EconPapers    
Economics at your fingertips  
 

Periodically collapsing bubbles in the South African stock market

Mehmet Balcilar, Rangan Gupta, Charl Jooste and Mark Wohar ()

Research in International Business and Finance, 2016, vol. 38, issue C, 191-201

Abstract: This paper studies the existence and timing of bubbles in South Africa’s stock market. An empirical model of bubble formation is tested against three competing models of asset price returns that rule out the existence of bubbles. The model controls for nonlinearities inherent in asset price returns by allowing for the existence of multiple regimes. The bubble model fits the data better than the competing models and suggests that the formation and existence of periodically collapsing bubbles are a reality.

Keywords: Bubbles; Regime switching; Collapse (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0275531916300757
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Periodically Collapsing Bubbles in the South African Stock Market (2016)
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:riibaf:v:38:y:2016:i:c:p:191-201

DOI: 10.1016/j.ribaf.2016.04.010

Access Statistics for this article

Research in International Business and Finance is currently edited by T. Lagoarde Segot

More articles in Research in International Business and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2024-04-05
Handle: RePEc:eee:riibaf:v:38:y:2016:i:c:p:191-201