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

En este artículo se analizan diferentes índices accionarios de mercados alrededor del mundo, en el periodo 1995-2013, con el fin de poner a prueba la existencia y fechar la aparición de procesos explosivos en sus mercados de acciones. Se hace uso de una prueba de signo, para construir diferentes índ...

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Autores:: Fernández-Mejía, Julián
Uribe, Jorge Mario

Tipo de recurso:: Article of investigation

Fecha de publicación:: 2015

Institución:: Universidad Católica de Colombia

Repositorio:: RIUCaC - Repositorio U. Católica

Idioma:: spa

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dc.title.spa.fl_str_mv	Análisis de procesos explosivos en el precio de los activos financieros : evidencia alrededor del mundo.
dc.title.translated.eng.fl_str_mv	Analysis of financial asset price explosions : evidence from around the world.
title	Análisis de procesos explosivos en el precio de los activos financieros : evidencia alrededor del mundo.
spellingShingle	Análisis de procesos explosivos en el precio de los activos financieros : evidencia alrededor del mundo. Sign test Factors Indices Crises Bubbles Burbujas Prueba de signo Factores Índices Crisis Bolhas Teste de signo Fatores Índices Crise
title_short	Análisis de procesos explosivos en el precio de los activos financieros : evidencia alrededor del mundo.
title_full	Análisis de procesos explosivos en el precio de los activos financieros : evidencia alrededor del mundo.
title_fullStr	Análisis de procesos explosivos en el precio de los activos financieros : evidencia alrededor del mundo.
title_full_unstemmed	Análisis de procesos explosivos en el precio de los activos financieros : evidencia alrededor del mundo.
title_sort	Análisis de procesos explosivos en el precio de los activos financieros : evidencia alrededor del mundo.
dc.creator.fl_str_mv	Fernández-Mejía, Julián Uribe, Jorge Mario
dc.contributor.author.spa.fl_str_mv	Fernández-Mejía, Julián Uribe, Jorge Mario
dc.subject.eng.fl_str_mv	Sign test Factors Indices Crises Bubbles
topic	Sign test Factors Indices Crises Bubbles Burbujas Prueba de signo Factores Índices Crisis Bolhas Teste de signo Fatores Índices Crise
dc.subject.spa.fl_str_mv	Burbujas Prueba de signo Factores Índices Crisis Bolhas Teste de signo Fatores Índices Crise
description	En este artículo se analizan diferentes índices accionarios de mercados alrededor del mundo, en el periodo 1995-2013, con el fin de poner a prueba la existencia y fechar la aparición de procesos explosivos en sus mercados de acciones. Se hace uso de una prueba de signo, para construir diferentes índices de burbujas en los mercados financieros representativos de cada región, y se construye además un índice de las principales regiones financieras a partir de modelos dinámicos por factores. Estos índices permiten caracterizar las regiones en términos de riesgo y, asimismo, de ocurrencia de burbujas financieras. Se encuentra evidencia que señala cierto grado de sincronización entre los episodios de burbujas financieras en los mercados analizados y, en general, en todo el mundo.
publishDate	2015
dc.date.issued.none.fl_str_mv	2015-01-01
dc.date.accessioned.none.fl_str_mv	2016-01-01 00:00:00 2023-01-23T16:14:29Z
dc.date.available.none.fl_str_mv	2016-01-01 00:00:00 2023-01-23T16:14:29Z
dc.type.spa.fl_str_mv	Artículo de revista
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dc.type.local.eng.fl_str_mv	Journal article
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dc.identifier.doi.none.fl_str_mv	10.14718/revfinanzpolitecon.2016.8.1.5
dc.identifier.eissn.none.fl_str_mv	2011-7663
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dc.relation.citationedition.spa.fl_str_mv	Núm. 1 , Año 2016
dc.relation.citationendpage.none.fl_str_mv	103
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dc.relation.ispartofjournal.spa.fl_str_mv	Revista Finanzas y Política Económica
