Financial Disclosure and Speculative Bubbles: An International Test of Asymmetry

64 Pages Posted: 30 Oct 2002  

Benjamas Jirasakuldech

University of the Pacific (UOP) - Eberhardt School of Business

Thomas S. Zorn

University of Nebraska at Lincoln - Department of Finance

John M. Geppert

University of Nebraska at Lincoln - Department of Finance

Date Written: September 9, 2002

Abstract

This paper applies two tests of asymmetry to examine if the quality of a country's financial disclosure system affects the likelihood of speculative bubbles. We examine the hypothesis that stock prices of firms in countries with a low level of financial disclsoure are more likely to experience bubbles. The countries, ranked in order of disclosure levels, are the United States, Canada, the United Kingdom, the Netherlands, France, Japan, Germany, and Switzerland (Saudagaran and Biddle (1992)). The findings based on the third-order Markov chain test suggest the presence of asymmetry in dollar-denominated quarterly real returns of Japan, a country with a relatively low level of disclosure. The asymmetric pattern is due to the non-random walk return pattern of Japan. The results based on the time reversibility test indicate that monthly real returns in both dollar-denominated and local currencies of Germany increase slower than they decrease. Such "slow-up and fast-down" dynamic is consistent with the presence of a bubble.

Keywords: financial disclosure, speculative bubbles, tests of asymmetry

JEL Classification: G12, G14, M41, M45

Suggested Citation

Jirasakuldech, Benjamas and Zorn, Thomas S. and Geppert, John M., Financial Disclosure and Speculative Bubbles: An International Test of Asymmetry (September 9, 2002). Available at SSRN: https://ssrn.com/abstract=330080 or http://dx.doi.org/10.2139/ssrn.330080

Benjamas Jirasakuldech (Contact Author)

University of the Pacific (UOP) - Eberhardt School of Business ( email )

3601 Pacific Avenue
Stockton, CA 95211
United States
209-946-2176 (Phone)
209-946-2586 (Fax)

Thomas S. Zorn

University of Nebraska at Lincoln - Department of Finance ( email )

231 CBA
Lincoln, NE 68588-0490
United States
(402) 472-6049 (Phone)

John M. Geppert

University of Nebraska at Lincoln - Department of Finance ( email )

229 CBA
Lincoln, NE 68588-0490
United States
(402) 472-3370 (Phone)

Paper statistics

Downloads
239
Rank
103,999
Abstract Views
1,300