Periodically collapsing bubbles in the South African stock market

© 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 pr...

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Main Authors:	Mehmet Balcilar, Rangan Gupta, Charl Jooste, Mark Wohar
Format:	Default Article
Published:	2016
Subjects:	Other commerce, management, tourism and services not elsewhere classified Bubbles Regime switching Collapse Business and Management not elsewhere classified
Online Access:	https://hdl.handle.net/2134/23403
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id	rr-article-9497870
record_format	Figshare
spelling	rr-article-94978702016-01-01T00:00:00Z Periodically collapsing bubbles in the South African stock market Mehmet Balcilar (6211838) Rangan Gupta (353380) Charl Jooste (7197731) Mark Wohar (1248486) Other commerce, management, tourism and services not elsewhere classified Bubbles Regime switching Collapse Business and Management not elsewhere classified © 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. 2016-01-01T00:00:00Z Text Journal contribution 2134/23403 https://figshare.com/articles/journal_contribution/Periodically_collapsing_bubbles_in_the_South_African_stock_market/9497870 CC BY-NC-ND 4.0
institution	Loughborough University
collection	Figshare
topic	Other commerce, management, tourism and services not elsewhere classified Bubbles Regime switching Collapse Business and Management not elsewhere classified
spellingShingle	Other commerce, management, tourism and services not elsewhere classified Bubbles Regime switching Collapse Business and Management not elsewhere classified Mehmet Balcilar Rangan Gupta Charl Jooste Mark Wohar Periodically collapsing bubbles in the South African stock market
description	© 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.
format	Default Article
author	Mehmet Balcilar Rangan Gupta Charl Jooste Mark Wohar
author_facet	Mehmet Balcilar Rangan Gupta Charl Jooste Mark Wohar
author_sort	Mehmet Balcilar (6211838)
title	Periodically collapsing bubbles in the South African stock market
title_short	Periodically collapsing bubbles in the South African stock market
title_full	Periodically collapsing bubbles in the South African stock market
title_fullStr	Periodically collapsing bubbles in the South African stock market
title_full_unstemmed	Periodically collapsing bubbles in the South African stock market
title_sort	periodically collapsing bubbles in the south african stock market
publishDate	2016
url	https://hdl.handle.net/2134/23403
_version_	1796467827360661504

Periodically collapsing bubbles in the South African stock market

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