dc.relation.references.spa.fl_str_mv	Akerlof, G. A. y Shiller, R. J. (2009). Animal spirits: how human psychology drives the economy, and why it matters for global capitalism. Nueva Jersey: Princeton University Press. Allen, F. y Gale, D. (2000). Bubbles and crises. Economic Journal, 110(460), 236-255. Doi: http://dx.doi.org/10.1111/1468-0297.00499 Anderson, K. y Brooks, C. (2014). Speculative bubbles and the cross-sectional variation in stock returns. International Review of Financial Analysis, 35, 20-31. Doi: http://dx.doi.org/10.1016/j.irfa.2014.07.004 Anderson, K., Brooks, C. y Katsaris, A. (2010). Speculative bubbles in the S&P 500: Was the tech bubble confined to the tech sector? Journal of Empirical Finance, 17(3), 345-361. Doi: http://dx.doi.org/10.1016/j.jempfin.2009.12.004 Bai, J. y Ng, S. (2002). Determining the number of factors in approximate factor models. Econometrica. Doi: http://dx.doi.org/10.1111/1468-0262.00273 Bai, J. y Ng, S. (2008). Forecasting economic time series using targeted predictors. Journal of Econometrics, 146(2), 304-317. Doi: http://dx.doi.org/10.1016/j.jeconom.2008.08.010 Brunnermeier, M. K. y Oehmke, M. (2013). Bubbles, financial Crises, and systemic risk. Recuperado de https://www.gsb.columbia.edu/faculty/moehmke/papers/BrunnermeierOehmkeHandbookSystemicRisk.pdf Caballero, R. J., Farhi, E. y Gourinchas, P.-O. (2008). An equilibrium model of "global imbalances" and low interest rates. The American Economic Review, 98(1), 358-393. Doi: http://dx.doi.org/10.1257/aer.98.1.358 Caballero, R. J., Farhi, E. y Gourinchas, P.-O. (2009). Financial crash, commodity prices, and global imbalances. Brookings Papers on Economic Activity. Doi: http://doi.org/10.1353/eca.0.0013 Campbell, J. Y. y Shiller, R. J. (1988a). Stock prices, earnings, and expected dividends. Journal of Finance, 43(3), 661-676. Doi: http://dx.doi.org/10.2307/2328190 Campbell, J. Y. y Shiller, R. J. (1988b). The dividend-price ratio and expectations of future dividends and discount factors. Review of Financial Studies, 1(3), 1-34. Doi: http://dx.doi.org/10.1093/rfs/1.3.195 Canova, F. (2005). The transmission of US shocks to Latin America. Journal of Applied Econometrics, 20(2), 229-251. Doi: http://dx.doi.org/10.1002/jae.837 Corsi, F. y Sornette, D. (2014). Follow the money: The monetary roots of bubbles and crashes. International Review of Financial Analysis, 32, 47-59. Doi: http://dx.doi.org/10.1016/j.irfa.2014.01.007 Diba, B. T. y Grossman, H. I. (1987). On the Inception of Rational Bubbles. The Quarterly Journal of Economics, 102(3), 697-700. Doi: http://dx.doi.org/10.2307/1884225 Diba, B. T. y Grossman, H. L. (1988a). Explosive rational bubbles in stock prices? American Economic Review, 78(3), 520-530. Doi: http://dx.doi.org/10.2307/1809149 Diba, B. T. y Grossman, H. L. (1988b). The Theory of Rational Bubbles in Stock Prices. The Economic Journal, 98(392), 746-754. Doi: http://dx.doi.org/10.2307/2233912 Dickey, D. A. y Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366), 427-431. Doi: http://dx.doi.org/10.2307/2286348 Evans, G. W. (1991). Pitfalls in testing for explosive bubbles in asset prices. American Economic Review, 81(4), 922-930. Doi: http://dx.doi.org/10.2307/2006651 Farmer, R. E. a. (2012). Confidence, crashes and animal spirits. Economic Journal, 122(559), 155-172. Doi: http://dx.doi.org/10.1111/j.1468-0297.2011.02474.x Froot, K. A. y Obstfeld, M. (1991). Intrinsic bubbles: the case of stock prices. American Economic Review, 81(5), 1189-1214. Doi: http://dx.doi.org/10.1257/aer.89.5.1372 Gómez-González, J. E., Ojeda-Joya, J. N., Zárate, H. M. y Tenjo-Galarza, F. (2014). Testing for causality between credit and real business cycles in the frequency domain: an illustration. Applied Economics Letters, 21(10), 697-701. Doi: http://dx.doi.org/10.1080/13504851.2014.884689 Gürkaynak, R. S. (2008). Econometric tests of asset price bubbles: Taking stock. Journal of Economic Surveys, 22(1), 166-186. Doi: http://dx.doi.org/10.1111/j.1467-6419.2007.00530.x Hall, S., Psaradakis, Z. y Sola, M. (1999). Detecting periodically collapsing bubbles: a markovswitching unit root test. Journal of Applied Econometrics, 14(2), 143-154. Doi: http://dx.doi.org/10.1002/(SICI)1099-1255(199903/04)14:2<143::AID-JAE500>3.0.CO;2-X Hall, S. y Sola, M. (1993). Testing for collapsing bubbles: test, an endogenous Switching ADF (Discussion Paper 15-93, London Business School). Hamilton, J. