@article{SpeculativeBehaviour:734,
      recid = {734},
      author = {van Norden, Simon and Schaller, Huntley},
      title = {Speculative Behaviour, Regime-Switching and Stock Market  Crashes},
      publisher = {Bank of Canada},
      address = {1996},
      pages = {1 online resource (60 pages)},
      abstract = {This paper uses regime-switching econometrics to study  stock market crashes and to explore the ability of two very  different economic explanations to account for historical  crashes. The first explanation is based on historical  accounts of "manias and panics." Its key features are that  "overvaluation" increases the probability and expected size  of a crash. Using U.S. data for 1926-89, we find  considerable support for this model's predictions. The  second explanation is based on switches in fundamentals.  Simulations show that switching fundamentals can cause  markets to mimic speculative behaviour. However, switches  in fundamentals do not coincide with most stock market  crashes.},
      url = {http://www.oar-rao.bank-banque-canada.ca/record/734},
      doi = {https://doi.org/10.34989/swp-1996-13},
}