Bubbles in health care: Evidence from the U.S., U.K., and German stock markets

Mei-Ping Chen (), Yu-Hui Lin, Chun-Yao Tseng and Wen-Yi Chen

The North American Journal of Economics and Finance, 2015, vol. 31, issue C, 193-205

Abstract: This study applies the GSADF test to locate multiple bubbles in the health care sector (HCS) of the U.S., U.K., and German stock markets. The panel switching model is estimated to evaluate to what extent money supply, economic growth, and stock returns from local markets influence stock returns from the HCS. Our empirical model not only identifies one bubble (two bubbles) in the HCS of the U.S. and German stock markets (U.K. stock market) but also suggests that the local stock market returns play an important role in determining stock returns from the HCS in both bubble and normal regimes.

Keywords: Bubbles; Health care; Generalized supremum augmented Dickey–Fuller (GSADF) test; Panel switching regression (search for similar items in EconPapers)
JEL-codes: E60 G12 I15 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:31:y:2015:i:c:p:193-205

DOI: 10.1016/j.najef.2014.11.003

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