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

See all articles by Jamie Alcock

Jamie Alcock

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

Angelo Aspris

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

Stephen Satchell

The University of Sydney

Danika J. Wright

The University of Sydney - Discipline of Finance

Reuben Segara

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

Juan Yao

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

Date Written: November 7, 2018

Abstract

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

Suggested Citation

Alcock, Jamie and Aspris, Angelo and Satchell, Stephen and Wright, Danika J. and Segara, Reuben and Yao, Juan, Testing Price Bubbles in Australian Listed Equities and A-REIT Markets (November 7, 2018). The Australasian Journal of Applied Finance, Issue 3(Article 2): 9-16, 2019, Available at SSRN: https://ssrn.com/abstract=3592040

Jamie Alcock

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

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

Stephen Satchell

The University of Sydney ( email )

University of Sydney
Sydney, NSW 2006
Australia

Danika J. Wright (Contact Author)

The University of Sydney - Discipline of Finance ( email )

P.O. Box H58
Sydney, NSW 2006
Australia

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

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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