TY  - JOUR
TI  - An empirical comparison of stock market bubbles
AB  - Financial asset bubbles occur due to systematic and continuous differences between fundamental and
market values. Due to high growth periods and foreign capital inflows, bubbles are also seen in stock
market indexes, especially in emerging market economies. This study analyzes the existence of
bubbles in BIST100, IDX COMPOSITE, BOVESPA, MDEX, NIFTY 50, SHANGAI, and S&P 500 stock
markets for the period 2009:01-2021:06. RADF, SADF, and GSADF tests are applied to detect bubbles
on stock market closing prices. In addition, the emergence and demise dates of the bubbles are
determined by employing the date-stamping method. The GSADF test gives more effective results
and determines bubbles with different durations in all stock markets, except the S&P 500. The results
reveal that the most inefficient market is IDX COMPOSITE, and S&P 500is the most efficient market.
The analysis includes the S&P 500, the world's most liquid and most prominent stock market, for
comparison. In this respect, bubbles occur more in emerging market exchanges. The findings also
confirm the validity of the rational bubble law.
AU  - adalı, zafer
AU  - Bari, Bilgin
AU  - KORKMAZ, Özge
DO  - 10.15295/bmij.v9i4.1889
PY  - 2021
JO  - Business and Management Studies: An International Journal
VL  - 9
IS  - 4
SN  - 2148-2586
SP  - 1286
EP  - 1299
DB  - TRDizin
UR  - http://search/yayin/detay/517246
ER  -