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Financial Bubbles : New Evidence from South Africa’s Stock Market

Author

Listed:
  • Bago, Jean-Louis
  • Souratié, Wamadini M.
  • Ouédraogo, Moussa
  • Ouédraogo, Ernest
  • Dembélé, Alou

Abstract

We provide new empirical evidence of bubbles timing in the stock market of South Africa. We apply the generalized sup ADF (GSADF) unit root test of Phillips et al. (2015) to monthly share prices from January 1960 to July 2019, to detect explosive behaviors. Results indicate that, overall, South Africa’s stock market has been exuberant during the period 1960-2019. We find strong evidence of three bubble episodes during the periods of April 1968 to July 1969, December 1979 to November 1980 and April 2006 to May 2008 in the stock market of South Africa. The last two bubbles correspond to the 1979 international oil crisis and the 2008 financial crisis suggesting that the south african stock market is still vulnerable to exogenous shocks.

Suggested Citation

  • Bago, Jean-Louis & Souratié, Wamadini M. & Ouédraogo, Moussa & Ouédraogo, Ernest & Dembélé, Alou, 2019. "Financial Bubbles : New Evidence from South Africa’s Stock Market," MPRA Paper 95685, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:95685
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    References listed on IDEAS

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    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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