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Exuberance in British share prices during the railway mania of the 1840s: Evidence from the Phillips, Shi and Yu Test

Abstract
In this study, we empirically investigate evidence of explosive behaviour in the British share prices of canals, railways and waterworks in the nineteenth century using the right-tailed unit root test of Phillips, Shi and Yu (2015, PSY). Of particular interest to the Railway Mania in the 1840s, our results provide evidence of exuberance in share prices of railways during the most remarkable events in history. In addition, we find signs of exuberance in canals and waterworks share prices. Our findings will be of great interest to both economic historians and scholars who are interested in the rage of speculation in historical share prices during the Railway Mania
Type
Working Paper
Type of thesis
Series
Department of Economics Working Paper Series
Citation
Oxley, L., & Hu, Y. (2017). Exuberance in British share prices during the railway mania of the 1840s: Evidence from the Phillips, Shi and Yu Test (Department of Economics Working Paper Series). Waikato Management School, the University of Waikato.
Date
2017-04
Publisher
Waikato Management School, the University of Waikato
Degree
Supervisors
Rights
© 2017 The Authors