Testing for price bubbles in Australia listed equities and A-REIT markets

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.