Study of financial bubbles is the extremely important topic in the modern society. Their formation and dramatic bursts are frequently considered to have a massive impact on most of the fields all over the world. Although the literature presents plenty of reviews on bubbles, crashes, and financial crises, the debate is still open even on whether or not bubbles can persist in modern asset markets. The idea of usage of econometric tests to detect these bubbles are not new and can be classified into 6 groups namely, tests based on the variance, tests based on unit root, tests based on regimes, tests based on Johansen-Ledoit-Sornette model, tests based on durations and tests based on neural networks. This paper presents a review of research in these areas of detection and analysis of the financial bubbles.
GalbraithKJ. The great crash 1929. 5 ed. New York: Houghton Mifflin Harcourt Publishing Company, 1997.
2.
KindlebergerCP. Bubbles. In: EatwellJMilgateMNewmanP, eds. The New Palgrave Dictionary of Economics. Cambridge University Press, 1987.
3.
ThompsonEA. The tulipmania: Fact or artifact? Public Choice.2006; 130(1-2): 99-114.
4.
KeynesJM. The General Theory of Employment, Interest, and Money. Amherst, New York: Prometheus books, 1936.
5.
DibaBTGrossmanHI. On the Inception of Rational Bubbles. The Quarterly Journal of Economics.1987; 102(3): 697-700.
6.
Gurukaynak. Econometric tests of asset price bubbles. Journal of Economic Survey.2005; 22: 166-186.
7.
LucasRE. Asset prices in an exchange economy. Econometrica.1978; 46(5): 1429-1445.
8.
HamiltonJDWhitemanCH. The observable implications of self-fulfilling expectations. Journal of Monetary Economics.1985; 16(3): 353-373.
9.
SaidSEDickeyDA. Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order. Biometrika.1984; 71(3): 599-607.
10.
ChangYParkJY. On The Asymptotics Of Adf Tests For Unit Roots. Econometric Reviews.2002; 21(4): 431-447.
11.
WestKD. A Specification Test for Speculative Bubbles. The Quarterly Journal of Economics.1987; 102(3): 553-580.
12.
CampbellJYShillerRJ. The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors. The Review of Financial Studies.1988; 1(3): 195-228.
13.
EvansG. Pitfalls in testing for explosive bubbles in asset prices. American Economic Review.1991; 81(4): 922-930.
14.
LeybourneSJ. Testing For Unit Roots Using Forward And Reverse Dickey-Fuller Regressions. Oxford Bulletin of Economics and Statistics.1995; 57(4): 559-571.
SarnoLTaylorMP. An empirical investigation of asset price bubbles in Latin American emerging financial markets. Applied Economic Letters.2003; 13(7): 635-643.
17.
DoffouA. A Robust test for bubbles in emerging stock markets. Journal Financial and Economic Practice.2004; 3(1): 1-6.
18.
GarinoGSarnoL. Speculative Bubbles in UK.. House Prices: Some New Evidence. Southern Economic Journal.2004; 70(4): 777-795.
19.
PhillipsPCBWuYYuJ. Explosive behavior in the 1990s nasdaq: When did exuberance escalate asset values*. International Economic Review.2011; 52(1): 201-226.
20.
PhillipsPCBShiS-PYuJ. Testing for multiple bubbles: historical episode of exuberance and the collapse in the S&P 500. International Economic Review.2015; 56: 1043-1078.
21.
PhillipsPCBYuJ. Dating the timeline of financial bubbles during the subprime crisis. Quantitative Economics.2011; 2(3): 455-491.
22.
PhillipsPCBShiS-PYuJ. Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500. SSRN Electronic Journal, 2013.
Gómez-GonzálezJEOjeda-JoyaJNRey-GuerraCSicardN. Testing for Bubbles in the Colombian Housing Market: A New Approach. Revista Desarrollo y Sociedad.2015; (75): 197-222.
25.
TsaiSLKungHHHagaKA. Testing for Multiple Bubbles in the 35 Large and Medium Cities of Real Estate Price in China. Theoretical and Applied Economics.2015; 22(4): 275-290.
26.
