Bubbles During Covid-19 Period: Evidence from the United States Using the Generalized Sub ADF Test-Reference-Cited by-同舟云学术

Bubbles During Covid-19 Period: Evidence from the United States Using the Generalized Sub ADF Test

Published:2021-04-01 Issue:1 Volume:12 Page:49-56
ISSN:2067-9785
Container-title:HOLISTICA – Journal of Business and Public Administration
language:en
Short-container-title:

Author:

Chang Tsangyao¹,Hsu Chen-Min²,Wang Mei-Chih³

Affiliation:

1. Department of Finance , Feng Chia University , Taichung , Taiwan

2. CTBC Business School , Tainan , Taiwan

3. Department of Finance , Providence University , Taichung , Taiwan

Abstract

Abstract This study applies the generalized sub ADF (GSADF) tests to investigate whether bubbles exist in the United States markets over the period of 2015-2019, focusing on the COVID-19 period. We use daily Dow-Jones stock price indexes for the first time during the time period of 2015/1/7-2020/3/17. Empirical results demonstrate the existence of bubbles in the US stock market during some sub-sample time periods. Especially important, we find the third bubble begins from 2020/2/26 and grows gradually, not bursting until recently, a situation that is ongoing in the US market. Our results have important policy implications for investors who attempt to invest in the US stock market

Publisher

Walter de Gruyter GmbH

Subject

General Engineering

Link

https://www.sciendo.com/pdf/10.2478/hjbpa-2021-0005

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