Análisis de procesos explosivos en el precio de los activos financieros: evidencia alrededor del mundo
This article analyzes different international share price indices for the period 1995-2013, in order to test for the existence and date of appearance of asset price explosions in the world’s stock markets. A sign test is employed to construct different indices of bubbles in representative financial...
| Main Authors: | , |
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| Format: | Article |
| Language: | Spanish |
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Universidad Católica de Colombia
2016-03-01
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| Series: | Revista Finanzas y Política Económica |
| Subjects: | |
| Online Access: | http://editorial.ucatolica.edu.co/ojsucatolica/revistas_ucatolica/index.php/RFYPE/article/view/929/976 |
| Summary: | This article analyzes different international share price indices for the period 1995-2013, in order to test for the existence and date of appearance of asset price explosions in the world’s stock markets. A sign test is employed to construct different indices of bubbles in representative financial markets for each region, using dynamic factor models. These indices permit a characterization to be made of each region in terms of risk and, also, of the occurrence of financial bubbles. Evidence is found that indicates a certain degree of synchronization between episodes of financial bubbles in the markets analyzed and, generally, at international level. |
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| ISSN: | 2248-6046 2011-7663 |