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Testing for bubbles in the BRICS stock markets

Author

Listed:
  • Tsangyao Chang
  • Luis Gil-Alana
  • Goodness C. Aye
  • Rangan Gupta
  • Omid Ranjbar

Abstract

Purpose - The purpose of this paper is to investigate whether there exist multiple bubbles in the Brazil, Russia, India, China and South Africa (BRICS) stock markets. Design/methodology/approach - In this study, the authors apply the generalized sup Augmented Dickey-Fuller test, a new recursive test proposed by Phillips Findings - The empirical results indicate that there exist multiple bubbles in the stock markets of the BRICS. Further, the dates of the bubbles also correspond to specific events in the stock markets of these economies. This finding has important economic and policy implications. Originality/value - The authors declare that this paper is original and has not been published by another journal previously.

Suggested Citation

  • Tsangyao Chang & Luis Gil-Alana & Goodness C. Aye & Rangan Gupta & Omid Ranjbar, 2016. "Testing for bubbles in the BRICS stock markets," Journal of Economic Studies, Emerald Group Publishing, vol. 43(4), pages 646-660, September.
  • Handle: RePEc:eme:jespps:v:43:y:2016:i:4:p:646-660
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    References listed on IDEAS

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    Cited by:

    1. repec:eee:finlet:v:26:y:2018:i:c:p:89-94 is not listed on IDEAS
    2. Caspi, Itamar & Graham, Meital, 2018. "Testing for bubbles in stock markets with irregular dividend distribution," Finance Research Letters, Elsevier, vol. 26(C), pages 89-94.
    3. repec:kap:ecopln:v:52:y:2019:i:3:d:10.1007_s10644-018-9230-0 is not listed on IDEAS

    More about this item

    Keywords

    BRICS stock markets; GSADF test; Multiple bubbles; C12; C15; G12; G15;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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