A case study of speculative financial bubbles in the South African stock market 2003-2006

作者：Zhou Wei Xing; Sornette Didier^*

来源：Physica A: Statistical Mechanics and Its Applications , 2009, 388(6): 869-880.

DOI：10.1016/j.physa.2008.11.041

• Econophysics
• Financial bubble
• Super-exponential acceleration
• Log-periodicity
• Power-law singularity
• African common stocks

We tested 45 indices and common stocks in the South African stock market for the possible existence of a bubble over the period from January 2003 to May 2006. A bubble is defined by a faster-than-exponential acceleration with significant log-periodic oscillations. These two traits are analyzed using different methods. Sensitivity tests show that the estimated parameters are robust. With the insight of 6 additional months of data since the analysis was performed, we observe that many of the stocks on the South African market experienced an abrupt drop at mid-June 2006, which is compatible with the predicted t(c) for several of the stocks, but not all. This suggests that the mini-crash that occurred around mid-June of 2006 was only a partial correction, which has resumed into a renewed bubbly acceleration bound to end some time in 2007, similarly to what happened in the US market from October 1997 to August 1998.

• 出版日期2009-3-15
• 单位华东理工大学