Detecting periodically collapsing bubbles in the S&P 500

Quynh Nhu Nguyen and George Waters

The Quarterly Review of Economics and Finance, 2022, vol. 83, issue C, 83-91

Abstract: Two robust tests on S&P 500 data show evidence of bubbles. A test of stationarity controlling for skewness and excess kurtosis is designed to detect periodically collapsing rational bubbles. Test for cointegration and direct tests on the price-dividend and price-earnings ratios cannot reject non-stationarity for all the samples considered. A test for explosive behavior on rolling window of the data also provide evidence of multiple bubbles and allow for dating of bubbles using the same set of variables. The two bubble episodes detected in all relevant cases are associated with the Spanish Flu in 1917 and the housing crisis in 2008.

Keywords: SADF; GSADF; Cointegration; Stock market bubble; Periodically collapsing bubbles (search for similar items in EconPapers)
JEL-codes: C2 G1 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1062976921001745
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:83:y:2022:i:c:p:83-91

DOI: 10.1016/j.qref.2021.11.005

Access Statistics for this article

The Quarterly Review of Economics and Finance is currently edited by R. J. Arnould and J. E. Finnerty

More articles in The Quarterly Review of Economics and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().