Anatomy of Stock Market Bubbles
Anatomy of Stock Market Bubbles
Anatomy of Stock Market Bubbles
ICFAI Books
An Introduction
György Komáromi
ICFAI BOOKS
The ICFAI University Press
ANATOMY OF STOCK MARKET BUBBLES
Author: György Komáromi
Printed in India
www.icfaipress.org/books
ISBN: 81-314-0408-0
Dedication
To my wife and my daughter
About the Author
György Komáromi.
Contents
4. Summary 95
References 103
Index 111
List of Figures and Tables
I. Different Aspects of Bubbles 1
Figure 1.1: Stock Value if There are no Trading Opportunities 10
Figure 1.2: Stock Value if There are Trading Opportunities 11
Table 1.1: Main Behavioral Patterns in Investors Decisions 18
Table 1.2: Factors Determining the Extent of Price Bubbles
in Laboratory Experiments 27
Figure 1.3: DJIA, NASDAQ and DOT between 1995 and 2001 56
Figure 1.4: Changes in Share Possession of US Households 57
the stock exchange looked more relevant than any financial theory
because seemingly everybody could profit from buying shares.
Stock market analysis became part of the daily routine.
The third part of the book explores the Hungarian stock market
in light of the new bubble criteria and characteristics. Special
attention will be paid to large-scale booms and busts which
occurred in the Budapest Stock Exchange (BSE) at the end of the
1990s, analyzing the underlying reasons. Finally, we aim to provide
an answer to the question whether, assessing the last 8 years of the
Hungarian stock exchange, can we talk about a stock market
bubble?
Different Aspects of Bubbles 1
Different Aspects of Bubbles
pt = ∑ j =1 Et (dt + j )/(1 + r ) j + bt ,
∞
(1.2)
The first factor on the right side of this formula, which is the
discounted present value of dividends, will provide the fundamental
value of the share ( pt* ). The remainder (bt) is a deterministic or
Different Aspects of Bubbles 3
pt = Pt* + bt , (1.3)
½ 0 0 ha ω1
Y 0,5
½ 1 1 ha ω2
½ 1 0 ha ω1
Y 1
½ 1 1 ha ω2
Note: solid arrows indicate backwardation, dotted arrows show trading with
shares, and probability of states p = ½.
worth more than illiquid stock, which, on average, has a price 30%
smaller than listed shares with similar business risk and shareholder
rights (Silber, 1992).
information, “shares are priced correctly”. The basis for the Efficient
Market Hypothesis (EMH) is that the price of a financial asset is
affected by unpredictable future information. Therefore, if prices
reflect available information then they will also be unpredictable,
following random walk. Barberis and Thaler (2002. p.4) illustrate
the two approaches as:
In the past two decades several studies pointed out the theoretical
weaknesses of EMH. The paradox of Grossman and Stiglitz (1980)
states that if a capital market is efficient then gathering information
is in nobody’s interest. Therefore, it is necessary for information
gathering to be costly. Shiller (1981), and Grossman and Shiller
(1981) claimed, on the basis of empirical data, that dividend
volatility alone does not explain the fluctuation of share prices,
which means share price fluctuation is not closely related to
fundamental value. This contradicts the findings of Froot and
Obstfeld (1989), whereby price fluctuation can rationally be
supported by the fluctuation of dividends. Shiller (2000) says
co-movement of dividend and price does not mean a rational
behavior because both might reflect the irrational behavior of the
market. Shiller (1991) investigates an alternative explanation for
the problem which he could not confirm eventually whether the
volatility of expected returns may account for excessive price
Different Aspects of Bubbles 17
Farmer (1999) stresses that such research does not yet have a
sound economic background but it undoubtedly points out some
regularities. For the time being, however, the use of past prices to
predict future ones provides contradictory and irrelevant results.
For instance, Lo, Mamaysky and Wang (2000) found some patterns
of the technical analysis in US financial data but without any
significant explanatory power. All we get here is technical analysis
with a theoretical coating, instead of economic or behavioral
regularities. One dynamically developing branch of the physical
approach, the science of networks, cannot be applied to stock market
analysis efficiently, but a subdomain of it, research on not-random
networks shows promise in terms of mathematical modeling of
collective decision-making (e.g., Barabási 2002).
