This study tested for a single bubble episode in the Nigerian Stock Exchange (NSE) by utilizing monthly data on nominal and real all-share index (ASI) from January 2010 to December 2017. Analysis of data based on Sup Augmented Dickey-Fuller (SADF) test for bubble detection suggested non-existence of a bubble in the NSE between 2010 and 2017. Though there was an indication of one explosive episode in September 2011 at which the Dickey-Fuller statistic lied above the critical values sequence line. However, it was not a bubble but a short deviation from trend. The study also estimated a time-varying long memory parameter, using a fractionally-integrated autoregressive model to check the robustness of the SADF test and it provided further evidence on the absence of a bubble. These findings showed that the behaviour of stock prices was not driven by a bubble in the Nigerian Stock Exchange (NSE). The study, therefore recommended that a time-to-time bubble diagnostic check on the exchange so that symptoms of a bubble can be early detected and managed to avoid losses that may result from the bust.
The continued COVID-19 pandemic has had a significant impact on the global economy, with countries battling to contain the infection’s spread as it continues to affect nearly every country in the globe. We test for possible explosive behavior (excessive disequilibrium) in COVID-19 infection in the top African impacted economies, given the sensitivity and fragility of stock markets to shocks. The study identifies two (2) separate explosive occurrences in Algeria and Egypt using the Generalized Sup Augmented DickeyFuller (GSADF) test. Furthermore, the study examines the influence of the COVID-19 infection’s explosive behavior on the stock markets of the countries, taking into consideration the disequilibrium occurrences. The COVID-19 infection’s explosive behavior had a negative but insignificant effect on stock returns, leading to an increase in riskiness. This outcome could be explained by the fact that the explosive incidents were transitory and could only have had a momentary impact on stock market returns absorbable overtime. More so, it suggests that investors may have adjusted to the shock of the COVID-19 infection prior to the two explosive occurrences, and that the development of the COVID-19 vaccine reassures for a near halt to the pandemic.
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.