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What is Multiple Bubbles in BRICS Stock Markets about?

This document summarizes a working paper that tests for multiple bubbles in the stock markets of Brazil, Russia, India, China and South Africa (BRICS) using monthly stock price-dividend ratio data from 1990 to 2013. It applies the generalized sup Augmented Dickey-Fuller (GSADF) test proposed by Phillips et al. (2013) to account for nonlinear structures and breaks while investigating multiple bubbles. The results indicate that multiple bubbles did exist in the BRICS stock markets, and the dates of the bubble

Author

최효원

Language

EN