The Stock Market: Bubbles, Volatility, and Chaos Proceedings of the
Gerald P. Dwyer, Jr. and R. W. Hafer The articles and commentaries included in this volume were presented at the Federal Reserve Bank of St. Louis' thirteenth annual economic policy conference, held on October 21-22, 1988. The conference focused on the be
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The Stock Market: Bubbles, Volatility, and Chaos Proceedings of the Thirteenth Annual Economic Policy Conference of the Federal Reserve Bank of St. Louis edited by Gerald P. Dwyer, Jr. Clemson University and Federal Reserve Bank of St. Louis and
R. W. Hafer Southern Illinois University at Edwardsville and Federal Reserve Bank of St. Louis
Springer Science+Business Media, LLC
Library of Congress Cataloging-in-Publication Data Economic Palicy Conference of the Federal Reserve 8ank of St Louis (13th:1988 Federal Reserve Bank 01 SI. Louis) The stock market: bubbles, volatility, and chaos' proceedings of the Thirteenth Annual Economic Pallcy Conference of the Federal Reserve Bank 01 SI. Louls / edlted by Gerald P. Dwyer, Jr and R. W Haler p cm. Conlerence held 10/21-22/88. ISBN 978-90-481-5781-5
DOI 10.1007/978-94-015-7881-3
ISBN 978-94-015-7881-3 (eBook)
1. Stocks-Prices-United States-Congresses Gerald P. II. Haler, R. W (Rlk W) HG4915.E33 1988 332.63 '222' 0973-dc20
III. Title
Dwyer, 89-11150 CIP
COPYright © 1990 by Springer Science+Business Media New York Originally published by Kluwer Academic Publishers in 1990 Softeover reprint ofthe hardcover 15t edition 1990 AII rights reserved. No part of thls publicatlon may be reproduced, stored in a retrieval system ar transmltted In any tarm or by any means, mechanlcal, photocoPYlng, record Ing, ar otherwlse, wlthout the prior written permisslon of the publisher, Springer Science+Business Media, LLC.
Contents
Contributing Authors Acknowledgments
vii xi
1
Introduction Gerald P. Dwyer, Jr. and R. W. Hafer
2
Bubbles and Stock-Price Volatility Behzad T. Diba
9
Commentary by Robert P. Flood, Jr.
27
3
Do Fundamentals, Bubbles, or Neither Explain Stock Prices? Some International Evidence Gerald P. Dwyer, Jr. and R. W. Hafer
31
Commentary by George M. von Furstenberg and Bang Nam Jeon
69
4 Economic and Financial Data as Nonlinear Processes
81
James B. Ramsey
Commentary by W. Davis Dechert
135
5
Statistical Analysis of Price and Basis Behavior: October 12-26, 1987, S&P 500 Futures and Cash Eugene Moriarty, J. Douglas Gordon, Gregory Kuserk, and George Wang
141
Commentary by Lawrence Harris Commentary by Bradford Cornell
171 175
v
VI
THE STOCK MARKET: BUBBLES, VOLATILITY, AND CHAOS
6
The Swiftness of Divine Retribution and Its Tendency to Mistake its Target: An Analysis of the Brady Report David D. Haddock
179
Commentary by Kenneth Lehn
196
Contributing Authors
Bradford Cornell
Anderson Graduate School of Management University of California-Los Angeles 405 Hilgard Avenue Los Angeles, California 90024
W. Davis Dechert Department of Economics University of Houston 4800 Calhoun Road Houston, Texas 77004
Behzad T. Diba Department of Economics Georgetown University 37th and 0 Streets, N.W. Washington, D.C. 20057
Gerald P. Dwyer, Jr. Department of Economics Clemson University Clemson, South Carolina 29631
Robert P. Flood, Jr. Research Department International Monetary Fund 700 19th Street, NW. Washington, D.C. 20431
J. Douglas Gordon O
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