1.1.5 Conclusions
The previous subchapters discussed asset price bubbles from the
theoretical and practical point of view but we were left facing several
problems. Exact model-making is both the advantage and
disadvantage of the mathematical approach because although this
presents several market characteristics, limiting conditions make it
valid only in some specific context. This is the conclusion of a study
Different Aspects of Bubbles 23
Investors will invariably sell their shares in the future (short sale
constraint) and so they cannot be divided into entrepreneurs and
speculators in the Keynesian sense. These two groups of shareholders
are only separated by differing investment periods. During the
examination of bubbles, therefore, the question is, why do they act
as sellers in the market in a given moment? The second chapter
explores the factors which imply a ceiling for further price rise and
the short term inevitability of a crash.
The effect of the first three factors is stronger and better validated
from a statistical point of view. The first factor increases uncertainty
as participants are less certain about the outcome of the experiment
and they expect (speculate) that the others will not decide rationally.
The second factor also increases uncertainty because the time frame
28 ANATOMY OF STOCK MARKET BUBBLES
1.2.1 Conclusions
The most important result of stock market experiments conducted
in laboratories is that during such an experiment trading conditions
(cash, number of rounds and participants, etc.) can be specified
and the impact of changing them can be tracked.
A parallel between the Dutch tulip bulb case and capital market
assets is one to draw with a caveat but it is certainly useful for
illustrating the phenomenon of speculation. The overpricing or
irrational pricing of tulip bulbs cannot be proven but there are
signs of “dangerous” speculation and trading here, like the increased
risk resulting from leverage or the conceivable co-movement of
different speculative assets. We cannot analyze the impact of
newspaper articles of the time, still we can assume they had played
an indirect role in attracting masses to speculation. However,
negative macroeconomic impact of speculation, the most important
bubble parameter, cannot be verified in this case.
38 ANATOMY OF STOCK MARKET BUBBLES
ensuring profit for the company were not stable, either. Limited
information was available as to the actual economic or agricultural
potential of Louisiana and the existence of large gold reserves was
not verified.
Following the next capital issue, trading was resumed with the
old shares on August 31 and the price fell from 775 pounds to 290
during the next month. Investors lost faith in the South Sea
Company and an increasing number of investors liquidated their
positions, perhaps due to international events, among them being
the collapse of the Mississippi Company. By December, shares were
only worth 140 pounds. The Bubble Act, which filtered out
enterprises based on quixotic ideas (like building a perpetuum
mobile or turning mercury into a forgeable metal), also restricted
the foundation and functioning of other companies created in a
joint-stock format up until 1824. This can probably be considered
as the long-term, harmful economic consequence of the case.
While many see the 1929 crash as the direct result of doggedly
restrictive monetary decisions on part of the Federal Reserve Board,
58 years later another famous collapse, the 1987 crash, was traced
back to altogether different factors. The economic background
behind the boom of the 1980s was Ronald Reagan’s tax-cutting
economic policy which induced growing consumption and
increasing corporate output (Soros 1994). The engine of economic
growth was the government spending and foreign capital flocking
to the US. The corporate sector was flourishing: a merger wave
began, encouraged by favorable regulatory conditions. Junk bonds,
the name referring to an especially high risk attached, became
widespread as a capital market financing method, mainly for
leveraged buy-outs. This was helped by the possibility of tax relief
for corporate bonds, making buy-outs easier and the number of
potential targets higher (Schwert 1992). Stock market prices rose
sharply beginning in the middle of the decade, in line with corporate
takeovers. Trading volume went up as well, while real estate prices
also started to climb. Although Galbraith (1994) in a 1987 article
thought an inevitable collapse was predictable, there is no clear,
widely accepted explanation for the direct cause of the crash.
the US economy does not stand, because this may even be favorable
for other countries. An important piece of news could have been
the admonition by Robert Prechter, an investor known as a “market
guru”, who prompted others to sell. The New York Times published
a price diagram comparing the current boom to that of 1929, raising
the specter of a similar collapse, which indeed happened just a
couple of hours after the paper went into circulation. The literature
is unanimous in concluding that this crash had no long-term
negative macroeconomic impact whatsoever and it was not followed
by a general liquidity crisis. The Federal Reserve Board relaxed its
previous monetary policy, not committing the mistake of 1929.
