Análisis de procesos explosivos en el precio de los activos financieros: evidencia alrededor del mundo

• Main Authors: Julián Fernández Mejía, Jorge Mario Uribe
• Format: Article
• Language: Spanish
• Published: Universidad Católica de Colombia 2016-03-01
• Series: Revista Finanzas y Política Económica
• Subjects: bubbles; sign test; factors; indices; crises
• Online Access: http://editorial.ucatolica.edu.co/ojsucatolica/revistas_ucatolica/index.php/RFYPE/article/view/929/976

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.