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Periodically collapsing bubbles in the South African stock market

Author

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  • Balcilar, Mehmet
  • Gupta, Rangan
  • Jooste, Charl
  • Wohar, Mark E.

Abstract

This paper studies the existence and timing of bubbles in South Africa’s stock market. An empirical model of bubble formation is tested against three competing models of asset price returns that rule out the existence of bubbles. The model controls for nonlinearities inherent in asset price returns by allowing for the existence of multiple regimes. The bubble model fits the data better than the competing models and suggests that the formation and existence of periodically collapsing bubbles are a reality.

Suggested Citation

  • Balcilar, Mehmet & Gupta, Rangan & Jooste, Charl & Wohar, Mark E., 2016. "Periodically collapsing bubbles in the South African stock market," Research in International Business and Finance, Elsevier, vol. 38(C), pages 191-201.
  • Handle: RePEc:eee:riibaf:v:38:y:2016:i:c:p:191-201
    DOI: 10.1016/j.ribaf.2016.04.010
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    Cited by:

    1. repec:eee:riibaf:v:45:y:2018:i:c:p:180-196 is not listed on IDEAS
    2. Chen, Shyh-Wei & Xie, Zixiong, 2017. "Asymmetric adjustment and smooth breaks in dividend yields: Evidence from international stock markets," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 339-354.
    3. Riza Demirer & Guilherme Demos & Rangan Gupta & Didier Sornette, 2017. "On the Predictability of Stock Market Bubbles: Evidence from LPPLS ConfidenceTM Multi-scale Indicators," Working Papers 201752, University of Pretoria, Department of Economics.

    More about this item

    Keywords

    Bubbles; Regime switching; Collapse;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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