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Date-stamping the Tadawul bubble through the SADF and GSADF econometric approaches

Pedro Antonio Martin-Cervantes () and Salvador Cruz-Rambaud ()
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Pedro Antonio Martin-Cervantes: Universidad de Almeria
Salvador Cruz-Rambaud: Universidad de Almeria

Authors registered in the RePEc Author Service: Salvador Cruz Rambaud, Sr. ()

Economics Bulletin, 2020, vol. 40, issue 2, 1475-1485

Abstract: In this research work, we have performed a complete date-stamping of one of the biggest financial bubbles that occurred during recent times, the so-called Tadawul Bubble, which took place in the financial markets of Saudi Arabia in 2006. Taking the analysis period 10/1998-04/2017 as reference, and using the SADF and GSADF econometric tests, it has been possible to establish two approximate starting and end points of this bubble, as well as finding how time later, throughout 2014, two minor or “micro bubbles†of a much more limited incidence also ocurred in this market. Given the chronology obtained, we can conclude that, most likely, the Tadawul Bubble was due to a reissue of the Technological Bubble that, with a year of delay with respect to most of the world financial markets, broke out, and with much more virulence, in the financial markets of Saudi Arabia.

Keywords: Tadawul Bubble; SADF test; GSADF test; Islamic Banking and Finance (search for similar items in EconPapers)
JEL-codes: C1 C4 (search for similar items in EconPapers)
Date: 2020-06-02
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