Monetary policy shocks and multi-scale positive and negative bubbles in an emerging country: the case of India
Abstract We employ the Multi-Scale Log-Periodic Power Law Singularity Confidence Indicator (MS-LPPLS-CI) approach to identify positive and negative bubbles in the short-, medium, and long-term for the Indian stock market, using weekly data from November 2003 to December 2020. We use a nonparametric...
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| Format: | Article |
| Language: | English |
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SpringerOpen
2025-01-01
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| Series: | Financial Innovation |
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| Online Access: | https://doi.org/10.1186/s40854-024-00692-6 |
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| author | Oguzhan Cepni Rangan Gupta Jacobus Nel Joshua Nielsen |
| author_facet | Oguzhan Cepni Rangan Gupta Jacobus Nel Joshua Nielsen |
| author_sort | Oguzhan Cepni |
| collection | DOAJ |
| description | Abstract We employ the Multi-Scale Log-Periodic Power Law Singularity Confidence Indicator (MS-LPPLS-CI) approach to identify positive and negative bubbles in the short-, medium, and long-term for the Indian stock market, using weekly data from November 2003 to December 2020. We use a nonparametric causality-in-quantiles approach to analyze the predictive impact of monetary policy shocks on bubble indicators. We find, in general, strong evidence of predictability across the entire conditional distribution for the two monetary policy shock factors, with stronger impacts for negative bubbles. Our findings have critical implications for the Reserve Bank of India, academics, and investors. |
| format | Article |
| id | doaj-art-1066c3e8868b43ff965f7efdcfe1aa5d |
| institution | Kabale University |
| issn | 2199-4730 |
| language | English |
| publishDate | 2025-01-01 |
| publisher | SpringerOpen |
| record_format | Article |
| series | Financial Innovation |
| spelling | doaj-art-1066c3e8868b43ff965f7efdcfe1aa5d2025-01-12T12:36:16ZengSpringerOpenFinancial Innovation2199-47302025-01-0111112510.1186/s40854-024-00692-6Monetary policy shocks and multi-scale positive and negative bubbles in an emerging country: the case of IndiaOguzhan Cepni0Rangan Gupta1Jacobus Nel2Joshua Nielsen3Ostim Technical UniversityUniversity of PretoriaUniversity of PretoriaBoulder Investment Technologies, LLCAbstract We employ the Multi-Scale Log-Periodic Power Law Singularity Confidence Indicator (MS-LPPLS-CI) approach to identify positive and negative bubbles in the short-, medium, and long-term for the Indian stock market, using weekly data from November 2003 to December 2020. We use a nonparametric causality-in-quantiles approach to analyze the predictive impact of monetary policy shocks on bubble indicators. We find, in general, strong evidence of predictability across the entire conditional distribution for the two monetary policy shock factors, with stronger impacts for negative bubbles. Our findings have critical implications for the Reserve Bank of India, academics, and investors.https://doi.org/10.1186/s40854-024-00692-6Multi-scale positive and negative bubblesMonetary policy shocksNonparametric causality-in-quantiles testIndia |
| spellingShingle | Oguzhan Cepni Rangan Gupta Jacobus Nel Joshua Nielsen Monetary policy shocks and multi-scale positive and negative bubbles in an emerging country: the case of India Financial Innovation Multi-scale positive and negative bubbles Monetary policy shocks Nonparametric causality-in-quantiles test India |
| title | Monetary policy shocks and multi-scale positive and negative bubbles in an emerging country: the case of India |
| title_full | Monetary policy shocks and multi-scale positive and negative bubbles in an emerging country: the case of India |
| title_fullStr | Monetary policy shocks and multi-scale positive and negative bubbles in an emerging country: the case of India |
| title_full_unstemmed | Monetary policy shocks and multi-scale positive and negative bubbles in an emerging country: the case of India |
| title_short | Monetary policy shocks and multi-scale positive and negative bubbles in an emerging country: the case of India |
| title_sort | monetary policy shocks and multi scale positive and negative bubbles in an emerging country the case of india |
| topic | Multi-scale positive and negative bubbles Monetary policy shocks Nonparametric causality-in-quantiles test India |
| url | https://doi.org/10.1186/s40854-024-00692-6 |
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