Testing for Multiple Bubbles in the BRICS Stock Markets
Tsangyao Chang (),
Luis Gil-Alana (),
Goodness Aye (),
Rangan Gupta () and
Omid Ranjbar ()
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Goodness Aye: Department of Economics, University of Pretoria
No 201407, Working Papers from University of Pretoria, Department of Economics
In this study, we apply a new recursive test proposed by Philips et al (2013) to investigate whether there exist multiple bubbles in the BRICS (Brazil, Russia, India, China and South Africa) stock markets, using monthly data on stock price-dividend ratio. Our empirical results, the first of its kind for these economies, indicate that there did exist multiple bubbles in the stock markets of the BRICS. Further, the dates of the bubbles also corresponded to specific events in the stocks markets of these economies. This finding has important economic and policy implications.
Keywords: Multiple bubbles; BRICS stock markets; GSADF test (search for similar items in EconPapers)
JEL-codes: C12 C15 G12 G15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cis and nep-fmk
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201407
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