Are there bubbles in sectoral indices? Evidence from national stock exchange

References

• Abhyankar, A. C. (2011). Uncovering nonlinear structure in real-time stock-market indexes: The S&P 500, the DAX, the Nikkei 225, and the FTSE-100. Journal of Business and Economic Statistics, (1–14). https://doi.org/10.2307/1392068
   Google Scholar
• Abreu, D. A, Brunnermeier, M. (2003). Bubbles and crashes. In Econometrica (Vol 71) (pp. 173–12). https://EconPapers.repec.org/RePEc:ecm:emetrp:v:71:y:2003:i:1:p:173-204
   Google Scholar
• Abuzayed, B., Al-Fayoumi, N., & Arabiyat, T. S. (2018). Does Investors’ Fear Gauge in a Mature Market Matter? Evidence from the MENA Region. The Journal of Wealth Management Apr, 21(1), 71–87. https://doi.org/10.3905/jwm.2018.21.1.071
   Google Scholar
• Ahmad, A. A. (2016). Current status of research and development in the SAARC region. In Science (Vol 35) (pp. 63–66). https://doi.org/10.3923/std.2016.63.66
   Google Scholar
• Arshanapalli, B. &. (2008). A cointegration test to verify the housing bubble. The International Journal of Business and Finance Research, 35–43. https://www.theibfr2.com/RePEc/ibf/ijbfre/ijbfr-v2n2-2008/IJBFR-V2N2-2008-3.pdf
   Google Scholar
• Banerjee, A. (2011). Application of behavioural finance in investment decisions: An overview. The Management Accountant, 46(10), 869–872. https://doi.org/10.33516/maj.v46i10.869-872p
   Google Scholar
• Banerjee, A., & Kayal, P. (2021), ”Bubble run-ups and sell-offs: A study of Indian stock market”, Review of Behavioral Finance. https://doi.org/10.1108/RBF-06-2020-0122
   Google Scholar
• Bozoklu, Ş., & Zeren, F. (2014). Türkiye hisse senedi piyasasinda rasyonel köpükler: Sakli eş bütünleşme yaklaşimi. Finansal Araştırmalar ve Çalışmalar Dergisi, 5(9), 17–31. Retrieved from https://dergipark.org.tr/en/pub/marufacd/issue/501/4557
   Google Scholar
• Caraiani, P. &., & Cǎlin, A. C. (2020). The impact of monetary policy shocks on stock market bubbles International evidence. Finance Research Letters, 34, 101268. https://doi.org/10.1016/j.frl.2019.08.016
   Web of Science ®Google Scholar
• Caspi, I., Setzer, R. W., Strope, C. L., Wambaugh, J. F., & Sipes, N. S. (2017). Rtadf: Testing for bubbles with EViews. Journal of Statistical Software, 79(4), 1–16. https://doi.org/10.18637/jss.v079.i04
   PubMedGoogle Scholar
• Chang, E. C., Cheng, J. W., & Khorana, A. (2000). An examination of herd behaviour in equity markets: An international perspective. Journal of Banking & Finance, 24(10), 1651–1679. https://doi.org/10.1016/S0378-4266(99)00096-5
   Web of Science ®Google Scholar
• Chang, T., Gil-Alana, L., Aye, G. C., Gupta, R., & Ranjbar, O. (2016). Testing for bubbles in the BRICS stock markets. Journal of Economic Studies, 43(4), 646–660. https://doi.org/10.1108/JES-07-2014-0128
   Web of Science ®Google Scholar
• Chang, & Gupta, R. (2014). “Testing for multiple bubbles in the BRICS stock markets”. Pretoria.: Department of Economics working Q, 7, University of Pretoria.
   Google Scholar
• Chong, T. T. (2017). What explains herd behaviour in the Chinese stock market? Journal of Behavioral Finance, 18(4), 48–456. https://doi.org/10.1080/15427560.2017.1365365
   Web of Science ®Google Scholar
• Chun, J., Yi, W., Tsangyao, C., & Chi-Wei, S. (2015). Are there bubbles in Chinese RMB–dollar exchange rate? Evidence from generalized sup ADF tests. Applied Economics, 47(56), 6120–6135. https://doi.org/10.1080/00036846.2015.1064080
   Web of Science ®Google Scholar
• Costa, C. T., da Silva, W. V., de Almeida, L. B., & da Veiga, C. P. (2017). Empirical evidence of speculative bubbles in the prices of stocks traded on the São Paulo Stock exchange. Contaduría Y Administración, 62(4), 1317–1334. https://doi.org/10.1016/j.cya.2017.02.007
   Google Scholar
• Diba, B., & Grossman, H. (1988, September). The theory of rational bubbles in stock prices. The Economic Journal, 98, 746–754. https://doi.org/10.2307/2233912
   Web of Science ®Google Scholar
• El Montasser, G. N., Naoui, K., & Fry, J. (2018). Speculative bubbles or explosive fundamentals in stock prices? New evidence from SADF and GSADF tests. Journal of Statistics and Management Systems, 21(1), 93–106. https://doi.org/10.1080/09720510.2017.1401799
   Web of Science ®Google Scholar
• Gangadharan, G. G., & Suresh, D. N. (2019). Interrogation of a Bubblein the Indian Market. Journal of Management, 6(3), 64–70. https://doi.org/10.34218/JOM.6.3.2019.008
   Google Scholar
• Garber, P. M. (2000). Famous first bubbles: The fundamentals of early manias. In Famous first bubbles: The fundamentals of early manias (The MIT Press)0-262-07204-1 https://direct.mit.edu/books/book/2531/Famous-First-BubblesThe-Fundamentals-of-Early https://doi.org/10.7551/mitpress/2958.001.0001.
