Asset Price Bubbles in the Australian Market
154 Pages Posted: 30 Aug 2016
Date Written: June 03, 2016
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 (1992-2016). 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 bubbles. 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.
Keywords: Asset Price bubbles, Markets
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