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica, 57(2), 357-384. Doi: http://dx.doi.org/10.2307/1912559 Homm, U. y Breitung, J. (2012). Testing for speculative bubbles in stock markets: A comparison of alternative methods. Journal of Financial Econometrics, 10(1), 198-231. Doi: http://dx.doi.org/10.1093/jjfinec/nbr009 Keynes, J. M. (1936). The general theory of emplyment, interest and money. Londres: MacMillan. Leiss, M., Nax, H. H. y Sornette, D. (2015). Super-exponential growth expectations and the global financial crisis. Journal of Economic Dynamics and Control, 55, 1-13. Doi: http://dx.doi.org/10.1016/j.jedc.2015.03.005 LeRoy, S. F. y Porter, R. D. (1981). The present-value relation: tests based on implied variance bounds. Econometrica, 49(3), 555-574. Doi: http://dx.doi.org/10.2307/1911512 Malevergn, Y. y Sornette, D. (2006). Extreme financial risks: from dependence to risk management. Extreme financial risks: from dependence to risk management. Doi: http://dx.doi.org/10.1007/b138841 Martinez, C. (2008). The effects of financial intermediation on Colombian economic growth. Revista Ensayos Sobre Política Económica, 26(57), 250-280. Phillips, P. C. B., Shi, S. y Yu, J. (2014). Specification sensitivity in right-tailed unit root testing for explosive behaviour. Oxford Bulletin of Economics and Statistics, 76(3), 315-333. Doi: http://dx.doi.org/10.1111/obes.12026 Phillips, P. C. B., Shi, S.-P. y Wu, Y. (2014). Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500. Recuperado de http://cowles.econ.yale.edu/P/cd/d19a/d1914.pdf Phillips, P. C. B., Wu, Y. y Yu, J. (2011). Explosive Behavior In The 1990S Nasdaq: When did exuberance escalate asset values? International Economic Review, 52(1), 201-226. Doi: http://dx.doi.org/10.1111/j.1468-2354.2010.00625.x Phillips, P. C. B. y Yu, J. (2011). Dating the timeline of financial bubbles during the subprime crisis. Quantitative Economics, 2(3), 455-491. Doi: http://dx.doi.org/10.3982/QE82 Samuelson, P. A. (1958). An exact consumption-loan model of interest with or without the social contrivance of Money. Journal of Political Economy, 66(6), 467-482. Shell, K. (1971). Notes on the Economics of Infinity. Journal of Political Economy, 79(5), 1002. Doi: http://dx.doi.org/10.1086/259811 Shi, S. (2007). Moving window unit root test: locating real estate price bubbles in Seoul apartment market. Recuperadode http://ink.library.smu.edu.sg/etd_coll/28/ Shiller, R. J. (1981). Do stock prices move too much to be justified by subsequent movements in dividends? American Economic Review, 71(3), 421-436. Shiller, R. J. (2005). Irrational exuberance (2.a ed.). Broadway Books. So, B. S. y Shin, D. W. (2001). An invariant sign test for random walks based on recursive median adjustment. Journal of Econometrics, 102(2), 197-229. Doi: http://dx.doi.org/10.1016/S0304-4076(01)00053-7 Sornette, D. (2009). Dragon-kings, black swans, and the prediction of crises. International Journal of Terraspace Science and Engineering, 2(1), 1-18. Doi: http://dx.doi.org/10.2139/ssrn.1470006 Sornette, D., Woodard, R. y Zhou, W. X. (2009). 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Doi: http://dx.doi.org/10.2307/1913232 Uribe, J. M. (2007). Caracterización del mercado accionario colombiano, 2001-2006: un análisis comparativo. Recuperado de http://www.banrep.gov.co/sites/default/files/publicaciones/pdfs/borra456.pdf Uribe, J. M. (2013). Testing for multiple bubbles with daily data. Recuperadode http://www.banrep.gov.co/sites/default/files/publicaciones/archivos/sem_301.pdf Uribe, J. M. y Fernández, J. (2014a). Burbujas financieras y comportamiento reciente de los mercados de acciones en América Latina. Lecturas de Economía, (81), 57-90. Uribe, J. M. y Fernández, J. (2014b). Riesgo sistémico en el mercado de acciones colombiano: alternativas de diversificación bajo eventos extremos. Cuadernos de Economía, 33(63), 613-634. Uribe, J. M. y Mosquera, S. (2015). A comparative analysis of stock market cycles. Macroeconomics and Finance in Emerging Market Economies.