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DETECTING MULTIPLE BUBBLES IN INTERNATIONAL STOCK MARKETS WITH RECURSIVE FLEXIBLE WINDOWS
2018
Journal:  
Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi
Author:  
DOI:  
10.24889/ifede.452513
Abstract:

In this paper, we try to examine the multiple rational bubbles in several developed and emerging stock markets. We employ the generalized sup augmented Dickey-Fuller (GSADF) test on the monthly dividend yield series of 39 stock markets for the period from January 2002 to April 2017. This econometric framework allows us to date-stamp the multiple rational bubbles and furthermore outperforms the standard unit root tests through its recursive flexible estimation window. The empirical results strongly confirm the existence of rational bubbles in most of the analyzed stock markets. Finally, it was found out that the rational bubbles in the stock markets occurred around the 2007-08 global financial turmoil.

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Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi

Field :   Sosyal, Beşeri ve İdari Bilimler

Journal Type :   Ulusal

Metrics
Article : 238
Cite : 1.226
2023 Impact : 0.056
Details
Dokuz Eylül Üniversitesi İşletme Fakültesi Dergisi