MULTIPLE BUBBLES OF THE GOLD MARKET: ORIGINATION, EXPLOSION AND COMPLETE DELETION

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NASROLLAHI ZAHRA; JALALI OMOLBANIN; HATEFI MADJUMERD MADJID

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Journal: JOURNAL OF ECONOMIC MODELING Year:2017 | Volume:2 | Issue:1 (4) Page(s): 81-111

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Title

MULTIPLE BUBBLES OF THE GOLD MARKET: ORIGINATION, EXPLOSION AND COMPLETE DELETION

Author(s)

NASROLLAHI ZAHRA | JALALI OMOLBANIN | HATEFI MADJUMERD MADJID | Issue Writer Certificate

Keywords

GOLDQ1

SINGLE AND MULTIPLE BUBBLESQ1

MIDDLE EXPLOSIVE BEHAVIORQ1

ROLLING WINDOW ADFQ1

Abstract

Usually attention to the buying and keeping GOLD will increase with economic crises in the global economy, because GOLD has intrinsic value and in the economic crisis not only maintain its value but also high demand of it cause increase in its value. With increasing demand for GOLD, the possibility of existence of bubbles in its market will increase; therefor GOLD holders will tolerate destructive effects because of not identifying of the price bubbles.New economic tools not only make possible the analysis of MIDDLE EXPLOSIVE BEHAVIOR of the bubble but also provide the possibility of identifying origination and termination date of that. According to this, the aim of this study is to explore price bubbles in GOLD market and to determinate date stamping of origination, explosion and complete deletion of them in the period of 01/07/2000 t0 30/12/2015. The methodologies that use for detection of bubbles are standard ADF, ROLLING WINDOW ADF, Supremum ADF and Generalized Supremum ADF tests. The results indicate that GOLD price is bubbling in at least 39% of sample period. The existence of the multiple bubbles is also confirmed in this market.

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APA: Copy

NASROLLAHI, ZAHRA, JALALI, OMOLBANIN, & HATEFI MADJUMERD, MADJID. (2017). MULTIPLE BUBBLES OF THE GOLD MARKET: ORIGINATION, EXPLOSION AND COMPLETE DELETION. JOURNAL OF ECONOMIC MODELING, 2(1 (4) ), 81-111. SID. https://sid.ir/paper/264923/en

Vancouver: Copy

NASROLLAHI ZAHRA, JALALI OMOLBANIN, HATEFI MADJUMERD MADJID. MULTIPLE BUBBLES OF THE GOLD MARKET: ORIGINATION, EXPLOSION AND COMPLETE DELETION. JOURNAL OF ECONOMIC MODELING[Internet]. 2017;2(1 (4) ):81-111. Available from: https://sid.ir/paper/264923/en

IEEE: Copy

ZAHRA NASROLLAHI, OMOLBANIN JALALI, and MADJID HATEFI MADJUMERD, “MULTIPLE BUBBLES OF THE GOLD MARKET: ORIGINATION, EXPLOSION AND COMPLETE DELETION,” JOURNAL OF ECONOMIC MODELING, vol. 2, no. 1 (4) , pp. 81–111, 2017, [Online]. Available: https://sid.ir/paper/264923/en

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