Determinants of stock price bubbles

Paresh Kumar Narayan, Sagarika Mishra, Susan Sharma, Ruipeng Liu

Research output: Contribution to journalArticleResearchpeer-review

18 Citations (Scopus)


In this paper we propose a cross-sectional model of the determinants of asset price bubbles. Using 589 firms listed on the NYSE, we find conclusive evidence that trading volume and share price volatility have statistically significant effects on asset price bubbles. However, evidence from sector-based stocks is mixed. We find that for firms belonging to electricity, energy, financial, and banking sectors, and for the smallest size firms, trading volume has a statistically significant and positive effect on bubbles. We do not discover any robust evidence of a statistically significant effect of share price volatility on bubbles at the sector-level.

Original languageEnglish
Pages (from-to)661-667
Number of pages7
JournalEconomic Modelling
Publication statusPublished - Sep 2013
Externally publishedYes


  • Asset price
  • Bubbles
  • Cross-section
  • Trading volume
  • Volatility

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