Detecting bubbles in world aluminum prices: Evidence from GSADF test
The aim of this research is to assess the existence of multiple bubbles in the global aluminum market by employing the Generalized Supremum Augmented Dickey-Fuller (GSADF) methodology. This method offers practical time series analysis tools for identifying periods of rapid price escalation, followe...
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Vilnius Gediminas Technical University
2024-12-01
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| Series: | Journal of Business Economics and Management |
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| Online Access: | https://journals.vilniustech.lt/index.php/JBEM/article/view/22262 |
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| author | Menglin Ni Xiaoying Wang |
| author_facet | Menglin Ni Xiaoying Wang |
| author_sort | Menglin Ni |
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The aim of this research is to assess the existence of multiple bubbles in the global aluminum market by employing the Generalized Supremum Augmented Dickey-Fuller (GSADF) methodology. This method offers practical time series analysis tools for identifying periods of rapid price escalation, followed by subsequent collapses. Findings indicate the identification of six explosive bubbles occurring between January 1980 and March 2023, during which the aluminum price strayed from its underlying fundamental value. Additionally, this finding is consistent with the asset pricing model, which generally considers both fundamental and bubble components. Based on the empirical results, the aluminum price bubbles are positively influenced by the copper price, GDP, the U. S dollar index, industrialization of China, China’s urbanization rate, whereas the global aluminum production, oil price, and base metal price index have a negative explanatory effect on the aluminum price bubbles. To effectively stabilize the international aluminum price, policymakers are suggested to be vigilant in identifying bubble episodes and monitoring their progression. Additionally, regulatory authorities should implement measures to curb excessive speculative activity during periods of extreme market volatility, thereby mitigating excessive price fluctuations and the formation of aluminum bubbles.
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| format | Article |
| id | doaj-art-94ab9c8da8f34cfcae9941b40732e804 |
| institution | Kabale University |
| issn | 1611-1699 2029-4433 |
| language | English |
| publishDate | 2024-12-01 |
| publisher | Vilnius Gediminas Technical University |
| record_format | Article |
| series | Journal of Business Economics and Management |
| spelling | doaj-art-94ab9c8da8f34cfcae9941b40732e8042024-12-04T16:29:23ZengVilnius Gediminas Technical UniversityJournal of Business Economics and Management1611-16992029-44332024-12-0125610.3846/jbem.2024.22262Detecting bubbles in world aluminum prices: Evidence from GSADF testMenglin Ni0Xiaoying Wang1School of Business Administration, Shandong Women’s University, Jinan, ChinaSchool of Business Administration, Shandong Women’s University, Jinan, China The aim of this research is to assess the existence of multiple bubbles in the global aluminum market by employing the Generalized Supremum Augmented Dickey-Fuller (GSADF) methodology. This method offers practical time series analysis tools for identifying periods of rapid price escalation, followed by subsequent collapses. Findings indicate the identification of six explosive bubbles occurring between January 1980 and March 2023, during which the aluminum price strayed from its underlying fundamental value. Additionally, this finding is consistent with the asset pricing model, which generally considers both fundamental and bubble components. Based on the empirical results, the aluminum price bubbles are positively influenced by the copper price, GDP, the U. S dollar index, industrialization of China, China’s urbanization rate, whereas the global aluminum production, oil price, and base metal price index have a negative explanatory effect on the aluminum price bubbles. To effectively stabilize the international aluminum price, policymakers are suggested to be vigilant in identifying bubble episodes and monitoring their progression. Additionally, regulatory authorities should implement measures to curb excessive speculative activity during periods of extreme market volatility, thereby mitigating excessive price fluctuations and the formation of aluminum bubbles. https://journals.vilniustech.lt/index.php/JBEM/article/view/22262aluminum pricegeneralized sup ADF testmultiple bubblesmacroeconomic factorssupply securityprobit regression |
| spellingShingle | Menglin Ni Xiaoying Wang Detecting bubbles in world aluminum prices: Evidence from GSADF test Journal of Business Economics and Management aluminum price generalized sup ADF test multiple bubbles macroeconomic factors supply security probit regression |
| title | Detecting bubbles in world aluminum prices: Evidence from GSADF test |
| title_full | Detecting bubbles in world aluminum prices: Evidence from GSADF test |
| title_fullStr | Detecting bubbles in world aluminum prices: Evidence from GSADF test |
| title_full_unstemmed | Detecting bubbles in world aluminum prices: Evidence from GSADF test |
| title_short | Detecting bubbles in world aluminum prices: Evidence from GSADF test |
| title_sort | detecting bubbles in world aluminum prices evidence from gsadf test |
| topic | aluminum price generalized sup ADF test multiple bubbles macroeconomic factors supply security probit regression |
| url | https://journals.vilniustech.lt/index.php/JBEM/article/view/22262 |
| work_keys_str_mv | AT menglinni detectingbubblesinworldaluminumpricesevidencefromgsadftest AT xiaoyingwang detectingbubblesinworldaluminumpricesevidencefromgsadftest |