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Please use this identifier to cite or link to this item: https://dspace.lboro.ac.uk/2134/23403

Title: Periodically collapsing bubbles in the South African stock market
Authors: Balcilar, Mehmet
Gupta, Rangan
Jooste, Charl
Wohar, Mark E.
Keywords: Bubbles
Regime switching
Issue Date: 2016
Publisher: © Elsevier
Citation: BALCILAR, M. ...et al., 2016. Periodically collapsing bubbles in the South African stock market. Research in International Business and Finance, 38, pp. 191-201.
Abstract: © 2016.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.
Description: This paper is in closed access.
Version: Published
DOI: 10.1016/j.ribaf.2016.04.010
URI: https://dspace.lboro.ac.uk/2134/23403
Publisher Link: http://dx.doi.org/10.1016/j.ribaf.2016.04.010
ISSN: 0275-5319
Appears in Collections:Closed Access (Business)

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