Deficit financing, private sector saving and investment in Nigeria

Testing for Multiple Bubbles in the Nigerian Stock Exchange

“…Using the variance bounds test, west's two-step test, integration/co-integration based test, and the intrinsic bubble test; the study concludes that all these models do not sufficiently explain whether bubbles exist or not. Njiforti and Chidiogo [39] studied speculative bubbles in the Nigerian stock exchange and revealed the occurrence of bubbles, persistent volatility, and asymmetric influence. In a sample of 589 quoted firms in the New York Stock Exchange, Narayan et al, [4] investigated the existence of bubble elements in asset price.…”

“…These quantitative processes assist market regulators and other participants to effectively survey market behaviors' such as upsurges in inflation and interest ratesusing the early-warning signs exhibited by the statistics [38,23]. Most of the literature have criticized the techniques adopted for unearthing over pricing or absolute mispricing, such as the Relative Deviation technique, Relative Absolute Deviation, Average Bias, Total Dispersion, Cointegration,and the supremum Augmented Dickey-Fuller test [12,39,23,35,40,14];while some have questionedthe type of data employed or sampling period covered. In this study, we embraced the Phillips, Wu and Yu [35] Generalized supremum Augmented Dickey-Fuller methodologyto examine the existence of bubbles in the Nigerian stock market from the inception of the market in 1985M01-2021:M12.…”