Log-periodic power law bubbles in Latin-American and Asian markets and correlated anti-bubbles in Western stock markets: An empirical study
Log-periodic power law bubbles in Latin-American and Asian markets and correlated anti-bubbles in Western stock markets: An empirical study
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发表时间：
1999-07
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通讯作者：
A. Johansen;D. Sornette
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作者：
A. Johansen;D. Sornette
22个重要的泡沫，随后的大崩溃或严重的调整，在阿根廷，巴西，智利，墨西哥，秘鲁，委内瑞拉，香港，印度尼西亚，韩国，马来西亚，菲律宾和泰国股市指数被确定和分析的对数周期签名装饰的平均幂律加速度。我们发现，对数周期的幂律充分描述了这些新兴市场的投机泡沫，很少有例外，从而大大扩展了适用性的泡沫和崩溃的建议理性预期模型，以前已开发的主要金融市场在世界上。该模型基本上由崩溃风险率控制，由于交易者的集体模仿/羊群行为而变得至关重要。此外，三个泡沫之后是一个对数周期的“反泡沫”，以前记录了日本日经指数从1990年1月开始的衰退和黄金价格从9月开始的衰退。1980年，从而呈现出泡沫与反泡沫在市场见顶日期前后的质的对称。一组二级西方股票市场指数（伦敦，悉尼，奥克兰，巴黎，马德里，米兰，苏黎世）以及香港股票市场也表现出良好的相关性对数周期幂律反泡沫在6-15个月的一系列危机引发的新兴市场在1994年初。由于美国市场在这一时期开始时下跌不超过10美元，并迅速恢复，这表明这些较小的股票西方市场可以“锁相”（在弱意义上），不仅因为华尔街的过度影响，而且独立于华尔街目前的趋势，由于其他影响。
Twenty-two significant bubbles followed by large crashes or by severe corrections in the Argentinian, Brazilian, Chilean, Mexican, Peruvian, Venezuelan, Hong-Kong, Indonesian, Korean, Malaysian, Philippine and Thai stock markets indices are identified and analysed for log-periodic signatures decorating an average power law acceleration. We find that log-periodic power laws adequately describe speculative bubbles on these emerging markets with very few exceptions and thus extend considerably the applicability of the proposed rational expectation model of bubbles and crashes which has previously been developed for the major financial markets in the world. This model is essentially controlled by a crash hazard rate becoming critical due to a collective imitative/herding behavior of traders. Furthermore, three of the bubbles are followed by a log-periodic ``anti-bubble'' previously documented for the decay of the Japanese Nikkei starting in Jan. 1990 and the price of Gold starting in Sept. 1980 thus rendering a qualitative symmetry of bubble and anti- bubble around the date of the peak of the market. A set of secondary western stock market indices (London, Sydney, Auckland, Paris, Madrid, Milan, Zurich) as well as the Hong-Kong stock market are also shown to exhibit well-correlated log-periodic power law anti-bubbles over a period 6-15 months triggered by a rash of crises on emerging markets in the early 1994. As the US market declined by no more than $10\%$ during the beginning of that period and quickly recovered, this suggests that these smaller stock western markets can ``phase lock'' (in a weak sense) not only because of the over-arching influence of Wall Street but also independently of the current trends on Wall Street due to other influences.