ArshanapalliBNelsonW. Testing for stock price bubbles: A review of Econometric tools. The International Journal of Business and Finance Research.2016; 10(4): 29-42.
27.
LeeJHPhillipsPC. Asset pricing with financial bubble risk. Journal of Empirical Finance.2016; 38: 590-622.
28.
AraujoPLacerdaGPhillipsPCBShiSP. Test and Detection of Explosive Behaviour for Time Series. 2018; R-Package, https//cran.r-project.org/web/packages/Multiple:Bubbles/MultipleBubbles.pdf.
29.
HarshaSIsmailB. Improved Test For Detecting Explosive Bubbles. Journal of Data Science.2017; 16(3): 495-508.
30.
HarshaSIsmailB. Detecting Speculative Bubble: Power Comparison of Unit Root Tests. International Journal of Statistics and systems.2017; 12(3): 499-507.
31.
GhyselsEPlazziAValkanovRTorousW. Forecasting Real Estate Prices. Handbook of Economic Forecasting.2013; 509-80.
32.
PedersenTQSchutteECM. Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations. 2017; 10 International conference in Computational and Financial Econometrics.
33.
BrooksC. Introductory Econometrics for Finance. 2 ed, Cambridge University Press, 2008.
34.
HamiltonJD. Rational-Expectations Econometric Analysis of Changes in Regime: An Investigation of the Term Structure of Interest Rates. Journal of Economic Dynamics and Control.1988; 12: 385-423.
35.
HamiltonJD. A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica.1989; 57(2): 357-384.
36.
HallSGPsaradakisZSolaM. Detecting periodically collapsing bubbles: a Markov-switching unit root test. Journal of Applied Econometrics.1999; 14(2): 143-154.
37.
NordenSVVigfussonR. Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles? Studies in Nonlinear Dynamics & Econometrics.1998; 3(1): 1-22.
38.
DriffillJSolaM. Intrinsic bubbles and regime-switching. Journal of Monetary Economics.1998; 42(2): 357-373.
39.
BrooksCKatsarisA. Rational Speculative Bubbles: An Empirical Investigation of the London Stock Exchange. Bulletin of Economic Research.2003; 55(4): 319-346.
40.
BialkowskiJPBohlMTStephanPMWisniewskiTP. Is There a Speculative Bubble in the Price of Gold? SSRN Electronic Journal, 2010.
41.
KuoC-JLiY-WLaiL-H. A Robust Set of Indicators for the Financial Stress and Financial Stability: Taiwan’s Case Studies. International Journal of Financial Research.2015; 7(1).
42.
FulopAYuJ. Bayesian Analysis of Bubbles in Asset Prices. Econometrics.2017; 5(4): 1-23.
43.
BalcombeKFraserI. Do bubbles have an explosive signature in markov switching models? Economic Modelling.2017; 66: 81-100.
44.
HigginsMLOfori-AcheampongF. A Markov Regime-Switching Model with Time-Varying Transition Probabilities for Identifying Asset Price Bubbles. International Journal of Economics and Finance.2018; 10(4).
45.
LinLSornetteD. Speculative Influence Network during financial bubbles: application to Chinese stock markets. Journal of Economic Interaction and Coordination.2018; 13(2): 385-431.
46.
SornetteDAndersenJV. A Nonlinear Super-Exponential Rational Model Of Speculative Financial Bubbles. International Journal of Modern Physics C.2002; 13(2): 171-187.
47.
JohansenALedoitOSornetteD. Crashes As Critical Points. International Journal of Theoretical and Applied Finance.2000; 3(2): 219-255.
48.
SornetteD. Why Stock Markets Crash? Critical Events in Complex Financial Systems. Princeton, NJ: Princeton University Press, 2003.
49.
GoldenfeldN. Lectures on Phase Transitions and the Renormalization Group. Frontiers in Physics. Boston: Addison-Wesley, 1992.
50.
SornetteDWoodardRYanWZhouW-X. Clarifications to Questions and Criticisms on the Johansen-Ledoit-Sornette Bubble Model. Physica A.2013; 392(19): 4417-4428.
