Do 18th century ‘bubbles’ survive the scrutiny of 21st century time series econometrics?

Applying the methods of Phillips et al. (2015, PSY), while considering the possibility of non-stationary volatility (Harvey et al., 2016), evidence of exuberance in share prices is confirmed for the South Sea Company, and established for a number of other 18th century financial organisations, for the first time. The timings of these bubble episodes show signs of possible contagion. •We used the Phillips et al. (2015) approach to test for historical bubbles.•The possibility of non-stationary volatility in the time series was considered using the Harvey et al. (2016) approach.•We confirm, using modern methods the existence of bubbles for the South Sea Company.•A number of other 18th century financial company bubbles were identified for the first time.