文献类型：期刊文献

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

作者：Zhou, Wei-Xing[2,3,4,5];Sornette, Didier[1]

机构：[1]ETH, Dept Management Technol & Econ, Chair Entrepreneurial Risks, CH-8032 Zurich, Switzerland;[2]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[3]E China Univ Sci & Technol, Sch Sci, Shanghai 200237, Peoples R China;[4]E China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[5]E China Univ Sci & Technol, Res Ctr Syst Engn, Shanghai 200237, Peoples R China

年份：2009

卷号：388

期号：6

起止页码：869

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20090311863943);WOS:【SSCI(收录号:WOS:000263401700011)，SCI-EXPANDED(收录号:WOS:000263401700011)】；

基金：We are grateful to Franco Busetti for providing us with the data. This work was partly supported by the National Natural Science Foundation of China (Grant No. 70501011), the Fok YingTong Education Foundation (Grant No. 101086), the Program for New Century Excellent Talents in University (Grant No. NCET-07-0288), and the Alfred Kastler Foundation in France.

语种：英文

外文关键词：Econophysics; Financial bubble; Super-exponential acceleration; Log-periodicity; Power-law singularity; African common stocks

摘要：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. (C) 2008 Elsevier B.V. All rights reserved.