We apply the sequential unit root tests of Phillips et al. (2015) for mildly explosive processes to identify and date-stamp bubbles in the emerging and frontier African stock markets. We find periods of explosive behavior in the price–dividend ratio in several markets which is indicative of...

I examine the return predictability of the Indonesian stock-market during 1984–2016, in rolling windows, using an automatic portmanteau test and an automatic variance ratio. I find that the market's efficiency and predictability vary over time — consistent with the adaptive market hypothesis...

The purpose of this paper is to test for the presence of bubbles in the US lodging/hotel real estate investment trust (REIT) sub-sector from 1994 to 2016. It also compares the profitability of a buy-and-hold strategy with several technical trading rules when applied to lodging REITs. To...