Our research is intended to examine whether it is possible to identify—in the present and in the past—a stock price bubble in Israel’s capital market. To do so, we use econometric tests for identification and monitoring of asset price bubbles. The implementation of the tests on Israeli stock market data poses a challenge, as regular dividend distribution is not typical in this market. In this research, we show that it is possible to implement these tests by using book to market ratio data. Our sample period covers July 1996 through November 2014, and in this period the test results do not unambiguously indicate a bubble in any industry or index in Israel’s stock market.

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