Master'sOpen Access

The analysis of bubbles and crashes on financial markets for emerging economies; Evidenced from BRICS

2018
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Advisor: Yrd. Doç. Dr. Kerim Eser Afşar

Abstract (EN)

The study has been 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 explosive 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 main tests; ADF, RADF, SADF, and GSADF though the study used the first three tests. Monte Carlo method used to get the critical values and simulation. The second goal was to evaluate the impact of bubbles and crashes on the economy for each country. The study covered the time period from 2000 to 2016, to absorb the main currently financial crisis in the BRICS and analyze its impacts. Also, this period coincides with both financial 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 explosive bubbles in the stock market in favor of the alternative hypothesis. The findings suggest that such an explosive behavior may be attributable to differences in the stock prices of traded goods. The result has an economic and policy importance as well as implications for the economy.

Author

Dr. Zakayo Samson Kısava

Institution

How to Cite

Zakayo Samson Kısava (Master Thesis). The analysis of bubbles and crashes on financial markets for emerging economies; Evidenced from BRICS, 2018, Dokuz Eylül University.

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