Temporal Structure of Speculative Bubble Dynamics in an Emerging Equity Market: Evidence from Romania

This paper investigates the temporal organization of speculative bubble regimes in the Romanian equity market. Using daily data for six Romanian equity indices from 12 August 2016 to 20 October 2025, the study constructs backward supremum augmented Dickey–Fuller (BSADF)-implied bubble episodes, episode starts, burst events, and bubble-continuation measures. The analysis examines whether speculative regimes are persistent, synchronized across market segments, and temporally concentrated in their termination. The results show substantial heterogeneity in bubble incidence and duration across indices but also clear episodes of synchronization, with several periods in which four or five indices are simultaneously classified as being in a bubble state. Daily-panel regressions suggest that temporal structure is more visible in burst timing and bubble continuation than in unconditional bubble incidence or episode initiation. Collapse-clustering tests provide suggestive evidence of burst concentration over 20-trading-day windows. The findings emphasize persistence, synchronization, and clustered unwinding in emerging-market bubble dynamics.