Still, both the US and international stock markets were characterized
by uncertainty, and changes in economic policy were inevitable.
A drastic change was under way from the middle of the 1990s in
the corporate, governmental and domestic use of information
technology. The market for personal computers experienced dynamic
growth; new companies appeared at the side of long-established IBM,
becoming serious contenders in many market segments. A milestone
in software development was marked by the launch of the Windows
95 operating system, and later the Internet Explorer, by Microsoft.
Corporate application fields for computers also expanded to include
internal networks, databases and integrated planning and controlling
systems. Companies went head over heels to improve their IT-systems
creating strong demand for both hardware and software. This
prompted intensive development in such products and by the
millennium, the performance of microprocessors, computers and
peripheries rose by several orders of magnitude as their price fell to
the fraction of previous levels. The other factors influencing the market
was the Internet. Besides earlier popular tools (gopher, ftp, e-mail),
the emergence of the World Wide Web (WWW), a convenient,
graphics-heavy hyperlinked pages brought along qualitative changes.
The Internet provided a new channel for companies to their consumers
and clients. Full return on related spending was, however, only to be
expected in the long run, with initial investment eating up huge
amounts of money.
100 dollars. 1996 saw a large wave of capital issues, mainly related
to the creation of so-called dotcom-companies with an Internet-
oriented business model. During initial public offerings, a wide
scale of investors had, for the first time, the opportunity to buy a
stake in such companies, providing fuel for later trading. In these
days it was not uncommon to see share prices multiply on their
first day on the floor. In the US capital markets, there were 40
huge IPOs (see details at http://www.ipoinfo.com).
Figure 1.3 shows that these stock indices returned to their 1998
levels by the autumn of 2001, which was still 250 percent higher
than in 1990. The rise and fall of dotcom-shares was more drastic.
The DOT index, calculated from November 13, 1998, representing
the share price evolvement of Internet-related companies, surged
from the initial 254 points to 1333 on March 9, 2000, which is a
more than five-fold increase. By September, 2001, it was a bit more
than one-tenth its peak value, a mere 142 points.
Figure 1.3: DJIA, NASDAQ and DOT between 1995 and 2001
2400%
2200%
2000% DJIA
DJIA
1800%
1600% NASDAQ
NA SDA Q
1400% DOT
DOT
1200%
1000%
800%
600%
400%
200%
0%
Jan-95
Jan-96
Jan-97
Jan-98
Jan-99
Jan-01
Jul-95
Jul-96
Jul-97
Jul-98
Jul-99
Jul-00
Jul-01
Note: For DJIA and NASDAQ 01.02.90 = 100% and for DOT 11.13.98 = 100%
Source: own calculations based on data from finance.yahoo.com
25.0% ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○
20.0% ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○
15.0% ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○
10.0% ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○
5.0% ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○ ○
0.0%
1984 1988 1991 1993 1998 2000
Note: Lighter column = proportion of shareholder households.
Darker column = proportion of shares within net household assets.
Souce: US Department of Commerce (www.census.org).
There is only one case when share price may be clearly overvalued,
and this is the case of investor deception on part of managers fully
aware of the actual situation of the company. The current situation
and future potential of a firm is best judged by the managers who
possess most of the relevant information. The relation of owners and
managers can be described with the agent-principal problem which
occurs because of different information and interests. In line with
Different Aspects of Bubbles 63
The US GDP in the second half of the decade was growing at a rate
on average 1.3 percentage point higher than before, while average
inflation was one percentage point lower than in the preceding four
years (see Bõgel 2002). Stock market price rise was attracting new
buyers to secondary markets but demand for new economy shares
was high in the primary markets, too. Internet-related shares promised
high profits for investors, significantly influencing capital allocation
in the economy. In other words, the fashionable technological sector
sucked capital from other industries. Firms receiving “risk” capital
made huge IT-investments increasing efficiency and contributing in
an important way to the US economic growth. The dominance of a
sector may be harmful, driving investors out of other industries, if
this is coupled by an interest rate hike i.e., a direct increase in corporate
capital cost. Greenspan, as the head of the US monetary policy, was
closely followed by the public ever since his previously mentioned
“irrational exuberance” speech of 1996. His public speeches and
commission appearances as well as the decisions and explanations of
the Federal Reserve Board became the most important pieces of the
US economic news (Shiller 2000). Fund interest rate was lowered
from 5.5 to 4.75 percent in 1998, then in June, August, November,
1999 and February, March, 2000, it was raised by 25 basis point
each, to reach 6 percent. Consumer inflation rate did not change
much in the meantime, and although rate hikes were routinely
accompanied by emphasizing inflationary pressures, the Federal
Reserve Board was ultimately pointing out the overvaluation of stock
markets. As we could see in the above news analysis, share prices fell
significantly in April, 2000, but another rate hike was carried out on
May 16, now by 50 basis points, increasing base rate to 6.5 percent.
