Asset Price Bubbles in the Australian Market

Jamie Alcock, Angelo Aspris, Sean Foley, Stephen E. Satchell, Reuben Segara, Juan Yao
2016 Social Science Research Network  
Executive Summary We explore the prevalence of asset-price bubbles in Australian listed industrial equities and A-REIT markets. In contrast to the US listed stock markets, we find little evidence of asset-price bubbles in historical returns of Australian markets . Our findings are robust to the choice of econometric method and historical data range. We also provide a review of the literature surrounding asset-pricing bubbles, as well as a review of the econometric identification of asset-price
more » ... ubbles. In our analysis we note that significant future research is required in the econometric identification of asset-price bubbles. While the existence of asset price bubbles cannot be ruled out, significant advancements in the literature are required before academics and practitioners can gain any further insight.
doi:10.2139/ssrn.2831806 fatcat:f5rtz55trncrthazplgueynccq