Shiryaev, Albert N., Zhitlukhin, Mikhail N. and Ziemba, William T. (2014) Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013. Systemic Risk Centre Discussion Papers (20). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.
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Abstract
We study the land and stock markets in Japan circa 1990 and in 2013. While the Nikkei stock average in the late 1980s and its -48% crash in 1990 is generally recognized as a financial market bubble, a bigger bubble and crash was in the land market. The crash in the Nikkei which started on the first trading day of 1990 was predictable in April 1989 using the bond-stock earnings yield model which signaled a crash but not when. We show that it was possible to use the change point detection model based solely on price movements for profitable exits of long positions both circa 1990 and in 2013.
| Item Type: | Monograph (Discussion Paper) |
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| Official URL: | http://www.systemicrisk.ac.uk/ |
| Additional Information: | © 2014 The Authors |
| Divisions: | Systemic Risk Centre |
| Subjects: | H Social Sciences > HG Finance |
| JEL classification: | G - Financial Economics > G1 - General Financial Markets > G10 - General C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C11 - Bayesian Analysis |
| Date Deposited: | 29 Aug 2014 09:56 |
| Last Modified: | 15 Sep 2023 23:32 |
| Funders: | University of Manchester Economics Department and its Hallsworth Lecture series fund |
| URI: | http://eprints.lse.ac.uk/id/eprint/59288 |
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