Revisiting rational bubbles in the G-7 stock markets using the Fourier unit root test and the nonparametric rank test for cointegration

2011 ◽  
Vol 82 (2) ◽  
pp. 346-357 ◽  
Author(s):  
Yonggang Ye ◽  
Tsangyao Chang ◽  
Ken Hung ◽  
Yang-Cheng Lu
Keyword(s):  
Unit Root ◽  
Stock Markets ◽  
Unit Root Test ◽  
Rank Test ◽  
Rational Bubbles

Do rational bubbles exist in emerging markets of SAARC?

2019 ◽  
Vol 36 (2) ◽  
pp. 163-182
Author(s):  
Mian Sajid Nazir ◽  
Javeria Mahmood ◽  
Fizza Abbas ◽  
Ayesha Liaqat
Keyword(s):  
South Asian ◽  
Stock Markets ◽  
Unit Root Test ◽  
Equity Prices ◽  
Monthly Data ◽  
Content Type ◽  
Rational Bubbles ◽  
Emerging Capital Markets ◽  
Investing Value ◽  
High Level

Purpose The upsurge of globalization has made investors cautious toward investing decisions, and, resultantly, sophisticated techniques of forecasting and analyzing the stock markets have emerged. Particularly, this trend has gained momentum in emerging economies. One such trend is to overcome the investing risks associated with formation of rational bubbles. Bubbles are formed when asset prices inflate to a very high level temporarily, and they ultimately burst. Investors may take advantage of this short-lived phenomenon and gain high returns, but may also suffer as the entire investing value declines when the bubble bursts. The purpose of this paper is to identify rational bubbles in the emerging capital markets of South Asian region. Design/methodology/approach The monthly data have been obtained from June 1997 to February 2018 for Pakistan, Bombay, Dhaka and Colombo stock markets, and supremum-Augmented Dicky Fuller test developed by Phillips and Yu (2011) has been utilized to identify the rational bubbles. Findings The results revealed the presence of rational bubbles in South Asian equity markets. The current study is of significant nature for the facilitation of investors in future-making investing decisions concerning with the formation of rational bubbles. Originality/value Several studies have been conducted on stock markets of developed regions. Specific bubble episodes, which occurred previously, have helped the researchers and investors in gaining plenty of insights. A lot of studies have been conducted on the SAARC region as well. But they have used the conventional unit root test for bubble identification and not used as extensive data as, in this study, have been taken. This research is aimed to study equity prices of the four stock markets to establish the fact that if rational bubbles exist in the index, they are reflected in the returns or not.

scholarly journals Are there Multiple Bubbles in the Stock Markets? Further Evidence from Selected Countries

Ekonomika ◽  
2019 ◽  
Vol 98 (1) ◽  
pp. 81-95 ◽  
Author(s):  
Feyyaz Zeren ◽  
Veli Yilanci
Keyword(s):  
Unit Root ◽  
Stock Markets ◽  
Financial Stability ◽  
Unit Root Test ◽  
Weighted Average ◽  
Early Warning Systems ◽  
Warning Systems ◽  
Data Set ◽  
Multiple Bubbles ◽  
Start Dates

[full article and abstract in English] In this study, the existence of multiple bubbles in 15 selected countries is researched by means of the GSADF unit root test developed by Phillips, Shi, and Yu (2015). The data set consists of a weighted average of the monthly price/earnings ratios with the different start dates for countries whose data could accessed. As a result of the conducted analysis, the existence of multiple bubbles was detected for all the countries examined. The results demonstrate that bubbles in stock markets occur before the local and global crisis periods. We therefore conclude that the GSADF method may be used as one of the early warning systems of a financial crisis. It is significant for policymakers and investors to know these signs in terms of financial stability and profitable investments.

scholarly journals INVESTIGATION OF FORECASTED RISK INTERRELATIONSHIP: BASE ON GARCH MODEL, CAUSALITY IN CHINA MARKETS

2014 ◽  
Vol 15 (5) ◽  
pp. 853-861
Author(s):  
Shu-Shian Lin
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Unit Root ◽  
Stock Markets ◽  
Null Hypothesis ◽  
Unit Root Test ◽  
Stock Exchanges ◽  
Equilibrium Relationship ◽  
Research Period ◽  
Integration Analysis

This paper used data from the Shenzhen and Shanghai stock markets to simulate the adjusted volatility, and applied time series methods to realize the relationships of the volatilities between the two markets. The unit root test, and co-integration analysis to show whether it exists equilibrium relationship. The result showed that it presented the co-integrated vectors between the volatilities of Shanghai and Shenzhen Stock Exchanges during the research period, and it made the regression more meaningful. Finally, it also showed that the volatility exerted one way influence between these two markets. It significantly rejected for a null hypothesis of Shanghai stock market does not granger caused Shenzhen stock market, and the results of simulated volatilities were consistent with the results in reality.

Convergence in per capita carbon footprint and ecological footprint for G7 countries: Evidence from panel Fourier threshold unit root test

2021 ◽  
pp. 0958305X2110114
Author(s):  
Veli Yilanci ◽  
Muhammed Sehid Gorus ◽  
Sakiru Adebola Solarin
Keyword(s):  
Unit Root ◽  
Structural Breaks ◽  
Structural Changes ◽  
Unit Root Test ◽  
G7 Countries ◽  
Convergence Hypothesis ◽  
International Climate ◽  
Per Capita ◽  
Nonlinear Behaviors ◽  
Nonlinear Unit Root Tests

This paper aims to explore the convergence of per capita carbon and ecological footprints in G7 countries during 1961–2016. For this purpose, we propose a new unit root test in the panel setting–the panel Fourier threshold unit root test. This test takes into consideration both multiple smooth structural changes and nonlinearity. According to the literature, the power of the nonlinear unit root tests is reduced in the case of ignoring structural breaks. Therefore, we expect to get more reliable empirical findings by utilizing this methodology. The empirical results of this paper show that these series have nonlinear behaviors for the period 1961–2016. Furthermore, they demonstrate that the absolute convergence hypothesis is valid in G7 countries for both regimes. Thus, governments can conduct common environmental policies, including international climate summits and agreements, instead of national-based policies to mitigate environmental deterioration in their countries.

A New Unit Root Test for Unemployment Hysteresis Based on the Autoregressive Neural Network*

2021 ◽  
Author(s):  
OlaOluwa S. Yaya ◽  
Ahamuefula E. Ogbonna ◽  
Fumitaka Furuoka ◽  
Luis A. Gil‐Alana
Keyword(s):  
Neural Network ◽  
Unit Root ◽  
Unit Root Test ◽  
Autoregressive Neural Network
Sign in / Sign up

Export Citation Format

Share Document