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- W2970063804 abstract "This study tested for a single bubble episode in the Nigerian Stock Exchange (NSE) by utilizing monthly data on nominal and real all-share index (ASI) from January 2010 to December 2017. Analysis of data based on Sup Augmented Dickey-Fuller (SADF) test for bubble detection suggested non-existence of a bubble in the NSE between 2010 and 2017. Though there was an indication of one explosive episode in September 2011 at which the Dickey-Fuller statistic lied above the critical values sequence line. However, it was not a bubble but a short deviation from trend. The study also estimated a time-varying long memory parameter, using a fractionally-integrated autoregressive model to check the robustness of the SADF test and it provided further evidence on the absence of a bubble. These findings showed that the behaviour of stock prices was not driven by a bubble in the Nigerian Stock Exchange (NSE). The study, therefore recommended that a time-to-time bubble diagnostic check on the exchange so that symptoms of a bubble can be early detected and managed to avoid losses that may result from the bust." @default.
- W2970063804 created "2019-09-05" @default.
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- W2970063804 date "2019-08-27" @default.
- W2970063804 modified "2023-09-24" @default.
- W2970063804 title "Testing for Single Bubble Episode in the Nigerian Stock Market: An Empirical Investigation" @default.
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- W2970063804 doi "https://doi.org/10.33429/cjas.10119.2/6" @default.
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