Testing for bubbles in the BRICS stock markets

Chang, Tsangyao; Gil-Alana, Luís A.; Ranjbar, Omid; Aye, Goodness C.; Gupta, Rangan

doi:10.1108/jes-07-2014-0128

Cited by 34 publications

(19 citation statements)

References 37 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Thus, Jiang et al () use a faster‐than‐exponential (power law with finite‐time singularity) increase in stock prices as the main diagnostic of bubbles over the May 2005 to August 2009 sample, and detect two bubbles from mid‐2005 to October 2007 and from November 2008 to August 2009. In contrast, Asako and Liu (), over the 1999–2010 period, only detect significant bubbles in April–May and August–October 2007, and Chang, Gil‐Alana, Aye, Gupta, and Ranjbar (), over 1995 to 2013, find very short‐lived bubbles early and late 2007. Few papers specifically conduct formal tests for the presence of bubbles using China's housing price data (such as Ren, Xiong, & Yuan, , with duration‐dependence tests; and Liu, Chang, Su, & Jiang, , with city data) and the use of (biased) publicly available data restricts them to low frequencies (monthly or yearly).…”

Section: Literature On China's Stock and Real Estate Bubblesmentioning

confidence: 91%

Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?

Deng

Girardin

Joyeux

et al. 2017

Pacific Economic Review

View full text Add to dashboard Cite

The speculative nature of both stock and housing markets in China has attracted the attention of observers. However, while stock market data are easily available, the low frequency and low quality of publicly available housing price data hampers the study of the relationship between the two markets. We use original hedonic weekly resale housing prices of a major Chinese housing market and study them in conjunction with Shanghai's stock market index in the second half of the 2000s. The use of the Phillips et al. (2015 a,b) recursive explosive‐root test enables us to detect and date speculative episodes in both markets. We then implement the Greenaway‐McGrevy and Phillips (2016) methodology to detect the presence of migration between the two types of bubbles. We detect significant migration from the stock to the housing market bubble in 2009 and a temporary spillover in 2007.

show abstract

Section: Literature On China's Stock and Real Estate Bubblesmentioning

confidence: 91%

Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?

Deng

Girardin

Joyeux

et al. 2017

Pacific Economic Review

View full text Add to dashboard Cite

show abstract

“…The findings found no bubbles in the stock markets of these countries. Chang et al (2015) examined the presence of multiple bubbles by using the GSADF unit root (2013) test in their study of BRICS stock markets. As a result of the study, in which the monthly data are used for the share prices and the profit share distribution ratios, it has been understood that the bubbles in the stock markets of these countries have occurred in the case of specific events.…”

Section: Literature Reviewmentioning

confidence: 99%

Are there Multiple Bubbles in the Stock Markets? Further Evidence from Selected Countries

Zeren

Yılancı

2019

ECO

View full text Add to dashboard Cite

[full article and abstract in English] In this study, the existence of multiple bubbles in 15 selected countries is researched by means of the GSADF unit root test developed by Phillips, Shi, and Yu (2015). The data set consists of a weighted average of the monthly price/earnings ratios with the different start dates for countries whose data could accessed. As a result of the conducted analysis, the existence of multiple bubbles was detected for all the countries examined. The results demonstrate that bubbles in stock markets occur before the local and global crisis periods. We therefore conclude that the GSADF method may be used as one of the early warning systems of a financial crisis. It is significant for policymakers and investors to know these signs in terms of financial stability and profitable investments.

show abstract

“…Different research studies were conducted using the SADF and the GSADF strategies to identify episodes of exuberance in the stock markets. Chang et al (2014) apply the GSADF strategy to test if there are multiple bubbles in the BRICS (Brazil, Russia, India, China and South Africa) stock markets. The results indicate that there are several bubbles on the BRICS stock markets and the dates of bubble correspond to particular events in the stock markets of these countries.…”

Section: The Literature Reviewmentioning

confidence: 99%

Detecting and Date-Stamping Rational Bubbles in Asset Price: An Empirical Investigation in the Tunisian Stock Market

Helali¹

2019

IJEF

View full text Add to dashboard Cite

This study tests the existence of periodically collapsing speculative bubbles in the Tunisian stock market. We use the Phillips, Wu, and Yu (2011) and Phillips, Shi, and Yu (2015) approaches, based on right-tailed unit root tests, in order to explore the existence and to date-stamp the origination and termination of bubbles. An empirical application was conducted in the Tunisian stock market, using monthly data on stock price-dividend ratio, for the period running from January 2004 to December 2014. The empirical findings provide evidence for the existence of exuberance in the Tunisian stock market over the period and date-stamp its origination and collapse.

show abstract

Testing for bubbles in the BRICS stock markets

Cited by 34 publications

References 37 publications

Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?

Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?

Are there Multiple Bubbles in the Stock Markets? Further Evidence from Selected Countries

Detecting and Date-Stamping Rational Bubbles in Asset Price: An Empirical Investigation in the Tunisian Stock Market

Contact Info

Product

Resources

About