Alan Greenspan was “successful” in the sense that DOT and NASDAQ
shares plunged. It is still a matter of debate whether share of some
particular sectors were falling to their “realistic” level, and whether
the burst of the bubble was indeed inevitable.
Different Aspects of Bubbles 65
The US economic growth was 3.1, 2, 5.2 and 7.1 percent in the
quarters of 1999; 2.6, 4.9, 0.6 and 1.1 percent in 2000; however,
the first three quarters of 2001 recorded a negative GDP change
(–0.6%, –1.6%, –0.3%), which, by definition, signaled a recession.
The same was implied by the decline in real asset investments starting
from the fourth quarter of 2000, lasting two years. O’Quinn’s (2003)
analysis prepared for the US Congress Joint Economic Committee
stresses that the 2001 recession, in contrast to post-war crises
stemming from declining consumption, was the result of earlier
mal- and over-investments, for which he offered examples from
telecommunications and media sector companies. Overinvestment
was also found in traditional companies investing in e-business or
e-commerce; software and hardware developments proved precipitate.
One underlying reason was strong competition and the pressure to
outbid rivals. With Internet-firms, it was either a case of failed ideas
or lagging efficiency in production, commerce and application.
Although the rate hikes of the Federal Reserve Board were made on
the premise that overpriced shares caused excessive consumption
creating an inflationary threat, the real long-term danger was
presented by an intergeneration income reallocation and an
inappropriate capital allocation threatening economic growth (Baker
2000). When a new industry becomes dominant, as with the
technological sector at the turn of the millennium, coupled with a
universal stock market boom, conceivably positive effects will
outweigh negative ones in the long run. Dollar-billions flowing
unchecked into dotcom firms went out the window because
innovation financed by them proved to be heading nowhere. A
re-examination a couple of years after the collapse of the Internet
bubble suggests, however, that the experience of unsuccessful
innovations and investments actually did help subsequent advances
in productivity and economic growth (Bishop 2003).
66 ANATOMY OF STOCK MARKET BUBBLES
1.3.5 Conclusions
The conclusion made by literary economics about stock market
bubbles is that their most important feature is the crash. Economists
would hardly speak of a bubble without a collapse of prices. When
financial asset prices sink in a gradual, continuous manner, it is
presumably not a cause but a symptom of an economic recession
or decline. Besides the bubbles presented above, Kindleberger
(2000) discusses another 28 financial crises up to and including
the 1998 Russian case, which were accompanied by stock market
speculation during the last two-and-a-half centuries. Other works
on financial history (e.g., Galbraith 1994) also show that the term
“bubble” is only attached to events with negative macroeconomic
consequences or a crisis. There is no causal relationship, however,
between a crisis and the formation and collapse of a bubble. The
latter may follow or accompany an economic crisis and in some
cases a stock market crash can indisputably deepen a crisis. The
identification of a negative impact is indispensable in order to lend
weight to a bubble. A widespread speculation is basically a way of
wealth reallocation between two investing parties (winners and
Different Aspects of Bubbles 67
“We should answer for a single question: are there more idiots
than stocks, or more stocks than idiots?”
Informational Noninformational
trading noise trading
change may ensue from information that is both general and private,
like positive macroeconomic news modifying an investor’s risk
preference and causing him to withdraw his bank deposits to
increase the proportion of shares in his portfolio. Potential causes
of price change are summarized in the upper half of Figure 2.1.
daily market index yield and the daily yield of a specified number
of shares:
cov t (ri ; rm )
Rt2 = , (2.1)
vart (ri )vart (rm )
Contd...
