Publication: A Study of Speculative Bubbles in Financial and Real Estate Markets using Hilbert-Huang Transform
| dc.contributor | 荷世平 | en |
| dc.contributor.author | Leong, Pui Fan | en |
| dc.creator | Leong, Pui Fan | en |
| dc.date | 2006 | en |
| dc.date.accessioned | 2007-11-25T18:48:31Z | |
| dc.date.accessioned | 2018-07-09T17:21:47Z | |
| dc.date.available | 2007-11-25T18:48:31Z | |
| dc.date.available | 2018-07-09T17:21:47Z | |
| dc.date.issued | 2006 | |
| dc.description.abstract | The recent bull markets around the world have led many academics and practitioners to predict if there exist asset price bubbles. To judge whether there is an asset price bubble, economist usually use a model of the fundamental value to check the existence of bubbles. Since the fundamental value is related to the future expectation and uncertainty of the market, economists sometimes define bubbles differently. Due to the difficulties associated with the assessment of the fundamental value, one can hardly detect bubbles using a standard model. Therefore, our main question in this study is “What is the difference between bubbles and regular fluctuations (market fundamental value) of stock markets and real estate markets?” Using the Augmented Dickey-Fuller (ADF) unit root test, we find that the stock market indexes are non-stationary. Furthermore, many empirical results suggest that the economic behavior, like investors’ attitudes toward risk and expected return, are nonlinear. The Hilbert-Huang Transform (HHT) which is developed by Huang et al. (1998) is a new method that can better study both nonlinear and nonstationary data. Using HHT, this paper seeks to answer whether there is a significant difference between market fundamentals and speculative bubbles and how to identify the signals that can detect the formation and crash of economic bubbles. A valid signal for detecting bubbles can help investors or government monitor the health condition and anomalies of real estate and financial markets and prevent major economic losses. | en |
| dc.description.tableofcontents | Abstract i Table of Contents ii List of Tables iv List of Figures v Chapter 1 Introduction 1 1.1 Motivation and Objective 1 1.2 Organization of the Thesis 2 Chapter 2 Literature Reviews 3 2.1 Theoretical Background of Bubbles and Noise Trading 3 2.1.1 Rational Bubbles 3 2.1.2 Irrational Bubbles 5 2.1.3 Noise Trading 6 2.2 Financial applications of HHT 8 Chapter 3 Methodology 10 3.1 Testing for Nonstationarity 10 3.1.1 Dickey-Fuller Test 10 3.1.2 Augmented Dickey-Fuller Test 11 3.2 Hilbert Huang Transform 12 3.2.1 Empirical Mode Decomposition 12 3.2.2 Hilbert Spectral Analysis 17 Chapter 4 Empirical Results and Analyses 19 4.1 Data Description 19 4.2 The Empirical Results of Unit Root Test 20 4.3 US Stock Internet Bubble in 1990s 21 4.3.1 Introduction 21 4.3.2 Cases Description 22 4.3.3 Empirical Results of HHT in US Stock Market 23 4.3.4 Conclusions 35 4.4 Japan Stock Market in 1980s 36 4.4.1 Introduction 36 4.4.2 Case Description 36 4.4.3 Empirical Results of HHT in Japan Stock Market 37 4.4.4 Conclusions 40 4.5 Taiwan Stock Market in 1980s 41 4.5.1 Introduction 41 4.5.2 Case Description 41 4.5.3 Empirical Results of HHT in Taiwan Stock Market 42 4.5.4 Conclusions 45 4.6 Hong Kong Real Estate Market in 1990s 46 4.6.1 Introduction 46 4.6.2 Case Description 46 4.6.3 Empirical Results of HHT in Hong Kong Real Estate Market 47 4.6.4 Conclusions 50 Chapter 5 Conclusions and Suggestions 51 5.1 Conclusions 51 5.2 Further Studies 52 Bibliography 53 | en |
| dc.format.extent | 1450448 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.identifier | en-US | en |
| dc.identifier.uri | http://ntur.lib.ntu.edu.tw//handle/246246/50197 | |
| dc.identifier.uri.fulltext | http://ntur.lib.ntu.edu.tw/bitstream/246246/50197/1/ntu-95-R93521705-1.pdf | |
| dc.language | en-US | en |
