Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/152260 
Erscheinungsjahr: 
2017
Schriftenreihe/Nr.: 
BERG Working Paper Series No. 119
Verlag: 
Bamberg University, Bamberg Economic Research Group (BERG), Bamberg
Zusammenfassung: 
After showing that the distribution of the S&P 500's distortion, i.e. the log difference between its real stock market index and its real fundamental value, is bimodal, we demonstrate that agentbased financial market models may explain this puzzling observation. Within these models, speculators apply technical and fundamental analysis to predict asset prices. Since destabilizing technical trading dominates the market near the fundamental value, asset prices tend to be either overvalued or undervalued. Interestingly, the bimodality of the distribution of the S&P 500's distortion confirms an implicit prediction of a number of seminal agent-based financial market models.
Schlagwörter: 
stock market dynamics
bubbles and crashes
chartists and fundamentalists
nonlinear dynamics
bimodality tests
time series analysis
JEL: 
G12
G14
G17
ISBN: 
978-3-943153-38-5
Dokumentart: 
Working Paper

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