Testing Price Bubbles in Australian Listed Equities and A-REIT Markets
The Australasian Journal of Applied Finance, Issue 3(Article 2): 9-16, 2019
Posted: 1 Jun 2020
Date Written: November 7, 2018
Price bubbles are a phenomenon of asset markets that contradicts market efficiency. In this paper we explore the prevalence of asset-price bubbles in Australian listed industrial equities and A-REIT markets. The Australian market is a unique setting to test for price bubbles, given the regular reference to price bubbles in sections of the media and the strength of the financial sector to the overall economy. In contrast to the US stock market, we find little evidence of price bubbles in historical returns of Australian markets (1992- 2016). Our article also provides the reader with a consolidated review of three leading asset price bubble detection methodologies. Our review and results can help investors better understand price dynamics and contribute to policy discussions on financial stability.
Keywords: Price Bubbles, Financial Stability, A-REIT Markets, Detection Methodologies
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