An Application Of Generalised Johansen-Ledoit-Sornette (GJLS) Model To Detect Size Of Rational Speculative Bubble In DJIA Stock Market During Year 1997

摘要

Abstract: Rational speculative bubble can be defined as transient upward movements of stock prices above fundamental value due to speculative investors. The Generalised Johansen-Ledoit-Sornette (GJLS) model have been developed as a flexible tool to identify the size of rational speculative bubble. This model is combines the economic theory of rational expectation bubbles with finite-time singular crash hazard rates, behavioural finance on imitation and herding of investors and traders as well as mathematical statistical physics of bifurcations and phase transitions. It has been employed successfully to a large variety of stock bubbles in many different markets. The purpose of this study is to prediction bubble size of DJIA during economic crisis 1997.