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Testing for bubbles in the BRICS stock markets

Tsangyao Chang (), Luis Gil-Alana (), Goodness C. Aye, Rangan Gupta () and Omid Ranjbar ()

Journal of Economic Studies, 2016, vol. 43, issue 4, 646-660

Abstract: Purpose - The purpose of this paper is to investigate whether there exist multiple bubbles in the Brazil, Russia, India, China and South Africa (BRICS) stock markets. Design/methodology/approach - In this study, the authors apply the generalized sup Augmented Dickey-Fuller test, a new recursive test proposed by Phillips Findings - The empirical results indicate that there exist multiple bubbles in the stock markets of the BRICS. Further, the dates of the bubbles also correspond to specific events in the stock markets of these economies. This finding has important economic and policy implications. Originality/value - The authors declare that this paper is original and has not been published by another journal previously.

Keywords: BRICS stock markets; GSADF test; Multiple bubbles; C12; C15; G12; G15 (search for similar items in EconPapers)
Date: 2016
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