Periodically collapsing bubbles in the South African stock market

Balcılar, Mehmet; Gupta, Rangan; Jooste, Charl; Wohar, Mark E.

doi:10.1016/j.ribaf.2016.04.010

Cited by 33 publications

(12 citation statements)

References 48 publications

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“…Balcilar et al . () show that there is a correlation between the probability that a bubble will burst in the JSE all share index and the relative size of the bubble. They identify 10 past episodes of possible bubbles in the JSE all share index.…”

Section: Establishing the Financial Cycle For South Africamentioning

confidence: 95%

The South African Financial Cycle and its Relation to Household Deleveraging

Bosch

Koch

2020

South African J Economics

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This paper considers the extent to which South African households have deleveraged, since the global financial crisis of 2007/2008. We extend the official South African Reserve Bank business cycle methodology to date financial cycles, from which we identify the peaks and troughs of the South African financial cycle going back to 1966. Our composite financial cycle index peaks in April 1974, January 1984 and May 2007; it has bottomed out in July 1979 and February 1999. Thus, we still await the trough. We further compare and contrast the deleveraging process in the current downward phase to the experiences from previous financial cycles. We find that the average period of the financial cycle in South Africa is much longer (approximately 17.3 years) than that of the business cycle (approximately 5.8 years), and that deleveraging has not yet matched the degree of deleveraging seen in previous downward phases. Our results suggest that further deleveraging is necessary, before we can expect to turn the financial corner.

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Section: Establishing the Financial Cycle For South Africamentioning

confidence: 95%

The South African Financial Cycle and its Relation to Household Deleveraging

Bosch

Koch

2020

South African J Economics

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“…In a related development, (Balcilar et al, 2016;Almudhaf, 2017) among others have documented existence of explosive behavior (rational behavior) for some selected African markets.…”

Section: Literature Reviewmentioning

confidence: 97%

“…Ever since, a number of studies (Su et al, 2017;Brunnermeier, 2008;Wachira, 2013) have attempted to investigate the presence or otherwise of asset bubbles with majority employing linear base models like (Johansen and Juselius, 1992;Johansen, et al, 2000;Johansen and Juselius, 1992) with symmetric adjustment which fails to capture asymmetries property of the data generating process as it has lower power in an asymmetric adjustment process (Escobari et al, 2017); Su et al, 2017;Miao and Zhou, 2015b); these methods also fail to incorporate structural breaks into the model, implying that the power to reject a unit decreases when stationary alternative is true and structural break is ignored. Other methods includes Markovswitching model that fails to distinguish between periods likely to appear spuriously explosive resulting from high variance and periods with genuine explosive behavior (Funke et al, 1994;Phillips, 2011) PSY; (Phillips et al, 2015) (PWY) that have high chances of erroneously interpreting the presence of explosive behaviour for the presence of rational bubbles (Balcilar et al, 2016;Caspi and Graham, 2018;Ye et al, 2011). We extends extant literature by employing (Herzog, 2015) econophysics frequency domain model that allows for stochastic bubbles, not prone to model identification problem to examine the existence of bubbles in the three leading oil market price indexes.…”

Section: Introductionmentioning

confidence: 99%

Untitled

2019

IJEEP

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This study examined the existence of rational bubbles in oil prices by employing a frequency domain econophysics technique that have capacity to identify both explosive behaviour and bubbles in oil prices for the three largest oil future markets -WTI, Brent and OPEC basket. Our results show that the three prices experienced bubbles in four distinct periods. We attempt to provide some explanations on each of these bubbles using geopolitical, war and economic events. We equally noted that oil prices bubbles are largely influenced by the fact that oil is a major source of energy and is nonrenewable. The study observed that existence of bubbles have some economic consequences such as welfare loss resulting from distortion in prices and economic instability among others. We provide some policy recommendation.

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“…for Botswana, 1997to 2008for Egypt, 1997to 2008for Ghana, 1997to 2008for Kenya, 1988to 2008for Nigeria, 1997to 2008for Mauritius, 1997 (Phillips, et al,2015;Balcilar, et al, 2016).…”

Section: Empirical Literaturementioning

confidence: 99%

Testing for Single Bubble Episode in the Nigerian Stock Market: An Empirical Investigation

Iliyasu

Saba

2019

CBN-JAS

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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.

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Periodically collapsing bubbles in the South African stock market

Cited by 33 publications

References 48 publications

The South African Financial Cycle and its Relation to Household Deleveraging

The South African Financial Cycle and its Relation to Household Deleveraging

Untitled

Testing for Single Bubble Episode in the Nigerian Stock Market: An Empirical Investigation

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