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Identification of multiple stock bubbles in an emerging market: application of GSADF approach

Author

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  • Ayesha Liaqat

    (University of the Punjab)

  • Mian Sajid Nazir

    (COMSATS University Islamabad, Lahore Campus)

  • Iftikhar Ahmad

    (University of the Punjab)

Abstract

This paper aims at to investigate the existence of multiple bubbles and specific corresponding events in Pakistan Stock Exchange across different industrial sectors using Generalized Sup Augmented Dickey Fuller (GSADF) test of right-tailed ADF as proposed by Philips et al. (Int Econ Rev 56:1043–1078, 2015a, Int Econ Rev 56:1079–1134, 2015b) by using monthly data for the period of 2007–2016. Findings of study confirm the existence of multiple bubbles in KSE-100 Index along with different industrial sectors. Empirical results depict that Investments, Chemicals and Textile Spinning were the only few sectors where no stock price bubbles were identified. The present study is expected to be pioneer in its nature to apply GSADF for the identification of multiple stock bubbles in emerging stock market of Pakistan which can be further used for comparison of stock bubbles in other regional markets such as BRICS or SAARC regions in order to find out the similarities and dissimilarities in the events causing stock market bubbles.

Suggested Citation

  • Ayesha Liaqat & Mian Sajid Nazir & Iftikhar Ahmad, 2019. "Identification of multiple stock bubbles in an emerging market: application of GSADF approach," Economic Change and Restructuring, Springer, vol. 52(3), pages 301-326, August.
    • Handle: RePEc:kap:ecopln:v:52:y:2019:i:3:d:10.1007_s10644-018-9230-0
    DOI: 10.1007/s10644-018-9230-0
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