51.
SornetteDWoodardRZhouW-X. The 2006–2008 oil bubble: Evidence of speculation, and prediction. Physica A: Statistical Mechanics and its Applications.2009; 388(8): 1571-1576.
52.
ZhouW-XSornetteD. Analysis of the Real Estate Market in Las Vegas: Bubble, Seasonal Patterns, and Prediction of the CSW Indexes. Physica A.2008; 387: 243-260.
53.
FryJ. Bubbles and crashes in finance: A phase transition from random to deterministic behaviour in prices. Journal of Applied Research in Finance.2010; 2: 131-137.
54.
JohansenASornetteD. Financial “anti-Bubbles”: Log-Periodicity In Gold And Nikkei Collapses. International Journal of Modern Physics C.1999; 10(04): 563-575.
55.
SornetteDZhouWX. The US 2000–2002 market descent: How much longer and deeper? Quantitative Finance.2002; 2(5): 468-481.
56.
JohansenASornetteDLedoitO. Predicting Financial Crashes using discrete scale invariance. Journal of Risk.1999; 1(4): 5-32.
57.
ChangGFeigenbaumJ. A Bayesian analysis of log-periodic precursors to financial crashes. Quantitative Finance.2006; 6(1): 15-36.
58.
BothmerH-CGVMeisterC. Predicting critical crashes? A new restriction for the free variables. Physica A: Statistical Mechanics and Its Applications.2003; 320: 539-547.
59.
GeraskinPFantazziniD. Everything you always wanted to know about log-periodic power laws for bubble modelling but were afraid to ask. The European Journal of Finance.2013; 19(4): 366-391.
60.
BréeDSChalletDPeiranoPP. Prediction accuracy and sloppiness of log-periodic functions. Quantitative Finance.2013; 13(2): 275-280.
61.
LinLRenRSornetteD. The volatility-confined LPPL model: A consistent model of ‘explosive’ financial bubbles with mean-reverting residuals. International Review of Financial Analysis.2014; 33: 210-225.
62.
FilimonovVDemosGSornetteD. Modified profile likelihood inference and interval forecast of the burst of financial bubbles. Quantitative Finance.2017; 17(8): 1167-1186.
63.
McqueenGThorleyS. Bubbles, Stock Returns, and Duration Dependence. The Journal of Financial and Quantitative Analysis.1994; 29(3): 379-401.
64.
BlanchardOWatsonM. Bubbles, rational expectations and financial markets Crisis in the Economic and Financial Structure. Lexington, MA: Lexington Books;1982.
65.
MokhtarSHNassirAMHassanT. Detecting Rational Speculative Bubbles in the Malaysian Stock Market. International Research Journal of Finance and Economics.2006; 6: 102-115.
66.
HaqueAWangSOyangH. Rational Speculative Bubbles in Chinese Stock Market. International Journal of Applied Economics.2008; 5(1): 85-100.
67.
LehkonenH. Bubbles in China. International Review of Financial Analysis.2010; 19(2): 113-117.
68.
HarshaSIsmailB. Duration Dependence Test to Detect Financial Bubble using Generalized Logistic Hazard Function. International Journal of Finance and Quantitative Methods. 2016; 39(1): 1103-1107.
69.
BagheriMSoltaniATorkiL. Identifying rational speculative bubbles in Tehran stock exchange total index using Neural Network. Applied Mathematics and Engineering Management and Technology.2014; 2(3): 151-157.
70.
AydinADCavdarSC. Prediction of Financial Crisis with Artificial Neural Network: An Empirical Analysis on Turkey. International Journal of Financial Research.2015; 6(4).
71.
MichaelidesPGTsionasEGKonstantakisKN. Financial Bubble Detection: A Non-Linear Method With Application To S&P 500. Munich Personal RePEc Archive.2016; MPRA Paper No. 74477. https//mpra.ub.uni-muenchen.de/74477/.
72.
RistolainenK. Predicting Banking Crises with Artificial Neural Networks: The Role of Nonlinearity and Heterogeneity. The Scandinavian Journal of Economics.2017; 120(1): 31-62.
