Temporal Changes in Shiller's Exuberance Data

12 Pages Posted: 4 Feb 2011 Last revised: 29 Nov 2017

See all articles by Mukul Pal

Mukul Pal

AlphaBlock

Adrian Mitroi

Bucharest Academy of Economic Studies; affiliation not provided to SSRN

Megh Shah

Orpheus Capitals

Date Written: February 3, 2011

Abstract

Robert Shiller’s’ Paper on ‘The Volatility of Stock markets Prices’ published in 1987 uses dividend data and real interest rates to seek evidence that true investment value changes through time sufficiently to justify the price changes. His paper concluded that most of the volatility of the stock market prices appears unexplained. Shiller volatility or fluctuations prove that behavior of markets is not normal. Non normal distribution series is a widely followed proof of inefficiency in prices.

The authors of the current paper reanalyze Shiller’s data not for the change but for rate of change. The rate of change in dividend values, interest rates and market price is used to isolate temporal changes (time durations) defined in days. Though on one side the time duration data illustrate a non normal distribution and confirms Shiller’s non normalcy finding within value (fundamental data) and market data, it opens a larger debate suggesting temporal changes to be the reason for market volatility and inefficiency.

Keywords: Stock market volatility, Temporal Changes, Non Normal Distributions

JEL Classification: G10,11B

Suggested Citation

Pal, Mukul and Mitroi, Adrian and Shah, Megh, Temporal Changes in Shiller's Exuberance Data (February 3, 2011). Available at SSRN: https://ssrn.com/abstract=1754388 or http://dx.doi.org/10.2139/ssrn.1754388

Mukul Pal (Contact Author)

AlphaBlock ( email )

Toronto, Ontario M8Z 2H6
Canada

HOME PAGE: http://www.alphablock.org

Adrian Mitroi

Bucharest Academy of Economic Studies ( email )

affiliation not provided to SSRN

Megh Shah

Orpheus Capitals ( email )

2305, 39 Lonsdale Street
Melbourne, Victoria 3000
Australia
+61426098965 (Phone)

HOME PAGE: http://www.orpheus.asia

Register to save articles to
your library

Register

Paper statistics

Downloads
166
Abstract Views
1,236
rank
176,489
PlumX Metrics