Bubbles During Covid-19 Period: Evidence from the United States Using the Generalized Sub ADF Test

Tsangyao Chang, Hsu Chen-Min () and Wang Mei-Chih ()
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Hsu Chen-Min: CTBC Business School, Tainan, Taiwan
Wang Mei-Chih: Department of Finance, Providence University, Taichung, Taiwan

HOLISTICA – Journal of Business and Public Administration, 2021, vol. 12, issue 1, 49-56

Abstract: This study applies the generalized sub ADF (GSADF) tests to investigate whether bubbles exist in the United States markets over the period of 2015-2019, focusing on the COVID-19 period. We use daily Dow-Jones stock price indexes for the first time during the time period of 2015/1/7-2020/3/17. Empirical results demonstrate the existence of bubbles in the US stock market during some sub-sample time periods. Especially important, we find the third bubble begins from 2020/2/26 and grows gradually, not bursting until recently, a situation that is ongoing in the US market. Our results have important policy implications for investors who attempt to invest in the US stock market

Keywords: Dow-Jones Market Index; SAFDF; GSADF Test; Bubble (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:hjobpa:v:12:y:2021:i:1:p:49-56:n:4

DOI: 10.2478/hjbpa-2021-0005

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