On the performance of West's bubble test: A simulation approach

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dc.authorid0000-0001-9428-0426
dc.authorid0000-0001-6654-2783
dc.contributor.authorYüksel, Sadettin Aydınen_US
dc.contributor.authorAkdeniz, Leventen_US
dc.contributor.authorAltay Salih, Aslıhanen_US
dc.date.accessioned2015-01-15T23:01:34Z
dc.date.available2015-01-15T23:01:34Z
dc.date.issued2010-12-01
dc.departmentIşık Üniversitesi, İktisadi ve İdari Bilimler Fakültesi, İşletme Bölümüen_US
dc.departmentIşık University, Faculty of Economics and Administrative Sciences, Department of Managementen_US
dc.description.abstractIn this research we examine the ability of West's bubble test [1] in detecting speculative bubbles using Brock's (1982) [2] intertemporal general equilibrium model of asset pricing as the basis for a simulation study. In this setting, (1) the economy, by construction is efficient and produces the maximally possible amount of welfare for society, and (2) asset prices reflect the utility-maximizing behavior of consumers and the profit-maximizing behavior of firms. We find that the West's bubble test flag as "bubbles" in the simulated data yet the data is produced from an economy in which markets are efficient in welfare production.en_US
dc.description.versionPublisher's Versionen_US
dc.identifier.citationYüksel, A., Akdeniz, L. & Altay Salih, A. (2010). On the performance of West’s bubble test: A simulation approach. Applied Mathematics and Computation, 217(7), 3236-3247. doi:10.1016/j.amc.2010.08.056en_US
dc.identifier.doi10.1016/j.amc.2010.08.056
dc.identifier.endpage3247
dc.identifier.issn0096-3003
dc.identifier.issn1873-5649
dc.identifier.issue7
dc.identifier.scopus2-s2.0-78049274078
dc.identifier.scopusqualityQ1
dc.identifier.startpage3236
dc.identifier.urihttps://hdl.handle.net/11729/353
dc.identifier.urihttp://dx.doi.org/10.1016/j.amc.2010.08.056
dc.identifier.volume217
dc.identifier.wosWOS:000283442400032
dc.identifier.wosqualityQ1
dc.indekslendigikaynakWeb of Scienceen_US
dc.indekslendigikaynakScopusen_US
dc.indekslendigikaynakSocial Sciences Citation Index (SSCI)en_US
dc.indekslendigikaynakScience Citation Index Expanded (SCI-EXPANDED)en_US
dc.institutionauthorYüksel, Sadettin Aydınen_US
dc.institutionauthorid0000-0001-9428-0426
dc.language.isoenen_US
dc.peerreviewedYesen_US
dc.publicationstatusPublisheden_US
dc.publisherElsevier science incen_US
dc.relation.ispartofApplied Mathematics and Computationen_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectSpeculative bubble testen_US
dc.subjectPresent value modelen_US
dc.subjectAsset pricingen_US
dc.subjectStock-pricesen_US
dc.subjectIntrinsic bubblesen_US
dc.subjectRational bubblesen_US
dc.subjectModelen_US
dc.subjectFundamentalsen_US
dc.subjectEconomyen_US
dc.subjectTooen_US
dc.subjectCostsen_US
dc.subjectEconomicsen_US
dc.subjectOptimizationen_US
dc.subjectProfitabilityen_US
dc.subjectTestingen_US
dc.subjectAsset pricesen_US
dc.subjectBubble testen_US
dc.subjectGeneral equilibrium modelsen_US
dc.subjectPresent valueen_US
dc.subjectSimulated dataen_US
dc.subjectSimulation approachen_US
dc.subjectSimulation studiesen_US
dc.subjectComputer simulationen_US
dc.titleOn the performance of West's bubble test: A simulation approachen_US
dc.typeArticleen_US
dspace.entity.typePublication

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