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...
- 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
| 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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