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.