Testing for Bubbles in the BRICS Stock Markets
Authors
Tsangyao Chang
Luis A. Gil-Alaña
Goodness C. Aye
Rangan Gupta
Omid Ranjbar
Type
Article
Publisher
Journal of Economic Studies, Vol. 43, Issue 4
Pages
587-597
Date
01-06-2016

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.

Article.