   Google Scholar
• George, M., Shuping, S., & David, T. (2019). Bubble detection and sector trading in real-time. Quantitative Finance, 19(2), 247–263. https://doi.org/10.1080/14697688.2018.1459811
   Web of Science ®Google Scholar
• GUPTA, T., & SHARMA, A. (2021). India’s Stock Market Bubble 2021: Signs and Causes. IUP Journal of Financial Risk Management, [S. L.], 18(2), 7–17. Disponível em Acesso em
   Google Scholar
• Hirshleifer, D. &., & Teoh, S. H. (2003). Limited attention, information disclosure, and financial reporting. Journal of Accounting and Economics, 36(1–3), 337–386. https://doi.org/10.1016/j.jacceco.2003.10.002
   Web of Science ®Google Scholar
• Hsieh, D. A. (1991). Chaos and nonlinear dynamics: Application to financial markets. The Journal of Finance, 46(5), 1839–1877. https://doi.org/10.1111/j.1540-6261.1991.tb04646.x
   Web of Science ®Google Scholar
• Jadevicius, A. &., & van Gool, P. (2020). Assessing Dutch housing cycle and near-term market prospects. Journal of European Real Estate Research, 13(2), 257–270. https://doi.org/10.1108/JERER-07-2019-0020
   Web of Science ®Google Scholar
• Khan, K., Chi-Wei, S., & Rehman, A. U. (2021). Do multiple bubbles exist in coal price? Resources Policy, 73, 102232. https://doi.org/10.1016/j.resourpol.2021.102232
   Web of Science ®Google Scholar
• Kirkpinar, A., Erer, E., & Erer, D. (2019). Is there a rational bubble in the best 100 and sector indices? Financial Studies, 23(85), 21–33. https://hdl.handle.net/10419/231682
   Google Scholar
• KORKMAZ, O., ERER, D., & ERER, E. (2016). Do the Bubbles in Alternative Financial Instruments Affect the Turkish Stock Market? An Application to BIST100. Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, 10(2), 29–61. https://ideas.repec.org/a/bdd/journl/v10y2016i2p29-61.html
   Google Scholar
• LeRoy, S. F., & Porter, R. D. (1981). The present-value relation: Tests based on implied variance bounds. Journal of the Econometric Society, 49(3), 555–574. https://doi.org/10.2307/1911512
   Web of Science ®Google Scholar
• Liaqat, A., Nazir, M. S., & Ahmad, I. (2019). Identification of multiple stock bubbles in an emerging market: Application of GSADF approach. Economic Change and Restructuring, 52(3), 301–326. https://doi.org/10.1007/s10644-018-9230-0
   Web of Science ®Google Scholar
• Lux, T. (1995). Herd behaviour, bubbles and crashes. The Economic Journal, 105(431), 881–896. https://doi.org/10.2307/2235156
   Web of Science ®Google Scholar
• Martin, A. A., & Ventura, J. (2018). The macroeconomics of rational bubbles: A user’s guide. Annual Review of Economics, 10(1), 505–539. https://doi.org/10.1146/annurev-economics-080217-053534
   Google Scholar
• McCarthy, J. (2004). Are home prices the next bubble?. Economic policy review, 10(3), 1–17. https://www.newyorkfed.org/research/epr/04v10n3/0412mcca.html
   Google Scholar
• Narayan, P. K., Mishra, S., Sharma, S., & Liu, R. (2013). Determinants of stock price bubbles. Economic modelling, 35, 661–667. https://doi.org/10.1016/j.econmod.2013.08.010
   Web of Science ®Google Scholar
• Phillips, P. S., Shi, S., & Yu, J. (2015). Testing for multiple bubbles: Limit theory of real-time detectors. International Economic Review, 56(4), 1043–1078. https://doi.org/10.1111/iere.12132
   Google Scholar
• Phillips, P. C.B, & Yu, J. (2011). Dating the timeline of financial bubbles during the subprime crisis. Quantitative economics, 2, 455–491. https://doi.org/10.3982/QE82
   Web of Science ®Google Scholar
• Rasekhi, S. E. Z. (2017). Testing for multiple bubbles in Iranian foreign exchange market: The application of RTADF unit root tests. Journal of Economic Modelling Research, 7(27), 7–39. https://jemr.khu.ac.ir/article-1-1118-en.html
