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Periodically collapsing bubbles in the South African stock market

journal contribution
posted 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.

History

School

  • Business and Economics

Department

  • Business

Published in

Research in International Business and Finance

Volume

38

Pages

191 - 201

Citation

BALCILAR, M. ...et al., 2016. Periodically collapsing bubbles in the South African stock market. Research in International Business and Finance, 38, pp. 191-201.

Publisher

© Elsevier

Version

VoR (Version of Record)

Publisher statement

This work is made available according to the conditions of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) licence. Full details of this licence are available at: https://creativecommons.org/licenses/by-nc-nd/4.0/

Acceptance date

25/04/2016

Publication date

2016

Notes

This paper is in closed access.

ISSN

0275-5319

Language

en

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