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Bubbles During Covid-19 Period: Evidence from the United States Using the Generalized Sub ADF Test

Author

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  • Chang Tsangyao

    (Department of Finance, Feng Chia University, Taichung, Taiwan)

  • Hsu Chen-Min

    (CTBC Business School, Tainan, Taiwan)

  • Wang Mei-Chih

    (Department of Finance, Providence University, Taichung, Taiwan)

Abstract

This study applies the generalized sub ADF (GSADF) tests to investigate whether bubbles exist in the United States markets over the period of 2015-2019, focusing on the COVID-19 period. We use daily Dow-Jones stock price indexes for the first time during the time period of 2015/1/7-2020/3/17. Empirical results demonstrate the existence of bubbles in the US stock market during some sub-sample time periods. Especially important, we find the third bubble begins from 2020/2/26 and grows gradually, not bursting until recently, a situation that is ongoing in the US market. Our results have important policy implications for investors who attempt to invest in the US stock market

Suggested Citation

  • Chang Tsangyao & Hsu Chen-Min & Wang Mei-Chih, 2021. "Bubbles During Covid-19 Period: Evidence from the United States Using the Generalized Sub ADF Test," HOLISTICA – Journal of Business and Public Administration, Sciendo, vol. 12(1), pages 49-56, April.
    • Handle: RePEc:vrs:hjobpa:v:12:y:2021:i:1:p:49-56:n:4
    DOI: 10.2478/hjbpa-2021-0005
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