岭南学术论坛－金融学系列Seminar－Common Bubble Detection in Large Dimensional Financial Systems

第561期岭南学术论坛（金融学系列Seminar）

报告题目：Common Bubble Detection in Large Dimensional Financial Systems

报  告 人：Shuping Shi（Macquarie University，教授）

主  持 人：杨炳铎（中山大学岭南学院，助理教授）

时       间：2020年1月10日（周五）下午14:30-16:00

地       点：岭南堂汪道涵会议室

语       言：英文+中文

Abstract:

Price bubbles in multiple assets are sometimes nearly coincident in occurrence. Such near-coincidence is strongly suggestive of co-movement in the associated asset prices and likely driven by certain factors that are latent in the financial or economic system with common effects across several markets. Can we detect the presence of such common factors at the early stages of their emergence? To answer this question, we build a factor model that includes both I(1) and mildly explosive factors to capture normal and exuberant phases in such phenomena. The I(1) factor models the primary driving force of market fundamentals. The explosive factor models latent forces that underlie the formation of asset price bubbles, which typically exist only for subperiods of the sample. The paper provides an algorithm for testing the presence of and date-stamping the origination of price bubbles determined by latent factors in a large-dimensional system embodying many markets. Asymptotics of the bubble test statistic are given under the null of no common bubbles and the alternative of a common bubble across these markets. We prove consistency of a factor bubble detection process for the origination date of the commmon bubble. Simulations show good finite sample performance of the testing algorithm in terms of its successful detection rates. Our methods are applied to real estate markets covering 89 major cities in China over the period January 2003 to March 2013. Results suggest the presence of three common bubble episodes in what are known as China's Tier 1 and Tier 2 cities over the sample period. There appears to be little evidence of a common bubble in Tier 3 cities.

       欢迎感兴趣的师生参加！

       中山大学岭南学术论坛分经济、金融和管理三个系列，是定期邀请国内外优秀学者前来开展学术交流的平台。每系列每个月定期举办2-3次。目前已经成功举办多期，并得到了各界的高度评价。