A full-fledged empirical test of the latest methodology in field recursive procedures for identifying and dating market bubbles - GSADF has been performed. The use previous iterations tests did not allow to accurately determine presence a bubble at early stages its formation. results this study prove that using sliding window significantly improves discriminatory ability tests, formation it all...

This paper investigates the presence of speculative bubbles in Scandinavian countries namely Denmark, Finland, Norway, and Sweden over period from 1980Q1 to 2018Q4 searches for evidence bubble migration among those countries. First, we apply GSADF test developed by Phillips et al. (2015) on quarterly housing price-to-rent ratios exuberance episodic bubbles. Subsequently, examine between these m...

This study explores the bubble behavior in prices of top five cryptocurrencies (i.e., Bitcoin, Ethereum, Ripple, Stellar, and Tether) using daily data closing level at COVID-19 pandemic, covering period from January 2, 2020 to 2021. The testing procedure selected is investigated by two methodologies. Those covers test statistics originated Supremum Augmented Dickey-Fuller (SADF) (Phillips et al...

Belirli bir içsel değeri bulunmayan ve fiyatı ekonomik temellerle tahmin edilemeyen kripto paraların spekülasyona açık oldukları fiyatlarının davranışsal birtakım faktörler tarafından yürütüldüğü görüşü giderek yaygınlık kazanmaktadır. Söz konusu özelliklerin piyasada yüksek volatilite belirsizliğin yanı sıra balon oluşumlarını da tetiklediği düşünülmektedir. Bu varsayımı test etmek üzere altı ...

This empirical study is an attempt to detect speculative bubbles in different indexes of the Pakistan stock market (KSE-100, KSE-30 & KMI-30) using monthly time series data from (2005– 2020) evaluate all four Rtadf (Recursive, Right tail Augmented Dickey-Fuller) tests. includes Standard ADF, Rolling-window Supreme ADF (SADF) and Generalized SADF (GSADF) with Monte-Carlo simulation, under Ga...

Price bubbles may be a leading indicator for financial crises. In history, some of the important price bubble cases occurred in real estate or housing market. this study, existence bubbles, periods existing and factors affecting formation sector both Turkey TR22 Region (Balıkesir-Çanakkale) are being investigated. Data covering 126 monthly indices period between January 2010 June 2020 were used...

This study examines the explosive behavior in five local market prices of stock indices (in USD and TRY), 
 bond, CDS, gold, currency exchange rate USDTRY at weekly observations over sample period between 2005 2021. We find strong evidence bubble formations markets during crisis (financial pandemic, such as ongoing COVID-19 outbreak) non-crisis periods. The findings show both unidirectiona...

This paper provides new empirical evidence on housing bubble timing, volatility spillover, and contagion between Japan its economic partners, namely, the United States, Eurozone, Kingdom. First, we apply a generalized sup ADF (GSADF) test to quarterly price-to-rent ratio from 1970Q1 2018Q4 detect explosive behaviors in prices. Second, analyze spillover prices partners using multivariate time-va...