Testing for Bubble(s) in NASDAQ and DJI indexes in 1990-2003

Student thesis: Master thesis (including HD thesis)

  • Seyed Kian Fayazbakhsh
The primary goal of this paper is to investigate if there was a bubble in Nasdaq Composite
index between 1990 and 2003. To do this, two major different tests are applied. The GSADF
test, which can date-stamp the dates with explosiveness and identify if a bubble existed
throughout the study period is the first test. In addition to the GSADF, another method that is
used to detect the explosiveness is the variance bounds test. Some other tests were also
applied in order to have a better understanding about the period with explosiveness in the
study period. These tests, includes the chow break test, the abnormal return test, and the
variance ratio test, which in themselves are not designed to detect bubbles.
Publication date14 Dec 2022
Number of pages69
ID: 505526860