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Was There a Bubble in the 1929 Stock Market?

Published online by Cambridge University Press:  03 March 2009

Peter Rappoport  and
Eugene N. White
Peter Rappoport
Affiliation:
Assistant Professor of Economics at Rutgers University
Eugene N. White
Affiliation:
Professor of Economics at Rutgers University and Research Associate of the National Bureau of Economic Research.
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Abstract

In contrast to historical accounts of the boom and crash of the 1929 stock market, recent econometric studies have concluded that there were no bubbles in the American stock market over the past one hundred years. Examining the pricing of loans to stock brokers, we find information on the lenders' perceptions of the future course of stock prices in 1929. From this market, we extract an estimate of the bubble in stock prices. This bubble component contributes significantly to explain stock price behavior, even though standard cointegration tests suggest that there was no bubble in the market.

Type
Articles
Information
The Journal of Economic History , Volume 53 , Issue 3 , September 1993 , pp. 549 - 574
Copyright
Copyright © The Economic History Association 1993

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