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...

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Autores:
Fernández-Mejía, Julián
Uribe, Jorge Mario
Tipo de recurso:
Article of journal
Fecha de publicación:
2016
Institución:
Universidad Católica de Colombia
Repositorio:
RIUCaC - Repositorio U. Católica
Idioma:
spa
OAI Identifier:
oai:repository.ucatolica.edu.co:10983/17166
Acceso en línea:
https://hdl.handle.net/10983/17166
Palabra clave:
BURBUJAS
PRUEBA DE SIGNO
FACTORES
ÍNDICES
CRISIS
Rights
openAccess
License
Derechos Reservados - Universidad Católica de Colombia, 2016
Description
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.