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Speculative bubbles and the real estate market application of the sequential ADF test


  • Kamel Naoui
  • Amine Bassem


The aim of this paper is to detect the presence of a real estate bubble in the US home market. Inability of classic methods such as stationary tests and co-integration methods to determine explosive behaviour in financial markets was our motivation to use a recent econometric technique developed by Phillips, Shi and Yu. This method is perfectly efficient and is considered as a bubble-detecting algorithm. Our empirical results point to the presence of an explosive behaviour in the data. Therefore, we concluded that the US home market was shaken by several bubbles before the sub-prime crisis.

Suggested Citation

  • Kamel Naoui & Amine Bassem, 2015. "Speculative bubbles and the real estate market application of the sequential ADF test," American Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 4(2), pages 113-128.
  • Handle: RePEc:ids:amerfa:v:4:y:2015:i:2:p:113-128

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