Browse > Article
http://dx.doi.org/10.5351/KJAS.2020.33.5.655

A GSADF bubble test analysis for COVID-19 pandemic  

Shin, Jiwon (Department of Statistics, Ewha Womans University)
Shin, Dong Wan (Department of Statistics, Ewha Womans University)
Publication Information
The Korean Journal of Applied Statistics / v.33, no.5, 2020 , pp. 655-664 More about this Journal
Abstract
We apply the GSADF bubble test and its date-stamping method for the daily number of new COVID-19 cases. The test indicates statistically significant explosive expansions of the number of new cases whose periods of panic explosion are identified by the date-stamping method of the bubble test. The date-stamping analysis reveals that as of June 30 2020, the number of daily COVID-19 new cases are still explosively increasing for India; however, they stop explosively increasing (or are under control) for USA, Brazil, Russia, Spain, Turkey, China, and South Korea. It also reveals that South Korea has two disjoint periods of explosion: a stable period follows after the first explosion of 2020.02.20-2020.03.06, and then the second explosion occurs 2020.05.27-2020.06.01 with a stable period that continues up to 2020.06.30.
Keywords
COVID-19; GSADF; Bubble test; Bubble date-stamping;
Citations & Related Records
연도 인용수 순위
  • Reference
1 Blanchard, O. and Watson, M. (1982). Bubbles, rational expectations and financial markets, Crises in the Economic and Financial Structure, 945, 295-316.
2 Campbell, J. and Robert S. (1987). Cointegration and tests of present value models, Journal of Political Economy, 95, 1062-1088.   DOI
3 Caspi, I. and Graham, M. (2018). Testing for bubbles in stock markets with irregular dividend distribution, Finance Research Letters, 26, 89-94.   DOI
4 Castelino, M. and Francis, J. (1982). Basis speculation in commodity futures: the maturity effect, The Journal of Futures Markets, 2, 195-206.   DOI
5 Chowdhury, A. (1991). Futures market efficiency: evidence from cointegration tests, The Journal of Futures Markets, 11, 1986-1998.   DOI
6 Diba, B. and Grossman, H. (1988). The theory of rational bubbles in stock prices, The Economic Journal, 98, 746-754.   DOI
7 Engsted, T., Hviid, S., and Pedersen, T. (2016). Explosive bubbles in house prices? Evidence from the OECD countries, Journal of International Financial Markets, Institutions and Money, 40, 14-25.   DOI
8 Evans, G. W. (1991). Pitfalls in testing for explosive bubbles in asset prices, The American Economic Review, 4, 922-930.
9 Hall, S., Psaradakis, Z., and Sola, M. (1999). Detecting periodically collapsing bubbles: a Markov-switching unit root test, Journal of Applied Econometrics, 14, 143-154.   DOI
10 Harsha, S. and Ismail, B. (2017). Improved test for detecting explosive bubbles, Journal of Data Science, 15, 495-508.
11 Li, Y., Chevallier, J., Wei, Y., and Li, J. (2020). Identifying price bubbles in the US, European and Asian natural gas market: Evidence from a GSADF test approach, Energy Economics, 87, Online.
12 Liaqat, A., Nazir, M. S., and Ahmad, I. (2019). Identification of multiple stock bubbles in an emerging market: application of GSADF approach, Economic Change and Restructuring, 52, 301-326.   DOI
13 Montasser, G., Naoui, K., and 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, 93-106.   DOI
14 Phillips, P., Shi, S., and Yu, J. (2015). Testing for multiple bubbles: historical episodes of exuberance and collapse in the S&P500, International Economic Review, 56, 1043-1078.   DOI
15 Su, C., Li, Z., Chang, H., and Lobont, O. (2017). When will occur the crude oil bubbles, Energy Policy, 102, 1-6.   DOI
16 Phillips, P., Wu, Y., and Yu, J. (2011). Explosive behavior in the 1990s Nasdaq: When did exuberance escalate asset values?, International Economic Review, 52, 201-226.   DOI
17 Shaen, C., Brian, L., and Larisa, Y. (2018). Datestamping the Bitcoin and Ethereum bubbles, Finance Research Letters, 26, 81-88.   DOI
18 Shiller, R. (1981). Do stock prices move too much to be justified by subsequent changes in dividends?, The American Economic Review, 71, 421-436.
19 West, K. (1987). A specification test for speculative bubbles, Quarterly Journal of Economics, 102, 553-580.   DOI
20 Wu, Y. (1997). Rational bubbles in the stock market: Accounting for the US stock-price volatility, Economic Inquiry, 35, 309-319.   DOI