The analysis of bubbles and crashes on financial markets for emerging economies: Evidenced From BRICS

Kerim Eser AFŞAR, Zakayo S. KISAVA

Abstract


Abstract. The study was conducted to analyze the bubbles, and crashes on the financial market in emerging economies; (BRICS) stock prices were employed to detect the existence of the bursting bubble. The Right-tailed Augment Dickey-Fuller Unit Root Test used to complete the study of analyzing bubbles and crashes. The study consists of four primary tests; ADF, RADF, SADF, and GSADF Moreover, the study used the first three criteria. The survey covered the period from 2000 to 2016, to absorb the nuclear currently financial crisis in the BRICS and analyze its impacts. Also, this period coincides with both economic reforms in some countries like China and early indications of an impending US crisis. The findings in all countries rejected the null hypothesis of no bursting bubbles in the stock market in favor of the alternative theory. The findings suggest that such an explosive behavior may be attributable to differences in stock prices of traded goods. The result has economic policy importance and implications on the economy. 

Keywords. BRICS, Emerging economies, Financial bubble and crashes, Right-tailed ADF, Stock price.

JEL. F60, G70, O15.

Keywords


BRICS; Emerging economies; Financial bubble and crashes; Right-tailed ADF; Stock price.

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DOI: http://dx.doi.org/10.1453/ter.v5i1.1569

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