   Google Scholar
• Santos, D. V. (2020). Bubble detection and contagion: an analysis by segments of the US Stock, real estate, and credit markets. In Master in Economics Dissertation, Universidade Do Porto. https://hdl.handle.net/10216/129188
   Google Scholar
• Sharma, S., & Escobari, D. “Identifying Price Bubble Periods in the Energy Sector.” Energy Economics 69 (January 1, 2018). 418–429. https://doi.org/10.1016/j.eneco.2017.12.007
   Google Scholar
• Shiller, R. J. (1981). Alternative tests of rational expectations models: The case of the term structure. Journal of Econometrics. Journal of Econometrics, 16(1), 71–87. https://doi.org/10.1016/0304-4076(81)90076-2
   Web of Science ®Google Scholar
• Shiller, R. J. (2000). Measuring bubble expectations and investor confidence. The Journal of Psychology and Financial Markets, 1(1), 49–60. https://doi.org/10.1207/S15327760JPFM0101_05
   Google Scholar
• Sornette, D., & Cauwels, P. (2015). Financial Bubbles: Mechanisms and Diagnostics”. Review of Behavioral Economics, 2(3), 279–305. https://dx.doi.org/10.1561/105.00000035
   Web of Science ®Google Scholar
• Sun, O., & Liu, Z. (2016). Comparison of Monetary Policy Actions and Central Bank Communication on Tackling Asset Price Bubbles—Evidence from China’s Stock Market. Plos One, 11(11), e0166526. https://doi.org/10.1371/journal.pone.0166526
   PubMed Web of Science ®Google Scholar
• Su, C. W., Wang, X. Q., Zhu, H., Tao, R., Moldovan, N. C., & Lobonţ, O. R. (2020). Testing for multiple bubbles in the copper price: Periodically collapsing behaviour. Resources Policy, 65, 101587. https://doi.org/10.1016/j.resourpol.2020.101587
   PubMed Web of Science ®Google Scholar
• Tai-Leung Chong, T., Liu, X., & Zhu, C. (2017). What Explains Herd Behavior in the Chinese Stock Market?. Journal of Behavioral Finance, 18(4), 448–456. https://doi.org/10.1080/15427560.2017.1365365
   Web of Science ®Google Scholar
• Tan, L. C., Chiang, T. C., Mason, J. R., & Nelling, E. (2008). Herding behaviour in Chinese stock markets: An examination of A and B shares. l, 16 (1-2). Pacific–Basin Finance Journal, 16(1–2), 61–77. https://doi.org/10.1016/j.pacfin.2007.04.004
   Google Scholar
• Uchenna, E. & Emmanuel, A. (2017). Testing for explosive bubbles in the South African-US exchange rate using the sequential ADF procedures. Banks and Bank Systems, 12(1–1), 105–112. https://doi.org/10.21511/bbs.12(1-1).2017.02
   Google Scholar
• Wu, G. (2008). Are there speculative bubbles in stock markets? Evidence from an alternative approach. Statistics and Its Interface, 1(2), 307–320. https://doi.org/10.4310/SII.2008.v1.n2.a8
   Web of Science ®Google Scholar
• Wurgler, J. A., & Zhuravskaya, E. (2002). Does arbitrage flatten demand curves for stocks? Journal of Business, 75(4), 583–608. https://doi.org/10.1086/341636
   Web of Science ®Google Scholar
• Yanık, S. & Aytürk, Y. (2011). Rational Speculative Bubbles in Istanbul Stock Exchange. Muhasebe ve Finansman Dergisi, 51, 175–190. https://dergipark.org.tr/en/pub/mufad/issue/35630/396067
   Google Scholar
• Zhang, Y., Jiaxin, X., & Zhai, L. (2020). Are there Bubbles in the Defence Sector of China’s Stock Market (2005–2016)? New Evidence from Sequential ADF Tests. Defence and Peace Economics, 31(1), 105–119. https://doi.org/10.1080/10242694.2018.1428857
   Web of Science ®Google Scholar
• Zhang, W., Shi, & Liu. (2018). Is hub-based pricing a better choice than oil indexation for natural gas? Evidence from a multiple bubble test. Energy Economics, 76, 495–503. https://doi.org/10.1016/j.eneco.2018.11.001
   Web of Science ®Google Scholar