BazEkon - Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie

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Autor
Czupryna Marcin (Uniwersytet Ekonomiczny w Krakowie / Kolegium Ekonomii, Finansów i Prawa), Oleksy Paweł (Uniwersytet Ekonomiczny w Krakowie / Kolegium Ekonomii, Finansów i Prawa)
Tytuł
Rational Speculative Bubbles in the Fine Wine Investment Market
Źródło
Kwartalnik Kolegium Ekonomiczno-Społecznego Studia i Prace / Szkoła Główna Handlowa, 2015, nr 3, t. 3, s. 159-172, wykr., tab., bibliogr. 17 poz.
Tytuł własny numeru
Rynek kapitałowy
Słowa kluczowe
Bańka spekulacyjna, Inwestycje, Rynek wina
Economic bubble, Investment, Wine market
Uwagi
summ.
Abstrakt
The paper focuses on detection of rational speculative bubbles in fine wine investment market. Our research was conducted using recursive tests. The chosen method additionally allowed us to set time frames for potential bubbles. The results have shown that speculative bubble episodes appeared between 2006-2007 both in fine wine market and in most of selected traditional stock exchanges. However, only the fine wine market recorded the second wave of speculative bubbles between 2010-2011. (original abstract)
Dostępne w
Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Szkoły Głównej Handlowej w Warszawie
Biblioteka Główna Uniwersytetu Ekonomicznego w Katowicach
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu
Pełny tekst
Pokaż
Bibliografia
Pokaż
  1. Brooks C., Katsaris A., Rational speculative bubbles: an empirical investigation of the London Stock Exchange, "Bulletin of Economic Research" 2003, Vol. 55, No. 4.
  2. Czupryna M., Oleksy P., Development potential of commodity exchanges in CEE region: case study of the polish wine market, Proceedings of the 16th International Scientific Conference Finance and Risk 2014, Vol. 1, Publishing House Ekonóm, Bratislava 2014.
  3. Diba B. T., Grossman H. L, Explosive rational bubbles in stock prices?, "American Economic Review" 1988, Vol. 78, No. 3.
  4. Emekter R., Jirasakuldech B., Went P., Rational speculative bubbles and commodities markets: application of duration dependence test?, "Applied Financial Economics" 2012, Vol. 22, No. 7-9.
  5. Etienne, X. L., Irwin S. H., Garcia P., Bubbles in food commodity markets: Four decades of evidence, "Journal of International Money & Finance" 2014, Vol. 42.
  6. Gutierez L., Speculative bubbles in the agricultural commodity markets, "European Review of Agriculture Economics" 2013, Vol. 40.
  7. Hardouvelis, G. A., Evidence on stock market speculative bubbles: Japan, the United States and Great Britain, "Federal Reserve Bank of New York Quarterly Review" 1988.
  8. Hirst K. K., Wine and its origins - the archaeology and history of wine making. When and where was wine invented?, http://archaeology.about.com, downloaded on 19.03.2015.
  9. Jovanovic B., Bubbles in prices of exhaustible resources, "International Economic Review" 2013, Vol. 54, No. 1.
  10. Kindleberger C. P., Manias, panics, and crashes: a history of financial crashes, 4th ed. Wiley, New York 2000.
  11. Miles J., Investing in fine wine, presentation given at the Family Alternative Investment Conference in London on 10.03.2011, www.liv-ex.com, downloaded on 19.03.2015.
  12. Nielsen B., Analysis of coexplosive processes, "Econometric Theory" 2010, Vol. 26.
  13. Phillips P., Wu Y., Yu J., Explosive behavior in the 1990 s Nasdaq: when did exuberance escalate asset values?, "International Economic Review" 2011, Vol. 52, No. 1.
  14. Phillips P., Yu J., Dating the timeline of financial bubbles during the subprime crisis, Research Collection School Of Economics, Singapore Management University, Singapore 2011.
  15. Pierdzioch C., Kizys R., On the linkages of the stock markets of the NAFTA countries: fundamentals or speculative bubbles?, "International Economic Journal" 2013, Vol. 27, No. 3.
  16. The trillion-dollar convergence: Capturing the next wave of growth in alternative investments, Report of McKinsey&Co., August 2014, www.mckinsey.com, downloaded on 19.03.2015.
  17. Van Norden S., Regime-switching as a test for exchange rate bubbles, "Journal of Applied Econometrics" 1996, No. 11 (3).
Cytowane przez
Pokaż
ISSN
2082-0976
Język
eng
URI / DOI
https://doi.org/10.33119/KKESSiP.2015.3.3.12
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