Fueling investors Development of Large financial
positive attitude infrastructure by government support for
Government. railways.
Signals for the danger Insider trading (connection Leverage (short term
of crash between London Society loans from Europe).
and George Hudson).
Leverage (dividends are
financed by public
offerings).
Crash October 1847 September 1873
Macroeconomic / Suspension of Banking Because of development
regulatory effects Act in 1844. of infrastructure,
Reform in Accounting economic activity
(dividends can be paid increases in western
from profits). states and trade with
eastern states.
Contd...
Signals for the danger Biased analyses (Barings), Leverage, buying shares
of crash insider trading. on margin.
Actions of politics and
economic policy.
Crash November 1890 October 1929
Macroeconomic / Coup detat in Argentina. Glass-Steagall Act,
regulatory effects Restriction of foreign Chinese wall between
investments. (separating) banking and
investment services
(SEC).
Splitting big companies.
Deepening economic
crisis.
Contd...
86 ANATOMY OF STOCK MARKET BUBBLES
Contd...
Program-trading. and expansive economic
policy.
Crash October 1987. December 1997, January
1998.
Macroeconomic / Changes in trading rules. Domino-effects in
regulatory effects Brady-Commission. emerging security
Making buying outs more market.
difficult, less tax benefits. Restrictions of capital
flows.
Contd...
Period 1995-2001
Country USA and developed countries
Speculation on Dotcom companies.
Initial displacement Computerization (PC) in a wide range:
Development of Internet households, firms.
Fueling investors positive New channels of communication.
attitude Cost-efficient and fast trading, marketing, etc.
Signals for the danger Activity of monetary policy.
of crash Frauds and scandals in big firms.
Crash March-April 2000
Macroeconomic / After economic recession, robust economic
regulatory effects growth.
Debates of corporate governance in a wide
range.
Regulation on more transparent investment
decisions.
* Note: Stock market bubbles in Eastern and South Asia, Russia and Brazil were
accompanying events of currency crises. In these countries, stock markets do not play
a great rule like in Anglo-Saxon countries, but the prices of certain shares and market
indexes drive investors’ attention. There were domino effects in related regions and
contagion in other securities. These effects had negative impacts on the FDI to the
regions, and worsened investors’ appreciation.
This table consists some quotations from Galbraith (1994) Kindleberger (2000),
Shiller (2000) and Shleifer (2000).
88 ANATOMY OF STOCK MARKET BUBBLES
!
The Hungarian Case, 1996-2003
the Hungarian exchange. The period between 1996 and 2003 was
more eventful both for BSE and investors, thanks to the privatization
and public listing of previously state-owned companies. In the stock
market, foreign investors encountered a full liberalization which
was soon complemented by the liberalization of the market for
derivatives and Hungarian government securities embodying short
– and long-term debt. Rotyis (2001) believes that these were the
market reasons why the Hungarian securities market became more
internationalized than neighboring markets, more closely
connecting to foreign stock exchanges.
Figure 3.1 shows the change of BUX, the official index of the
BSE between 1996 and 2003. Three distinct periods can be
Source: www.portfolio.hu
80%
70%
60%
50%
40% 12
12 12 12
12 12
1212 12 11 11 11 11 12
30% 12
12121212
12 12 1212 1212
1212
1212 11 1212
1212 1212
1212 1212
1212
12 11
20% 12 1212 12 11 11 11 11 11 12 12 12 12 12 12 11
10% 1212121212121212
12 12 12 1212 12 1212
12 11
11
11 11 11 11
121212
12 12 1212121212
12 12 12
12 11
12
1212
1212
1212
1212
1212
1212
1212
1212
12 1 11 1 1 1 1 12
1212
1212
1212
1212
1212
1212
12 1
0%
Q4 Q2 Q4 Q2 Q4 Q2 Q4 Q2 Q4 Q2 Q4 Q2
1997 1998 1998 1999 1999 2000 2000 2001 2001 2002 2002 2003
Note: The black, grey and white bars show the proportion of foreign, domestic
and individual domestic investor ownership, respectively.
