Periodically collapsing bubbles in the South African stock market

Balcilar, Mehmet; Gupta, Rangan; Jooste, Charl; Wohar, Mark E.

dc.contributor.author	Balcilar, Mehmet
dc.contributor.author	Gupta, Rangan
dc.contributor.author	Jooste, Charl
dc.contributor.author	Wohar, Mark E.
dc.date.accessioned	2016-06-15T07:43:17Z
dc.date.issued	2016-09
dc.description.abstract	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.	en_ZA
dc.description.department	Economics	en_ZA
dc.description.embargo	2017-09-30
dc.description.librarian	hb2016	en_ZA
dc.description.uri	http://www.elsevier.com/locate/ribaf	en_ZA
dc.identifier.citation	Balcilar, M, Gupta, R, Jooste, C & Wohar, ME 2016, 'Periodically collapsing bubbles in the South African stock market', Research in International Business and Finance, vol. 38, pp. 191-201.	en_ZA
dc.identifier.issn	0275-5319
dc.identifier.other	10.1016/j.ribaf.2016.04.010
dc.identifier.uri	http://hdl.handle.net/2263/53235
dc.language.iso	en	en_ZA
dc.publisher	Elsevier	en_ZA
dc.rights	© 2016 Published by Elsevier B.V. Notice : this is the author’s version of a work that was accepted for publication in Research in International Business and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Research in International Business and Finance, vol. 38, pp. 191-201, 2016. doi : 10.1016/j.ribaf.2016.04.010.	en_ZA
dc.subject	Bubbles	en_ZA
dc.subject	Regime switching	en_ZA
dc.subject	Collapse	en_ZA
dc.subject	South African stock market	en_ZA
dc.title	Periodically collapsing bubbles in the South African stock market	en_ZA
dc.type	Postprint Article	en_ZA