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Exuberance in Historical Stock Prices during the Mississippi and South Seas Bubble Episodes

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Abstract
Applying the methods of Phillips, Shi and Yu (2015, PSY), evidence of exuberance in share prices is confirmed for the Mississippi Company and South Sea Company, and for a number of other 18th century financial organisations, for the first time. There are signs of possible contagion in these historical shares.

Suggested Citation

  • Yang Hu & Les Oxley, 2017. "Exuberance in Historical Stock Prices during the Mississippi and South Seas Bubble Episodes," Working Papers in Economics 17/08, University of Waikato.
    • Handle: RePEc:wai:econwp:17/08
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    File URL: https://repec.its.waikato.ac.nz/wai/econwp/1708.pdf
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    References listed on IDEAS

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    Cited by:

    1. Peter C. B. Phillips & Shuping Shi, 2019. "Detecting Financial Collapse and Ballooning Sovereign Risk," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(6), pages 1336-1361, December.
    2. Yang Hu & Les Oxley, 2017. "Exuberance in British Share Prices during the Railway Mania of the 1840s: Evidence from the Phillips, Shi and Yu Test," Working Papers in Economics 17/09, University of Waikato.
    3. Peter C. B. Phillips, 2017. "Detecting Financial Collapse and Ballooning Sovereign Risk," Cowles Foundation Discussion Papers 3010, Cowles Foundation for Research in Economics, Yale University.
    4. Hu, Yang & Oxley, Les, 2018. "Do 18th century ‘bubbles’ survive the scrutiny of 21st century time series econometrics?," Economics Letters, Elsevier, vol. 162(C), pages 131-134.

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    Keywords

    exuberance; GSADF test; bubble; South Sea; Mississippi;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • N2 - Economic History - - Financial Markets and Institutions

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