Bubbles During Covid-19 Period: Evidence from the United States Using the Generalized Sub ADF Test

Chang, Tsangyao; Hsu, Chin-Hsien; Wang, Mei-Chih

doi:10.2478/hjbpa-2021-0005

Cited by 4 publications

(3 citation statements)

References 9 publications

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“…The second successive bubble was detected on the 12 th of March and lasted for two days, when both markets registered a 10 percent drop in the index. These results are in line with the findings in Chang et al (2021). These two consecutive short bubbles in these two US stock markets coincided with the declining global oil demand, as reflected by the persistent drop in crude oil prices as much as 22 percent from 20 th February to 13 th March 2020.…”

Section: Resultssupporting

confidence: 90%

“…Several studies have looked at asset price bubbles when markets were in distress. A recent study by Chang et al (2021) showed the existence of bubbles in the US stock market during the early months of the COVID-19 outbreak by using the GSADF test. Focusing on the gold and crude oil markets, Gharib et al (2021) discovered that there existed mild explosive price behaviors in the WTI and gold markets from January 4, 2010, to May 4, 2020.…”

Section: Literature Reviewmentioning

confidence: 99%

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Detecting Asset Price Bubbles During the Covid-19 Crisis and Its Implications: Evidence From the Stock and Oil Market

Aziz

Azhari

Mobin³

2022

International Journal of Banking and Finance

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This study investigates whether the COVID-19 pandemic has caused asset price bubbles in the stock and oil markets in the United States and Malaysia. More specifically, the study seeks to detect the onset and end of possible speculative bubbles and their causes in these markets. It also examines the existence of a contagion effect between the stock and oil markets during the Covid-19 pandemic. To achieve these objectives, the study used the Generalized SADF (GSADF) developed by Phillips et al. (2015) in order to check for existence of bubbles within the time frame from January 1, 2020, to April 24,2020. This technique allows one to look for the occurrence of multiple bubbles during the sample period with great precision. The findings showed that five out of the six equities, including the oil price indices had multiple bubbles. Evidence was also obtained which linked the explosive activity episodes between the crude oil market and the US stock markets from the start and end point of each bubble event. These findings add not only to the literature on the existence of bubbles in the financial and energy markets during the initial outbreak of COVID-19, but also to the significance of the negative impact of pandemics on bubble contagion effects under extreme market conditions.

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Section: Resultssupporting

confidence: 90%

Section: Literature Reviewmentioning

confidence: 99%

Detecting Asset Price Bubbles During the Covid-19 Crisis and Its Implications: Evidence From the Stock and Oil Market

Aziz

Azhari

Mobin³

2022

International Journal of Banking and Finance

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show abstract

“…The empirical findings indicate that five out of the six stocks, including the oil price indexes, exhibited numerous bubbles. Chang et al (2021) examines the existence of speculative bubbles in the United States markets from 2015 to 2019, with a particular emphasis on the time affected by the COVID-19 pandemic and they find evidence to support the presence of a market bubble in the US stock market for certain sub-sample time periods.…”

Section: Literature Reviewmentioning

confidence: 99%

Enerji Belirsizliği ve Enerji Sektörü Getirileri İlişkisi

Kamışlı

2023

Finansal Piyasaların Evrimi IV

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Enerji, günlük yaşantının ve ekonomik hayatın en önemli parçalarından biridir. Günümüzde enerji sektörünün ülke ekonomileri içerisinde önemli bir pay aldığı görülmektedir. Öte yandan, önemi her geçen gün artan enerji, kaynakların kıt olması nedeniyle ülkeleri yeni arayışlara itmekte ve sektöre önemli yatırımların yapılmasına neden olmaktadır. Yalnızca devletler ve işletmeler değil, portföy yatırımcıları da özel olarak sektöre yatırım yapabilmektedir. Ancak hem arz hem de talep tarafında yaşanan olası değişimler, enerji fiyatlarında belirsizliğe neden olmaktadır ve bu belirsizlik sektörde faaliyet gösteren işletmelerin karlılıklarına ve dolayısıyla, enerji sektörüne yatırım yapmayı tercih eden hisse senedi yatırımcılarının getirilerine de etki edebilmektedir. Bu bağlamda çalışmanın temel amacı, enerji belirsizliği ve enerji sektörü getirileri arasındaki ilişkilerin belirlenmesidir. Bu amaç doğrultusunda; Ocak 1996-Ekim 2022 tarihleri arasında, Global Enerji Belirsizlik Endeksi ile 37 ülkenin enerji sektörü endeks getirileri arasındaki ilişki, Pata ve Yilanci (2020) tarafından geliştirilen Kesirli Frekanslı Esnek Fourier Formunda Toda ve Yamamoto (FFFF-TY) nedensellik testi ile analiz edilmiştir. Sonuçlar, ele alınan ülkeler kapsamında genel olarak enerji sektörü getirilerinden enerji belirsizliğine doğru nedensellik ilişkisi olduğunu göstermektedir. Ayrıca belirlenen ilişkilerin de genel olarak kalıcı yapıya sahip olduğu tespit edilmiştir.

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Analysis of Bubbles Assets for Weighted Average Interest Rates Applied to Bank Loans

Tarkun,

Işığıçok

2024

Yönetim Ve Ekonomi Araştırmaları Dergisi

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This study examines the existence of the "bubble effect" in the average interest rates of loans applied by banks to various types of loans for consumers. The purpose of this article is the research of the bubble formations in the average interest rates applied by the banks to consumer, housing (home), vehicle, and commercial loan types. This article examines the existence of bubbles in the average loan interest rates of banks in Turkey using the GSADF unit root test developed by Phillips et al. (2015). Bubble assets are analyzed with weekly data for the period June 2019–March 2023. Monte Carlo simulations performed obtained critical values for the GSADF unit root test. The results show that the bubble effect on housing loan interest rates is statistically significant at the 0.05 level. Against this, although the existence of a bubble effect in consumer, vehicle, and commercial loan interest rates has been determined, these bubbles are statistically insignificant.

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Bubbles During Covid-19 Period: Evidence from the United States Using the Generalized Sub ADF Test

Cited by 4 publications

References 9 publications

Detecting Asset Price Bubbles During the Covid-19 Crisis and Its Implications: Evidence From the Stock and Oil Market

Detecting Asset Price Bubbles During the Covid-19 Crisis and Its Implications: Evidence From the Stock and Oil Market

Enerji Belirsizliği ve Enerji Sektörü Getirileri İlişkisi

Analysis of Bubbles Assets for Weighted Average Interest Rates Applied to Bank Loans

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