Inequality and Risky Asset Bubbles

2016 ◽  
Author(s):  
Julien Bengui ◽  
Toan Phan
Keyword(s):  
Risky Asset ◽  
Asset Bubbles

scholarly journals Financial Contagion: A Tale of Three Bubbles

2021 ◽  
Vol 14 (5) ◽  
pp. 229
Author(s):  
Nathan Burks ◽  
Adetokunbo Fadahunsi ◽  
Ann Marie Hibbert
Keyword(s):  
Spillover Effects ◽  
Financial Contagion ◽  
Housing Crisis ◽  
Market Anomalies ◽  
Volatility Clustering ◽  
Asset Bubbles ◽  
Potential Benefits ◽  
Chinese Markets ◽  
Composite Indexes ◽  
Robust Evidence

The primary purpose of the study is to identify and measure the properties of asset bubbles, volatility clustering, and financial contagion during three recent financial market anomalies that originated in the U.S. and Chinese markets. In particular, we focus on the 2000 DotCom Bubble, the 2008 Housing Crisis, and the 2015 Chinese Bubble. We employ three main empirical methods; the LPPL model to identify asset bubbles, the DCC-GARCH model to measure volatility clustering, and the Diebold-Yilmaz volatility spillover index to measure the level of financial contagion. We provide robust evidence that during the DotCom bubble there was very limited spillover between the S&P 500, the Shanghai, and the Shenzhen Composite Indexes. However, there was significantly more spillover effects in the two more recent crises, i.e., the Housing crisis and the 2015 Chinese Bubble. Together, these results highlight the fact that as financial markets have become more globalized, there are greater levels of volatility transmission and correspondingly fewer potential benefits from international diversification.

A normal inverse Gaussian model for a risky asset with dependence

2012 ◽  
Vol 82 (1) ◽  
pp. 109-115 ◽  
Author(s):  
N.N. Leonenko ◽  
S. Petherick ◽  
A. Sikorskii
Keyword(s):  
Gaussian Model ◽  
Risky Asset ◽  
Inverse Gaussian ◽  
Normal Inverse Gaussian

Growth Optimal Investment Strategy: The Impact of Reallocation Frequency and Heavy Tails

2012 ◽  
Vol 13 (2) ◽  
pp. 228-240 ◽  
Author(s):  
G. Bamberg ◽  
A. Neuhierl
Keyword(s):  
Heavy Tails ◽  
Geometric Mean ◽  
Asymptotic Optimality ◽  
Optimal Investment ◽  
Investment Strategy ◽  
Risky Asset ◽  
Optimal Investment Strategy ◽  
Optimality Properties ◽  
Heavy Tailed ◽  
The Impact

Abstract The strategy to maximize the long-term growth rate of final wealth (maximum expected log strategy, maximum geometric mean strategy, Kelly criterion) is based on probability theoretic underpinnings and has asymptotic optimality properties. This article reviews the allocation of wealth in a two-asset economy with one risky asset and a risk-free asset. It is also shown that the optimal fraction to be invested in the risky asset (i) depends on the length of the basic return period and (ii) is lower for heavy-tailed log returns than for light-tailed log returns.

The Rise of the Super-Rich

2012 ◽  
Vol 77 (5) ◽  
pp. 679-699 ◽  
Author(s):  
Thomas W. Volscho ◽  
Nathan J. Kelly
Keyword(s):  
Trade Openness ◽  
The United States ◽  
Single Equation ◽  
Economic Factors ◽  
Tax Rates ◽  
Real Estate Markets ◽  
Asset Bubbles ◽  
Equation Error ◽  
Short Run ◽  
Income Concentration

The income share of the super-rich in the United States has grown rapidly since the early 1980s after a period of postwar stability. What factors drove this change? In this study, we investigate the institutional, policy, and economic shifts that may explain rising income concentration. We use single-equation error correction models to estimate the long- and short-run effects of politics, policy, and economic factors on pretax top income shares between 1949 and 2008. We find that the rise of the super-rich is the result of rightward-shifts in Congress, the decline of labor unions, lower tax rates on high incomes, increased trade openness, and asset bubbles in stock and real estate markets.

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