Acharya, D. Comparative Analysis of Stock Bubble in S&P 500 Individual Stocks: A Study Using SADF and GSADF Models. J. Risk Financial Manag.2024, 17, 59.
Acharya, D. Comparative Analysis of Stock Bubble in S&P 500 Individual Stocks: A Study Using SADF and GSADF Models. J. Risk Financial Manag. 2024, 17, 59.
Acharya, D. Comparative Analysis of Stock Bubble in S&P 500 Individual Stocks: A Study Using SADF and GSADF Models. J. Risk Financial Manag.2024, 17, 59.
Acharya, D. Comparative Analysis of Stock Bubble in S&P 500 Individual Stocks: A Study Using SADF and GSADF Models. J. Risk Financial Manag. 2024, 17, 59.
Abstract
Stock bubbles are characterized by unpredictable price surges and subsequent declines, causing significant losses for investors. The study aimed to detect mildly explosive patterns in S&P 500-listed stocks in real-time using the GSADF test. This study focused on the length, the normality of the stock bubble episode and compared the effectiveness of SADF and GSADF tests in bubble detection, consistently finding GSADF's superiority. The duration of breakouts exhibited non-normality, suggesting unusually long bubble durations.
Keywords
Stock bubble; Length; Stationarity; Augmented Dickey-Fuller Test
Subject
Business, Economics and Management, Finance
Copyright:
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
