Periodically collapsing bubbles in the South African stock market
| dc.contributor.author | Balcilar, Mehmet | |
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.author | Jooste, Charl | |
| dc.contributor.author | Wohar, Mark E. | |
| dc.contributor.email | rangan.gupta@up.ac.za | en_ZA |
| 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 |