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Identification of multiple stock bubbles in an emerging market: application of GSADF approach

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Abstract

This paper aims at to investigate the existence of multiple bubbles and specific corresponding events in Pakistan Stock Exchange across different industrial sectors using Generalized Sup Augmented Dickey Fuller (GSADF) test of right-tailed ADF as proposed by Philips et al. (Int Econ Rev 56:1043–1078, 2015a, Int Econ Rev 56:1079–1134, 2015b) by using monthly data for the period of 2007–2016. Findings of study confirm the existence of multiple bubbles in KSE-100 Index along with different industrial sectors. Empirical results depict that Investments, Chemicals and Textile Spinning were the only few sectors where no stock price bubbles were identified. The present study is expected to be pioneer in its nature to apply GSADF for the identification of multiple stock bubbles in emerging stock market of Pakistan which can be further used for comparison of stock bubbles in other regional markets such as BRICS or SAARC regions in order to find out the similarities and dissimilarities in the events causing stock market bubbles.

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Acknowledgements

The authors would like to thank anonymous reviewers and the editor for their helpful suggestions and constructive comments that contributed to enhancing the final version of this paper.

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Authors and Affiliations

  1. Hailey College of Banking and Finance, University of the Punjab, Lahore, Pakistan

    Ayesha Liaqat & Iftikhar Ahmad

  2. Department of Management Sciences, COMSATS University Islamabad, Lahore Campus, Lahore, Pakistan

    Mian Sajid Nazir

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  1. Ayesha Liaqat
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  2. Mian Sajid Nazir
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  3. Iftikhar Ahmad
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Correspondence to Mian Sajid Nazir.

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Liaqat, A., Nazir, M.S. & Ahmad, I. Identification of multiple stock bubbles in an emerging market: application of GSADF approach. Econ Change Restruct 52, 301–326 (2019). https://doi.org/10.1007/s10644-018-9230-0

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  • DOI: https://doi.org/10.1007/s10644-018-9230-0

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