Economic Change and Restructuring

, Volume 52, Issue 3, pp 301–326 | Cite as

Identification of multiple stock bubbles in an emerging market: application of GSADF approach

  • Ayesha Liaqat
  • Mian Sajid NazirEmail author
  • Iftikhar Ahmad


This paper aims at to investigate the existence of multiple bubbles and specific corresponding events in Pakistan Stock Exchange across different industrial sectors using Generalized Sup Augmented Dickey Fuller (GSADF) test of right-tailed ADF as proposed by Philips et al. (Int Econ Rev 56:1043–1078, 2015a, Int Econ Rev 56:1079–1134, 2015b) by using monthly data for the period of 2007–2016. Findings of study confirm the existence of multiple bubbles in KSE-100 Index along with different industrial sectors. Empirical results depict that Investments, Chemicals and Textile Spinning were the only few sectors where no stock price bubbles were identified. The present study is expected to be pioneer in its nature to apply GSADF for the identification of multiple stock bubbles in emerging stock market of Pakistan which can be further used for comparison of stock bubbles in other regional markets such as BRICS or SAARC regions in order to find out the similarities and dissimilarities in the events causing stock market bubbles.


Multiple bubbles GSADF KSE-100 index Emerging market Pakistan 



The authors would like to thank anonymous reviewers and the editor for their helpful suggestions and constructive comments that contributed to enhancing the final version of this paper.


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Copyright information

© Springer Science+Business Media, LLC, part of Springer Nature 2018

Authors and Affiliations

  • Ayesha Liaqat
    • 1
  • Mian Sajid Nazir
    • 2
    Email author
  • Iftikhar Ahmad
    • 1
  1. 1.Hailey College of Banking and FinanceUniversity of the PunjabLahorePakistan
  2. 2.Department of Management SciencesCOMSATS University Islamabad, Lahore CampusLahorePakistan

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