(en prensa) Uribe, J. M., Mosquera, S. y Restrepo, N. X. (2013). Mercado de Acciones Colombiano. Determinantes macroeconómicos y papel de las AFP. Sociedad y Economía, 24, 207-230. Uribe, J. M. y Ulloa, I. (2014). Burbujas financieras: dos alternativas de identificación aplicadas a Colombia. Sociedad y Economía, (27), 47-72. van Norden, S. (1996). Regime switching as a test for exchange rate bubbles. Journal of Applied Econometrics, 11(3), 219-251. Doi: http://dx.doi.org/10.1002/(SICI)1099-1255(199605)11:3<219::AID-JAE394>3.0.CO;2-S van Norden, S. y Vigfusson, R. (1998). Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles? Studies in Nonlinear Dynamics & Econometrics. Doi: http://dx.doi.org/10.2202/1558-3708.1038 West, K. D. (1987). A Specification Test for Speculative Bubbles. Quarterly Journal of Economics, 102(3), 553-580. Doi: http://dx.doi.org/10.2307/1884217 West, K. D. (1988). Dividend Innovations and Stock Price Volatility. Econometrica, 56(1), 37-61. Doi: http://dx.doi.org/10.2307/1911841 Wu, Y. (1997). Rational bubbles in the stock market: accounting for the U.S. Stock-price volatility. Economic Inquiry, 35(2), 309-319. Doi: http://dx.doi.org/10.1111/j.1465-7295.1997.tb01912.x Yuhn, K.-H., Kim, S. B. y Nam, J. H. (2015). Bubbles and the Weibull distribution: was there an explosive bubble in US stock prices before the global economic crisis? Applied Economics, 47(3), 255-271. Doi: http://dx.doi.org/10.1080/00036846.2014.969824 Zhou, W. X. y Sornette, D. (2003). Renormalization group analysis of the 2000-2002 anti-bubble in the US S&P500 index: Explanation of the hierarchy of five crashes and prediction. Physica A: Statistical Mechanics and its Applications, 330(3-4), 584-604. Doi: http://dx.doi.org/10.1016/j.physa.2003.09.022 Zhou, W. X. y Sornette, D. (2005). Testing the stability of the 2000 US stock market "antibubble". Physica A: Statistical Mechanics and its Applications, 348, 428-452. Doi: http://dx.doi.org/10.1016/j.physa.2004.09.032
dc.rights.spa.fl_str_mv	Julián Fernández Mejía, Jorge Mario Uribe - 2016
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spelling	Fernández-Mejía, Julián5091388a-ac04-48e4-8aed-1bc7011bb2f0Uribe, Jorge Mario9c4aaac2-9b0b-4b81-b801-9997becdd7c73002016-01-01 00:00:002023-01-23T16:14:29Z2016-01-01 00:00:002023-01-23T16:14:29Z2015-01-01En este artículo se analizan diferentes índices accionarios de mercados alrededor del mundo, en el periodo 1995-2013, con el fin de poner a prueba la existencia y fechar la aparición de procesos explosivos en sus mercados de acciones. Se hace uso de una prueba de signo, para construir diferentes índices de burbujas en los mercados financieros representativos de cada región, y se construye además un índice de las principales regiones financieras a partir de modelos dinámicos por factores. Estos índices permiten caracterizar las regiones en términos de riesgo y, asimismo, de ocurrencia de burbujas financieras. Se encuentra evidencia que señala cierto grado de sincronización entre los episodios de burbujas financieras en los mercados analizados y, en general, en todo el 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 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.application/pdftext/htmlapplication/xml10.14718/revfinanzpolitecon.2016.8.1.52011-76632248-6046https://hdl.handle.net/10983/29346https://doi.org/10.14718/revfinanzpolitecon.2016.8.1.5spaUniversidad Católica de Colombiahttps://revfinypolecon.ucatolica.edu.co/article/download/929/976https://revfinypolecon.ucatolica.edu.co/article/download/929/2149https://revfinypolecon.ucatolica.edu.co/article/download/929/2260Núm. 1 , Año 20161031838Revista Finanzas y Política EconómicaAkerlof, G. A. y Shiller, R. J. (2009). Animal spirits: how human psychology drives the economy, and why it matters for global capitalism. Nueva Jersey: Princeton University Press.Allen, F. y Gale, D. (2000). Bubbles and crises. Economic Journal, 110(460), 236-255. Doi: http://dx.doi.org/10.1111/1468-0297.00499Anderson, K. y Brooks, C. (2014). Speculative bubbles and the cross-sectional variation in stock returns. International Review of Financial Analysis, 35, 