Please use this identifier to cite or link to this item:
Pele, Daniel Traian
Mazurencu-Marinescu, Miruna
Nijkamp, Peter
Year of Publication: 
Series/Report no.: 
Tinbergen Institute Discussion Paper 13-109/VIII
In this paper we investigate the herding behaviour of the Bucharest Stock Exchange (BSE), using log periodic power laws models. By analysing the behaviour of the most speculative index from the Bucharest Stock Exchange, the BET-FI, we are able to demonstrate that Log-Periodic Power Law (LPPL) models are a useful tool for recognizing the behaviour of a stock market bubble, and have good abilities for predicting the critical point of a bubble. From our statistical investigation, it turns out that an iterative calibration of the model for the BET-FI regime leads ex post to a rather accurate forecast of the stock market crash in January 2008. Next, by using the same methodology, the anti-bubble regime from 2008 is used for a statistical fit. We then find an accurate “prediction” of the local point of phase transition on 27 October 2008.
Log-periodic Power Law
Stock Market Bubble
Document Type: 
Working Paper

Files in This Item:
386.64 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.