Asset price bubbles in the Australian Market

Jamie Alcock, Petra Andrlilkova, Angelo Aspris, Sean Foley, Stephen Satchell, Reuben Segara, Danika Wright, Juan Yao

Research output: Working paper


We explore the prevalence of asset-price bubbles in Australian listed industrial equities and A-REIT markets. In contrast to the US listed stock markets, we find little evidence of asset-price bubbles in historical returns of Australian markets (1992-2016). Our findings are robust to the choice of econometric method and historical data range.
We also provide a review of the literature surrounding asset-pricing bubbles, as well as a review of the econometric identification of asset-price bubbles. In our analysis we note that significant future research is required in the econometric identification of asset-price bubbles. While the existence of asset price bubbles cannot be ruled out, significant advancements in the literature are required before academics
and practitioners can gain any further insight.
Original languageEnglish
Place of PublicationSydney
PublisherThe Centre For International Finance & Regulation
Number of pages154
Publication statusPublished - Jun 2016
Externally publishedYes

Publication series

NameCentre for International Finance & Regulation (CIFR) Research Working Paper Series
PublisherCentre for International Finance & Regulation (CIFR)

Bibliographical note

Working Paper No. 119/2016/ Project T006


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