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Identification of multiple stock bubbles in an emerging market: application of GSADF approach

Ayesha Liaqat (), Mian Sajid Nazir () and Iftikhar Ahmad ()
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Ayesha Liaqat: University of the Punjab
Mian Sajid Nazir: COMSATS University Islamabad, Lahore Campus
Iftikhar Ahmad: University of the Punjab

Economic Change and Restructuring, 2019, vol. 52, issue 3, 301-326

Abstract: Abstract This paper aims at to investigate the existence of multiple bubbles and specific corresponding events in Pakistan Stock Exchange across different industrial sectors using Generalized Sup Augmented Dickey Fuller (GSADF) test of right-tailed ADF as proposed by Philips et al. (Int Econ Rev 56:1043–1078, 2015a, Int Econ Rev 56:1079–1134, 2015b) by using monthly data for the period of 2007–2016. Findings of study confirm the existence of multiple bubbles in KSE-100 Index along with different industrial sectors. Empirical results depict that Investments, Chemicals and Textile Spinning were the only few sectors where no stock price bubbles were identified. The present study is expected to be pioneer in its nature to apply GSADF for the identification of multiple stock bubbles in emerging stock market of Pakistan which can be further used for comparison of stock bubbles in other regional markets such as BRICS or SAARC regions in order to find out the similarities and dissimilarities in the events causing stock market bubbles.

Keywords: Multiple bubbles; GSADF; KSE-100 index; Emerging market; Pakistan (search for similar items in EconPapers)
Date: 2019
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