Speculative bubbles and irrational exuberance in African stock markets

Fahad Almudhaf

Journal of Behavioral and Experimental Finance, 2017, vol. 13, issue C, 28-32

Abstract: We apply the sequential unit root tests of Phillips et al. (2015) for mildly explosive processes to identify and date-stamp bubbles in the emerging and frontier African stock markets. We find periods of explosive behavior in the price–dividend ratio in several markets which is indicative of irrational exuberance. We find strong evidence of multiple speculative bubbles in Botswana, Egypt, Ghana, Kenya, Nigeria and Tunisia. Results of our study are important to individual investors, emerging markets fund managers, and policy makers.

Keywords: African stock; Bubbles; Irrational behavior; Emerging markets; Generalized sup ADF (search for similar items in EconPapers)
JEL-codes: G01 G02 G12 G14 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:13:y:2017:i:c:p:28-32

DOI: 10.1016/j.jbef.2016.11.002

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