| dc.language.iso | en_US | |
| dc.relation.reference | 1. Black, F. (1986). "Noise." J.Finance, 41(3, Papers and Proceedings of the Forty-Fourth Annual Meeting of the America Finance Association, New York, New York, December 28-30, 1985), 529-543. 2. Blanchard, O. J., and Watson, M. W. (1982). "Bubbles, Rational Expectations and Financial Markets." NBER Working Papers no. 945 . 3. Chan, H. L., Lee, S. K., and Woo, K. Y. (2001). "Detecting rational bubbles in the residential housing markets of Hong Kong." Economic Modelling, 18(1), 61-73. 4. Diba, B. T., and Grossman, H. I. (1988). "Explosive Rational Bubbles In Stock Prices?" The American Economic Review, 78(3), 520. 5. Dickey, D. A., and Fuller, W. A. (1979). "Distribution of the Estimators for Autoregressive Time Series With a Unit Root." Journal of the American Statistical Association, 74(366), 427-431. 6. Fama, E. F. (1991). "Efficient Capital Markets: II." J.Finance, 46(5), 1575-1617. 7. Flood, R. P., and Garber, P. M. (1980). "Market Fundamentals versus Price-Level Bubbles: The First Tests." Journal of Political Economy, 88(4), 745-770. 8. Grossman, S. J., and Stiglitz, J. E. (1980). "On the Impossibility of Informationally Efficient Markets." Am.Econ.Rev., 70(3), 393. 9. Huang, N. E., and Attoh-Okine, N. O. (2005). The Hilbert-Huang transform in engineering. Taylor & Francis, New York. 10. Huang, N. E., and Shen, S. S. (2005). Hilbert-Huang transform and its applications. World Scientific, Hackensack, N.J. 11. Huang, N. E., Man-Li Wu, Wendong Qu, Long, S. R., and Shen, S. S. P. (2003). "Applications of Hilbert–Huang transform to non-stationary financial time series analysis." Applied Stochastic Models in Business & Industry, 19(3), 245-268. 12. Huang, N. E., Shen, Z., and Long, S. R. (1999). "A New view of Nonlinear Water Waves: The Hilbert Spectrum." Annu.Rev.Fluid Mech., 31(1), 417. 13. Huang, N. E., Shen, Z., Long, S. R., Wu, M. C., Shih, H. H., Zheng, Q., Yen, N., Tung, C. C., and Liu, H. H. (1998). "The Empirical Mode Decomposition and the Hilbert Spectrum for Nonlinear and Non-Stationary Time Series Analysis." Proceedings: Mathematical, Physical and Engineering Sciences, 454(1971), 903-995. 14. Kindleberger, C. (1978). Manias, Panics, and Crashes: A History of Financial Crises. Palgrave, Great Britain, 4th edition, 2002. 15. Leroy, S. F., and Porter, R. D. (1981). "The Present-Value Relation: Tests Based on Implied Variance Bounds." Econometrica (Pre-1986), 49(3), 555. 16. Lucas, R. E. (1978). "Asset Prices in an Exchange Economy." Econometrica (Pre-1986), 46(6), 1429. 17. Rilling, G., Flandrin, P., and Goncalves, P. (2003). "On empirical mode decomposition and its algorithms." Pro. IEEE-EURASIP Workshop on Nonlinear Signal and Image Processing(NSIP-03). 18. Said, S. E., and Dickey, D. A. (1984). "Testing for Unit Roots in Autoregressive- Moving Average Models of Unknown Order." Biometrika, 71(3), 599-607. 19. Shiller, R. J. (1981). "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?" Am.Econ.Rev., 71(3), 421-436. 20. Shiller, R. J. (1989). Market volatility. MIT Press, Cambridge, Mass. 21. Shiller, R. J. (2000). Irrational exuberance. Princeton University Press, Princeton, N.J. 22. Shleifer, A., and Summers, L. H. (1990). "The Noise Trader Approach to Finance." The Journal of Economic Perspectives (1986-1998), 4(2), 19. 23. Siegel, J. J. (1998). Stocks for the long run. McGraw-Hill, New York. | en |
| dc.subject | 希爾伯特-黃轉換 | en |
| dc.subject | 經驗模態 | en |
| dc.subject | 希爾伯特頻譜分析 | en |
| dc.subject | 泡沫現象 | en |
| dc.subject | Hilbert-Huang Transform | en |
| dc.subject | EMD | en |
| dc.subject | HSA | en |
| dc.subject | bubbles | en |
| dc.title | A Study of Speculative Bubbles in Financial and Real Estate Markets using Hilbert-Huang Transform | en |
| dc.type | thesis | en |
| dspace.entity.type | Publication |
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