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
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- 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
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- openAccess
- License
- Derechos Reservados - Universidad Católica de Colombia, 2016
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Análisis de procesos explosivos en el precio de los activos financieros: evidencia alrededor del mundo |
| 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 BURBUJAS PRUEBA DE SIGNO FACTORES ÍNDICES CRISIS |
| 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.proposal.spa.fl_str_mv |
BURBUJAS PRUEBA DE SIGNO FACTORES ÍNDICES CRISIS |
| topic |
BURBUJAS PRUEBA DE SIGNO FACTORES ÍNDICES CRISIS |
| description |
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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2016 |
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2016-01 |
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2018-09-06T00:19:21Z |
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2018-09-06T00:19:21Z |
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Artículo de revista |
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Text |
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Fernández-Mejía, J., & Uribe, J. (2016). Analysis of financial asset price explosions: Evidence from around the world. Revista Finanzas y Política Económica, 8(1), 83-103. Retrieved from https://editorial.ucatolica.edu.co/ojsucatolica/revistas_ucatolica/index.php/RFYPE/article/view/929/976 |
| dc.identifier.issn.spa.fl_str_mv |
2248-6046 |
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https://hdl.handle.net/10983/17166 |
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Fernández-Mejía, J., & Uribe, J. (2016). Analysis of financial asset price explosions: Evidence from around the world. Revista Finanzas y Política Económica, 8(1), 83-103. Retrieved from https://editorial.ucatolica.edu.co/ojsucatolica/revistas_ucatolica/index.php/RFYPE/article/view/929/976 2248-6046 |
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https://hdl.handle.net/10983/17166 |
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spa |
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spa |
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Revista Finanzas y Política Económica, Vol. 8, no. 1 (ene. – jun. 2016); p.83-103. http://dx.doi.org/10.14718/revfinanzpolitecon.2016.8.1.5 |
| 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: 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: 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: 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: 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: 10.1016/j.jeconom.2008.08.010 Brunnermeier, M. K. y Oehmke, M. (2013). Bubbles, financial Crises, and systemic risk. Recuperado de https://www0.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: 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: 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: 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: 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: 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: 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: 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: 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: 10.2307/2286348 Evans, G. W. (1991). 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Fernández-Mejía, Julián5091388a-ac04-48e4-8aed-1bc7011bb2f0-1Uribe, Jorge Mario9c4aaac2-9b0b-4b81-b801-9997becdd7c7-12018-09-06T00:19:21Z2018-09-06T00:19:21Z2016-01This 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.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.Neste artigo, analisam-se diferentes índices acionários de mercados ao redor do mundo, no período 1995-2013, com o objetivo de avaliar a existência e datar a aparição de processos explosivos em seus mercados de ações. Utilizase um teste de signo para construir diferentes índices de bolhas nos mercados financeiros representativos de cada região e constrói-se, além disso, um índice das principais regiões financeiras a partir de modelos dinâmicos por fatores. Esses índices permitem caracterizar as regiões em termos de risco e, desse modo, de ocorrência de bolhas financeiras. Encontra-se evidência que aponta certo grau de sincronização entre os episódios de bolhas financeiras nos mercados analisados e, em geral, em todo o mundo.application/pdfFernández-Mejía, J., & Uribe, J. (2016). Analysis of financial asset price explosions: Evidence from around the world. Revista Finanzas y Política Económica, 8(1), 83-103. Retrieved from https://editorial.ucatolica.edu.co/ojsucatolica/revistas_ucatolica/index.php/RFYPE/article/view/929/9762248-6046https://hdl.handle.net/10983/17166spaUniversidad Católica de Colombia. Facultad de Ciencias Económicas y AdministrativasRevista Finanzas y Política Económica, Vol. 8, no. 1 (ene. – jun. 2016); p.83-103. http://dx.doi.org/10.14718/revfinanzpolitecon.2016.8.1.5Akerlof, 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: 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: 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: 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: 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: 10.1016/j.jeconom.2008.08.010Brunnermeier, M. K. y Oehmke, M. (2013). Bubbles, financial Crises, and systemic risk. Recuperado de https://www0.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: 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: 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: 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: 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: 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: 10.2307/1884225Diba, B. T. y Grossman, H. L. (1988a). 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