The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Statistical Interpretation of Economic Bubbles

  • Yeo, In-Kwon (Department of Statistics, Sookmyung Women's University)
  • Received : 2012.08.27
  • Accepted : 2012.11.06
  • Published : 2012.12.31
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Abstract

In this paper, we propose a statistic to measure investor sentiment. It is a usual phenomenon that an asymmetric volatility (referred to as the leverage effect) is observed in financial time series and is more sensitive to bad news rather than good news. In a bubble state, investors tend to continuously speculate on financial instruments because of optimism about the future; subsequently, prices tend to abnormally increase for a long time. Estimators of the transformation parameter and the skewness based on Yeo-Johnson transformed GARCH models are employed to check whether a bubble or abnormality exist. We verify the appropriacy of the proposed interpretation through analyses of KOSPI and NIKKEI.

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References

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