20-31. Doi: http://dx.doi.org/10.1016/j.irfa.2014.07.004Anderson, K., Brooks, C. y Katsaris, A. (2010). Speculative bubbles in the S&P 500: Was the tech bubble confined to the tech sector? Journal of Empirical Finance, 17(3), 345-361. Doi: http://dx.doi.org/10.1016/j.jempfin.2009.12.004Bai, J. y Ng, S. (2002). Determining the number of factors in approximate factor models. Econometrica. Doi: http://dx.doi.org/10.1111/1468-0262.00273Bai, J. y Ng, S. (2008). Forecasting economic time series using targeted predictors. Journal of Econometrics, 146(2), 304-317. Doi: http://dx.doi.org/10.1016/j.jeconom.2008.08.010Brunnermeier, M. K. y Oehmke, M. (2013). Bubbles, financial Crises, and systemic risk. Recuperado de https://www.gsb.columbia.edu/faculty/moehmke/papers/BrunnermeierOehmkeHandbookSystemicRisk.pdfCaballero, R. J., Farhi, E. y Gourinchas, P.-O. (2008). An equilibrium model of "global imbalances" and low interest rates. The American Economic Review, 98(1), 358-393. Doi: http://dx.doi.org/10.1257/aer.98.1.358Caballero, R. J., Farhi, E. y Gourinchas, P.-O. (2009). Financial crash, commodity prices, and global imbalances. Brookings Papers on Economic Activity. Doi: http://doi.org/10.1353/eca.0.0013Campbell, J. Y. y Shiller, R. J. (1988a). Stock prices, earnings, and expected dividends. Journal of Finance, 43(3), 661-676. Doi: http://dx.doi.org/10.2307/2328190Campbell, J. Y. y Shiller, R. J. (1988b). The dividend-price ratio and expectations of future dividends and discount factors. Review of Financial Studies, 1(3), 1-34. Doi: http://dx.doi.org/10.1093/rfs/1.3.195Canova, F. (2005). The transmission of US shocks to Latin America. Journal of Applied Econometrics, 20(2), 229-251. Doi: http://dx.doi.org/10.1002/jae.837Corsi, F. y Sornette, D. (2014). Follow the money: The monetary roots of bubbles and crashes. International Review of Financial Analysis, 32, 47-59. Doi: http://dx.doi.org/10.1016/j.irfa.2014.01.007Diba, B. T. y Grossman, H. I. (1987). On the Inception of Rational Bubbles. The Quarterly Journal of Economics, 102(3), 697-700. Doi: http://dx.doi.org/10.2307/1884225Diba, B. T. y Grossman, H. L. (1988a). Explosive rational bubbles in stock prices? American Economic Review, 78(3), 520-530. Doi: http://dx.doi.org/10.2307/1809149Diba, B. T. y Grossman, H. L. (1988b). The Theory of Rational Bubbles in Stock Prices. The Economic Journal, 98(392), 746-754. Doi: http://dx.doi.org/10.2307/2233912Dickey, D. A. y Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366), 427-431. Doi: http://dx.doi.org/10.2307/2286348Evans, G. W. (1991). Pitfalls in testing for explosive bubbles in asset prices. American Economic Review, 81(4), 922-930. Doi: http://dx.doi.org/10.2307/2006651Farmer, R. E. a. 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Doi: http://dx.doi.org/10.1016/j.physa.2004.09.032Julián Fernández Mejía, Jorge Mario Uribe - 2016info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2https://creativecommons.org/licenses/by-nc-sa/4.0/https://revfinypolecon.ucatolica.edu.co/article/view/929Sign testFactorsIndicesCrisesBubblesBurbujasPrueba de signoFactoresÍndicesCrisisBolhasTeste de signoFatoresÍndicesCriseAnálisis de procesos explosivos en el precio de los activos financieros : evidencia alrededor del mundo.Analysis of financial asset price explosions : evidence from around the world.Artículo de revistahttp://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/version/c_970fb48d4fbd8a85Textinfo:eu-repo/semantics/articleJournal articlehttp://purl.org/redcol/resource_type/ARTinfo:eu-repo/semantics/publishedVersionPublicationOREORE.xmltext/xml2650https://repository.ucatolica.edu.co/bitstreams/804b8121-fcf0-42c0-ab95-7690f148839f/downloaddb9f9526e760bba83d33ef79dcba17b7MD5110983/29346oai:repository.ucatolica.edu.co:10983/293462023-03-24 14:43:52.771https://creativecommons.org/licenses/by-nc-sa/4.0/Julián Fernández Mejía, Jorge Mario Uribe - 2016https://repository.ucatolica.edu.coRepositorio Institucional Universidad Católica de Colombia - RIUCaCbdigital@metabiblioteca.com

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

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