The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
권호 표지
DOI QR코드

DOI QR Code

A GSADF bubble test analysis for COVID-19 pandemic

COVID-19 펜데믹에 대한 GSADF 버블 검정 분석

  • Shin, Jiwon (Department of Statistics, Ewha Womans University) ;
  • Shin, Dong Wan (Department of Statistics, Ewha Womans University)
  • 신지원 (이화여자대학교 통계학과) ;
  • 신동완 (이화여자대학교 통계학과)
  • Received : 2020.07.09
  • Accepted : 2020.07.27
  • Published : 2020.10.31
Download PDF
⟨ Previous Next ⟩

Abstract

We apply the GSADF bubble test and its date-stamping method for the daily number of new COVID-19 cases. The test indicates statistically significant explosive expansions of the number of new cases whose periods of panic explosion are identified by the date-stamping method of the bubble test. The date-stamping analysis reveals that as of June 30 2020, the number of daily COVID-19 new cases are still explosively increasing for India; however, they stop explosively increasing (or are under control) for USA, Brazil, Russia, Spain, Turkey, China, and South Korea. It also reveals that South Korea has two disjoint periods of explosion: a stable period follows after the first explosion of 2020.02.20-2020.03.06, and then the second explosion occurs 2020.05.27-2020.06.01 with a stable period that continues up to 2020.06.30.

우리는 버블 검정과 이에 해당하는 date-stamping 방법을 통해 주요 국가의 COVID-19 일일 신규 확진자 수 데이터를 분석하였다. 2020.06.30 현재 미국, 브라질, 러시아, 스페인, 터키, 중국, 한국은 확진자 수가 지수적으로 급증하는 공황 상태를 벗어나 어느정도 COVID-19 질병에 대한 통제가 이루어지고 있는 상태임을 확인하였으나 인도는 COVID-19 급증기가 지속되고 있어 한동안 국가적 공황 상태가 지속 될 것으로 평가되었다. 한국은 1차 확산(2020.02.20-2020.03.06)이 지나가고 2020.05.27 에 재 확산기에 잠깐 진입하여 다시 위기를 맞이했다가 최근 2020.06.01 이후 다시 안정기에 재 진입하여 신규 확진자 수가 크게 늘지 않고 안정적이게 유지하고 있다.

Keywords

References

  1. Blanchard, O. and Watson, M. (1982). Bubbles, rational expectations and financial markets, Crises in the Economic and Financial Structure, 945, 295-316.
  2. Campbell, J. and Robert S. (1987). Cointegration and tests of present value models, Journal of Political Economy, 95, 1062-1088. https://doi.org/10.1086/261502
  3. Caspi, I. and Graham, M. (2018). Testing for bubbles in stock markets with irregular dividend distribution, Finance Research Letters, 26, 89-94. https://doi.org/10.1016/j.frl.2017.12.015
  4. Castelino, M. and Francis, J. (1982). Basis speculation in commodity futures: the maturity effect, The Journal of Futures Markets, 2, 195-206. https://doi.org/10.1002/fut.3990020211
  5. Chowdhury, A. (1991). Futures market efficiency: evidence from cointegration tests, The Journal of Futures Markets, 11, 1986-1998. https://doi.org/10.1002/fut.3990110506
  6. Diba, B. and Grossman, H. (1988). The theory of rational bubbles in stock prices, The Economic Journal, 98, 746-754. https://doi.org/10.2307/2233912
  7. Engsted, T., Hviid, S., and Pedersen, T. (2016). Explosive bubbles in house prices? Evidence from the OECD countries, Journal of International Financial Markets, Institutions and Money, 40, 14-25. https://doi.org/10.1016/j.intfin.2015.07.006
  8. Evans, G. W. (1991). Pitfalls in testing for explosive bubbles in asset prices, The American Economic Review, 4, 922-930.
  9. Hall, S., Psaradakis, Z., and Sola, M. (1999). Detecting periodically collapsing bubbles: a Markov-switching unit root test, Journal of Applied Econometrics, 14, 143-154. https://doi.org/10.1002/(SICI)1099-1255(199903/04)14:2<143::AID-JAE500>3.0.CO;2-X
  10. Harsha, S. and Ismail, B. (2017). Improved test for detecting explosive bubbles, Journal of Data Science, 15, 495-508.
  11. Li, Y., Chevallier, J., Wei, Y., and Li, J. (2020). Identifying price bubbles in the US, European and Asian natural gas market: Evidence from a GSADF test approach, Energy Economics, 87, Online.
  12. Liaqat, A., Nazir, M. S., and Ahmad, I. (2019). Identification of multiple stock bubbles in an emerging market: application of GSADF approach, Economic Change and Restructuring, 52, 301-326. https://doi.org/10.1007/s10644-018-9230-0
  13. Montasser, G., Naoui, K., and Fry, J. (2018). Speculative bubbles or explosive fundamentals in stock prices? New evidence from SADF and GSADF tests, Journal of Statistics and Management Systems, 21, 93-106. https://doi.org/10.1080/09720510.2017.1401799
  14. Phillips, P., Shi, S., and Yu, J. (2015). Testing for multiple bubbles: historical episodes of exuberance and collapse in the S&P500, International Economic Review, 56, 1043-1078. https://doi.org/10.1111/iere.12132
  15. Phillips, P., Wu, Y., and Yu, J. (2011). Explosive behavior in the 1990s Nasdaq: When did exuberance escalate asset values?, International Economic Review, 52, 201-226. https://doi.org/10.1111/j.1468-2354.2010.00625.x
  16. Shaen, C., Brian, L., and Larisa, Y. (2018). Datestamping the Bitcoin and Ethereum bubbles, Finance Research Letters, 26, 81-88. https://doi.org/10.1016/j.frl.2017.12.006
  17. Shiller, R. (1981). Do stock prices move too much to be justified by subsequent changes in dividends?, The American Economic Review, 71, 421-436.
  18. Su, C., Li, Z., Chang, H., and Lobont, O. (2017). When will occur the crude oil bubbles, Energy Policy, 102, 1-6. https://doi.org/10.1016/j.enpol.2016.12.006
  19. West, K. (1987). A specification test for speculative bubbles, Quarterly Journal of Economics, 102, 553-580. https://doi.org/10.2307/1884217
  20. Wu, Y. (1997). Rational bubbles in the stock market: Accounting for the US stock-price volatility, Economic Inquiry, 35, 309-319. https://doi.org/10.1111/j.1465-7295.1997.tb01912.x