DETECTING THE BUBBLE IN INDIVIDUAL STOCK LISTING OF THE S&P 500: A STUDY FROM 2018 TO 2023
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Abstract
Stock bubbles are characterized by unpredictable price surges and subsequent declines, causing significant losses for investors. The study aimed to detect mildly explosive patterns in S&P 500-listed stocks in real-time using the GSADF test. This study focused on the length, the normality of the stock bubble episode and compared the effectiveness of SADF and GSADF tests in bubble detection, consistently finding GSADF's superiority. The duration of breakouts exhibited non-normality, suggesting unusually long bubble durations.
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- last seen: 2026-05-19T01:45:01.086888+00:00