IDEAS home Printed from https://ideas.repec.org/p/pre/wpaper/201407.html
   My bibliography  Save this paper

Testing for Multiple Bubbles in the BRICS Stock Markets

Author

Listed:
  • Tsangyao Chang

    (Department of Finance, Feng Chia University, Taichung, Taiwan)

  • Luis A. Gil-Alana

    (Faculty of Economics and I.C.S. (NCID), University of Navarra, Spain)

  • Goodness C. Aye

    (Department of Economics, University of Pretoria)

  • Rangan Gupta

    (Department of Economics, University of Pretoria)

  • Omid Ranjbar

    (Ministry of Industry, Mine and Trade, Tehran, Iran)

Abstract

In this study, we apply a new recursive test proposed by Philips et al (2013) to investigate whether there exist multiple bubbles in the BRICS (Brazil, Russia, India, China and South Africa) stock markets, using monthly data on stock price-dividend ratio. Our empirical results, the first of its kind for these economies, indicate that there did exist multiple bubbles in the stock markets of the BRICS. Further, the dates of the bubbles also corresponded to specific events in the stocks markets of these economies. This finding has important economic and policy implications.

Suggested Citation

  • Tsangyao Chang & Luis A. Gil-Alana & Goodness C. Aye & Rangan Gupta & Omid Ranjbar, 2014. "Testing for Multiple Bubbles in the BRICS Stock Markets," Working Papers 201407, University of Pretoria, Department of Economics.
    • Handle: RePEc:pre:wpaper:201407
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. repec:ipg:wpaper:2014-530 is not listed on IDEAS
    2. repec:ipg:wpaper:2014-526 is not listed on IDEAS
    3. repec:ipg:wpaper:2014-551 is not listed on IDEAS
    4. KIRKPINAR, Aysegul & ERER, Elif & ERER, Deniz, 2019. "Is There A Rational Bubble In Bist 100 And Sector Indices?," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 23(3), pages 21-33, September.
    5. repec:ipg:wpaper:2014-538 is not listed on IDEAS
    6. repec:ipg:wpaper:2014-521 is not listed on IDEAS
    7. ZEREN, Feyyaz & ERGÜZEL, Oylum Şehvez, 2015. "Testing For Bubbles In The Housing Market: Further Evidence From Turkey," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 19(1), pages 40-52.
    8. repec:ipg:wpaper:2014-571 is not listed on IDEAS
    9. repec:ipg:wpaper:2014-510 is not listed on IDEAS
    10. repec:ipg:wpaper:2014-604 is not listed on IDEAS
    11. repec:ipg:wpaper:2014-511 is not listed on IDEAS
    12. repec:ipg:wpaper:2014-492 is not listed on IDEAS
    13. repec:ipg:wpaper:2014-468 is not listed on IDEAS
    14. Chen, Mei-Ping & Lin, Yu-Hui & Tseng, Chun-Yao & Chen, Wen-Yi, 2015. "Bubbles in health care: Evidence from the U.S., U.K., and German stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 193-205.
    15. repec:ipg:wpaper:2014-493 is not listed on IDEAS
    16. repec:ipg:wpaper:2014-531 is not listed on IDEAS
    17. Bago, Jean-Louis & Souratié, Wamadini M. & Ouédraogo, Moussa & Ouédraogo, Ernest & Dembélé, Alou, 2019. "Financial Bubbles : New Evidence from South Africa’s Stock Market," MPRA Paper 95685, University Library of Munich, Germany.
    18. repec:ipg:wpaper:2014-559 is not listed on IDEAS
    19. repec:ipg:wpaper:2014-534 is not listed on IDEAS

    More about this item

    Keywords

    Multiple bubbles; BRICS stock markets; GSADF test;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pre:wpaper:201407. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Rangan Gupta (email available below). General contact details of provider: https://edirc.repec.org/data/decupza.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.