Speculative bubbles or explosive fundamentals in stock prices? New evidence from SADF and GSADF tests
(2018)
Journal Article
El Montasser, G., 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
This paper uses recently developed sequential ADF tests to distinguish between rational speculative bubbles and explosive fundamentals in the US Stock market. The sequential ADF tests are shown to be more sensitive than the conventional ADF test. Res... Read More about Speculative bubbles or explosive fundamentals in stock prices? New evidence from SADF and GSADF tests.