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Periodically collapsing bubbles in the South African stock market
journal contributionposted on 09.12.2016, 10:53 by Mehmet Balcilar, Rangan Gupta, Charl Jooste, Mark Wohar
© 2016.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.
- Business and Economics