Technical Report Power law in market capitalization during Dot-com and Shanghai bubble periods

Mizuno, Takayuki  ,  Ohnishi, Takaaki  ,  Watanabe, Tsutomu

2016-07 , Institute of Economic Research, Hitotsubashi University
The distributions of market capitalization in the NASDAQ and Shanghai stock exchanges from 1990 to 2015 have a fat upper tail that follows a power law function. The power law index, which fluctuates around one depending on the economic conditions, became small during the dot-com and Shanghai bubble periods. By using the regression coefficient of random forests for market capitalization and income statement items, we found that net assets are most reflected in market capitalization for companies listed in NASDAQ. The distribution of the price book-value ratio (PBR), which is defined as market capitalization divided by net assets, also got fat during the bubble periods. These results suggest that speculative money was excessively concentrated on specific stocks during such periods.
基盤研究(S) = Grants-in-Aid for Scientific Research (S)

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