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Testing For Single Bubble Episode In The Nigerian Stock Market: An Empirical Investigation, Jamilu Ilyasu, Ndayezhin D. Saba
Testing For Single Bubble Episode In The Nigerian Stock Market: An Empirical Investigation, Jamilu Ilyasu, Ndayezhin D. Saba
CBN Journal of Applied Statistics (JAS)
This study evaluates a single bubble episode in the Nigerian Stock Exchange (NSE) by utilizing monthly data on nominal and real all-share index (ASI) from January 2010 to December 2017. Analysis of data based on Sup Augmented Dickey-Fuller (SADF) test for bubble detection suggests non-existence of a bubble in the NSE between 2010 and 2017. Though there is an indication of one explosive episode in September 2011 at which the DickeyFuller statistic lied above the critical values sequence line. However, it is not a bubble but a short deviation from trend. The study also estimates a time-varying long memory parameter, …