Asset Price Bubbles in the Australian Market

154 Pages Posted: 30 Aug 2016

See all articles by Jamie Alcock

Jamie Alcock

The University of Sydney Business School; Centre for International Finance and Regulation (CIFR)

Petra Sinagl

University of Iowa - Department of Finance

Angelo Aspris

University of Sydney - Discipline of Finance; Financial Research Network (FIRN)

Sean Foley

Macquarie University

Stephen E. Satchell

University of Cambridge - Faculty of Economics and Politics

Reuben Segara

University of Sydney Business School; Financial Research Network (FIRN)

Danika J. Wright

The University of Sydney - Discipline of Finance

Juan Yao

University of Sydney - Business School - Finance Discipline; Financial Research Network (FIRN)

Date Written: June 03, 2016

Abstract

We explore the prevalence of asset-price bubbles in Australian listed industrial equities and A-REIT markets. In contrast to the US listed stock markets, we find little evidence of asset-price bubbles in historical returns of Australian markets (1992-2016). Our findings are robust to the choice of econometric method and historical data range.

We also provide a review of the literature surrounding asset-pricing bubbles, as well as a review of the econometric identification of asset-price bubbles. In our analysis we note that significant future research is required in the econometric identification of asset-price bubbles. While the existence of asset price bubbles cannot be ruled out, significant advancements in the literature are required before academics and practitioners can gain any further insight.

Keywords: Asset Price bubbles, Markets

Suggested Citation

Alcock, Jamie and Sinagl, Petra and Aspris, Angelo and Foley, Sean and Satchell, Stephen E. and Segara, Reuben and Wright, Danika J. and Yao, Juan, Asset Price Bubbles in the Australian Market (June 03, 2016). CIFR Paper No. 119/2016, Available at SSRN: https://ssrn.com/abstract=2831806 or http://dx.doi.org/10.2139/ssrn.2831806

Jamie Alcock (Contact Author)

The University of Sydney Business School ( email )

Cnr. of Codrington and Rose Streets
Sydney, NSW 2006
Australia

Centre for International Finance and Regulation (CIFR) ( email )

Level 7, UNSW CBD Campus
1 O'Connell Street
Sydney, NSW 2000
Australia

Petra Sinagl

University of Iowa - Department of Finance ( email )

Iowa City, IA 52242-1000
United States

HOME PAGE: http://andrlikova.com

Angelo Aspris

University of Sydney - Discipline of Finance ( email )

Cnr. of Codrington and Rose Streets
Sydney, NSW 2006
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Sean Foley

Macquarie University ( email )

North Ryde
Sydney, New South Wales 2109
Australia
0417702600 (Phone)

Stephen E. Satchell

University of Cambridge - Faculty of Economics and Politics ( email )

Austin Robinson Building
Sidgwick Avenue
Cambridge, CB3 9DD
United Kingdom
44 (0)1223 335213 (Phone)
44 (0)1223 335475 (Fax)

HOME PAGE: http://www.econ.cam.ac.uk/faculty/satchell/index.h

Reuben Segara

University of Sydney Business School ( email )

Sydney
Australia
+61 2 9351 8790 (Phone)
+61 2 9351 6461 (Fax)

HOME PAGE: http://www.sydney.edu.au/business/about/our-people/academic-staff/reuben-segara.html

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

Danika J. Wright

The University of Sydney - Discipline of Finance ( email )

P.O. Box H58
Sydney, NSW 2006
Australia

Juan Yao

University of Sydney - Business School - Finance Discipline ( email )

P.O. Box H58
Sydney, NSW 2006
Australia
+61 2 93517650 (Phone)
+61 2 9351 6461 (Fax)

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

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