dc.contributor.author |
Chang, Tsangyao
|
|
dc.contributor.author |
Gil-Alana, Luis
|
|
dc.contributor.author |
Ranjbar, Omid
|
|
dc.contributor.upauthor |
Aye, Goodness Chioma
|
|
dc.contributor.upauthor |
Gupta, Rangan
|
|
dc.date.accessioned |
2017-07-04T06:04:06Z |
|
dc.date.available |
2017-07-04T06:04:06Z |
|
dc.date.issued |
2016 |
|
dc.description.abstract |
PURPOSE : The purpose of this paper is to investigate whether there exist multiple bubbles in the Brazil, Russia, India, China and South Africa (BRICS) stock markets. DESIGN/METHODOLOGY/APPROACH : In this study, the authors apply the generalized sup Augmented Dickey-Fuller test, a new recursive test proposed by Phillips et al. (2015) and use monthly data on stock price-dividend ratio. FINDINGS : The empirical results indicate that there exist multiple bubbles in the stock markets of the BRICS. Further, the dates of the bubbles also correspond to specific events in the stock markets of these economies. This finding has important economic and policy implications. ORIGINALITY/VALUE : The authors declare that this paper is original and has not been published by another journal previously. |
en_ZA |
dc.description.department |
Economics |
en_ZA |
dc.description.librarian |
hj2017 |
en_ZA |
dc.description.uri |
http://www.emeraldinsight.com/0144-3585.htm |
en_ZA |
dc.description.uri |
http://www.emeraldinsight.com/loi/jes |
en_ZA |
dc.identifier.citation |
Tsangyao Chang, Luis Gil-Alana, Goodness C. Aye, Rangan Gupta, Omid Ranjbar, (2016) "Testing for bubbles in the BRICS stock markets", Journal of Economic Studies, vol. 43 issue: 4, pp.646-660, https://doi.org/10.1108/JES-07-2014-0128. |
en_ZA |
dc.identifier.issn |
0144-3585 (print) |
|
dc.identifier.issn |
1758-7387 (online) |
|
dc.identifier.other |
10.1108/JES-07-2014-0128 |
|
dc.identifier.uri |
http://hdl.handle.net/2263/61254 |
|
dc.language.iso |
en |
en_ZA |
dc.publisher |
Emerald |
en_ZA |
dc.rights |
© Emerald Group Publishing Limited 2016 |
en_ZA |
dc.subject |
Brazil, Russia, India, China and South Africa (BRICS) |
en_ZA |
dc.subject |
Stock markets |
en_ZA |
dc.subject |
Multiple bubbles |
en_ZA |
dc.subject |
GSADF test |
en_ZA |
dc.title |
Testing for bubbles in the BRICS stock markets |
en_ZA |
dc.type |
Postprint Article |
en_ZA |