Source: www.mnb.hu
92 ANATOMY OF STOCK MARKET BUBBLES
Note: Dotted line = BUX (maximum = 100%), Thin line = stock co-momement
index, which is the average R2 of linear regression equations of market and
individual share daily returns (Matáv, MOL, OTP, BorsodChem, Egis, Inter-Európa
Bank, Pick, Pannonplast, Prímagáz, Zwack, Richter, TVK, Fotex). Thick line =
5-member moving average of index values.
Source: Own calculation based on price data from www.portfolio.hu.
The Hungarian Case, 1996-2003 93
The end of 1999, start of 2000 boom and bust already happened
at lower investor activity and trading volume. BUX evolution was
by then affected only by foreign events, like the burst of the US
Internet bubble. BSE trade volume fell dramatically in the second
half of 2000 and in 2001 resulting in the further marginalization
of the Hungarian exchange.
"
Summary
also rises, and it may follow from the foregoing that inflation
may accelerate. At micro level, firms may easily obtain quasi-
venture capital when market is soaring. In these periods
investors make decisions on less information or noise. It
may give an impulse to the industry and the economy as
well. Another positive output is when market crash forces
important changes in regulatory environment, and the
efficiency of market may improve. [1.3; 2.2]
(12) If we use the bubble-description of the book, we cannot
classify the Dutch tulip-speculation as a typical bubble.
First reason is that there are no reliable data. Apart from
missing sources, this speculation could not cause any real
effects on the economy or the regulatory environment in
Netherlands. [1.3.1]
(13) Booms at Budapest Stock Exchange (BSE) between 1996
and 2003 are not considered as bubbles. In the Hungarian
stock market, some bubble-phenomena (co-movement of
prices, leverage) can be seen between 1997 and 2000, but
the BSE plays an insignificant role for financing firms or
accumulates savings in Hungary. In this period Hungarian
firms were not active in raising their capital through public
offerings. Other signal that supports the statement above,
is that the stock exchange had not been prerequisite for
foreign capital inflow to Hungary. Some formerly state-
owned companies (e.g., MATÁV, MOL, OTP) became
privatized and stakes were sold directly to foreign investors,
but insignificant activity of domestic investors did not mean
risk-sharing opportunities for them. [3]
References
Allen, F., Morris, S. and Postlewaite, A. (1993): “Finite Bubbles with Short
Sale Constraints and Asymmetric Information”. Journal of Economic Theory
Vol. 26. pp. 201-229.
Bácskai T. (2003): “Bubbles and recession. Allocation, growth and
equilibrium”. Bank and Tõzsde Vol. 11. No. 1. p. 12. (in Hungarian).
Baker, D. (2000): “The Cost of the Stock Market Bubble”. Working paper,
Center for Economic and Policy Research, USA. Nov. 2000.
Banerjee, A. V. (1992): “A Simple Model of Herding Behavior”. Quarterly
Journal of Economics Vol. 107. No. 3. pp. 797-817.
Barabási A.-L. (2002): Linked. First Plume Printing, Penguin Group, NY,
USA, 2003.
Barber, B. M. and Odean, T. (2001): “The Internet and the Investor”.
Journal of Economic Perspectives Vol. 15. No. 1. pp. 41-54.
Barber, B. M., Odean, T. and Zhu, N. (2003): “Systematic noise”. Working
paper, University of California, Davis, USA. Apr. 2003.
Barberis, N., Shleifer, A. and Vishny, R. (1998): “A model of investor
sentiment”. Journal of Financial Economics Vol. 49. pp. 307-343.
Barberis, N., Shleifer, A. and Wurgler, J. (2003): “Co-movement”. Working
paper. Harvard University, USA.
Barberis, N. and Thaler, R. (2001): “A Survey of Behavioral Finance”.
Working paper, Harvard University, USA.
Bishop, M. (2003): “Revenge of Dotcom”. In: The World in 2004 - The
Economist and Magyar Hírlap Special issue Dec. 2003. pp. 72-73. (in
Hungarian)
Black, F. (1986): “Noise”. Journal of Finance Vol. 41. No. 3. pp. 529-543.
Blanchard, O. J. (1979): “Speculative bubbles, crashes and rational
expectations”. Economic Letters Vol. 3. pp. 387-389.
104 ANATOMY OF STOCK MARKET BUBBLES