Abstract
In 2016, Eugene Fama mentioned that he wanted a systematic way of identifying and predicting a stock market bubble. This paper develops a statistical method to sequentially monitor the stock market price changes. A new simple boundary function is proposed and asymptotic properties are established. In the empirical application, we successfully detect that the U.S. dot-com bubble occurred around June 1997 using the S&P 500 and Nasdaq indices.
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