List of Articles GSADF

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  1 - Testing for Explosive behavior and bubbles In Iran’s Stock Market
  Kazem Biabany Khameneh Saeid Khazaei Amir Hosein Afsharian
  The purpose of this research is testing of existence explosive behavior and identifying periods with price bubbles in stock market of Iran in January 2008 until September 2014. In periods that multiple price bubbles occurs, process of time series change from random walk More

  The purpose of this research is testing of existence explosive behavior and identifying periods with price bubbles in stock market of Iran in January 2008 until September 2014. In periods that multiple price bubbles occurs, process of time series change from random walk to an explosive behavior. In this cases most of the traditional unit roots tests has less power in detecting bubbles because It is necessary that unit root test is able to detecting changes in time series from I(0) to I(1) during bubbles and changing I(1) to I(0) during collapse. For this reason, in the present study Sup ADF and Generalized SADF tests that’s based on right tail augmented Dickey-Fuller unit root test that recently Introduced by Phillips et.al (2014) was applied for testing explosive behavior. According to the results, existence of bubbles in the 15 months of samples, and specially July 2013 until December 2013 is confirmed Manuscript profile