 4,373
Downloads: 1,148
Download Rank: 12,444
References:  9
Citations:  4

© 2016 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollobot1 in 0.188 seconds