Vol. 9 No. 4 (2021): Business & Management Studies: An International Journal
Articles

An empirical comparison of stock market bubbles

Özge Korkmaz
Assoc. Prof. Dr., Malatya Turgut Özal University, Malatya, Turkey
Bilgin Bari
Assist. Prof. Dr., Anadolu University, Eskişehir, Turkey
Zafer Adalı
Res. Assist., Artvin Çoruh University, Artvin-Hopa, Turkey

Published 2021-12-25

How to Cite

Korkmaz, Özge, Bari, B., & Adalı, Z. (2021). An empirical comparison of stock market bubbles. Business &Amp; Management Studies: An International Journal, 9(4), 1286–1299. https://doi.org/10.15295/bmij.v9i4.1889

Abstract

Financial asset bubbles occur due to systematic and continuous differences between fundamental and market values. Due to high growth periods and foreign capital inflows, bubbles are also seen in stock market indexes, especially in emerging market economies. This study analyzes the existence of bubbles in BIST100, IDX COMPOSITE, BOVESPA, MDEX, NIFTY 50, SHANGAI, and S&P 500 stock markets for the period 2009:01-2021:06.  RADF, SADF, and GSADF tests are applied to detect bubbles on stock market closing prices. In addition, the emergence and demise dates of the bubbles are determined by employing the date-stamping method. The GSADF test gives more effective results and determines bubbles with different durations in all stock markets, except the S&P 500. The results reveal that the most inefficient market is IDX COMPOSITE, and S&P 500is the most efficient market. The analysis includes the S&P 500, the world's most liquid and most prominent stock market, for comparison. In this respect, bubbles occur more in emerging market exchanges. The findings also confirm the validity of the rational bubble law.

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