Rumor y burbujas en el mercado de acciones
En el presente artículo se analiza si la propagación de un rumor referido a las acciones en un mercado influye o no en el comportamiento de los agentes al momento de tomar decisiones de inversión, y si este se correlaciona con la formación de burbujas. Para efectos de esta investigación, realizada e...
- Autores:
-
Rivera Pardo, Alexandra
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- 2012
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- Universidad Externado de Colombia
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https://revistas.uexternado.edu.co/index.php/odeon/article/view/3698
- Palabra clave:
- Mercado experimental de acciones
burbujas financieras
dividendo de las acciones
acciones
fundamentales
agentes
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Rumor y burbujas en el mercado de acciones |
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Rumor y burbujas en el mercado de acciones |
| title |
Rumor y burbujas en el mercado de acciones |
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Rumor y burbujas en el mercado de acciones Mercado experimental de acciones burbujas financieras dividendo de las acciones acciones fundamentales agentes |
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Rumor y burbujas en el mercado de acciones |
| title_full |
Rumor y burbujas en el mercado de acciones |
| title_fullStr |
Rumor y burbujas en el mercado de acciones |
| title_full_unstemmed |
Rumor y burbujas en el mercado de acciones |
| title_sort |
Rumor y burbujas en el mercado de acciones |
| dc.creator.fl_str_mv |
Rivera Pardo, Alexandra |
| dc.contributor.author.spa.fl_str_mv |
Rivera Pardo, Alexandra |
| dc.subject.spa.fl_str_mv |
Mercado experimental de acciones burbujas financieras dividendo de las acciones acciones fundamentales agentes |
| topic |
Mercado experimental de acciones burbujas financieras dividendo de las acciones acciones fundamentales agentes |
| description |
En el presente artículo se analiza si la propagación de un rumor referido a las acciones en un mercado influye o no en el comportamiento de los agentes al momento de tomar decisiones de inversión, y si este se correlaciona con la formación de burbujas. Para efectos de esta investigación, realizada en el 2008, se creó un ambiente experimental donde las variables de incertidumbre fueron controladas y el pago por acción correspondía al valor esperado de los dividendos, siendo independiente de la propagación de un rumor. Bajo esta estructura lo esperado sería un efecto nulo del rumor sobre el precio de la acción, sin embargo, los resultados evidencian que el rumor tiene incidencia en los precios de las acciones generando burbujas. |
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Abreu, Dilip & Brunnermeier, Markus. (2001). “Bubbles and Crashes”. [http://www.princeton.edu/~markus/research/papers/bubbles_crashes.pdf]. Princeton Working Paper, pp. 1-38. Allen, Franklin & Gale, Douglas. (2000). “Financial Contagion”. The Journal of Political Economic, vol. 108 (1), pp. 1-33. Allport, Gordon & Portman, Leo. (1978). La psicología del rumor. Buenos Aires, Editorial Siglo XX. Asch, Solomon. (1956). “Studies of independence and conformity: I. A minority of one against a unanimous majority”. Psychological Monographs, vol. 70 (416), p. 70. Avery, Christopher & Zemsky, Peter. (1998). “Multidimensional Uncertainty and herd behavior in Financial Markets”. The American Economic Review, vol. 88 (4), pp.724-747. Ball, Sheryl & Holt, Charles. (1998). “Speculation and Bubbles in an Asset Market”. [http://people.virginia.edu/~cah2k/bubbletr.pdf]. Journal of Economic Perspectives, vol. 12:1, pp. 207-218. Banerjee, Abhijit. (1993). “The Economics of Rumors”. [http://web.cenet.org.cn/upfile/77298.pdf]. Review of Economic Studies, 60, pp. 309-327. Barner, Martin; Feri, Francesco & Plott, Charles. (2005). “On the microstructure of price determination and information aggregation with sequential and asymmetric information arrival in an experimental asset market”. [http://www.springerlink.com/content/1yq3t2ty3eq8dlau/fulltext.pdf]. Annals of Finance, vol. 1 (1), pp. 1-35. Becker, Ralf; Fischbacher, Urs & Hens, Thorsten. (2002). “Soft landing of a Stock Market Bubble. An experimental Study”. [http://e-collection.ethbib.ethz.ch/eserv.php?pid=eth:25593&dsID=eth-25593-01.pdf]. Working Paper Series, Institute for Empirical Research in Economics, pp. 1-65. Behzad, Diba & Grossman, Herschel. (1988). “The Theory of Rational Bubbles in Stock Prices”. The Economic Journal, vol. 98 (392), pp. 746-754. Benos, Alexandros. (1998). “Aggressiveness and survival of over confident traders”. [http://bbs.cenet.org.cn/uploadImages/200351314291620357.pdf]. Journal of Financial Markets, pp. 353-383. Bikhchandani, Sushil; Hirshleifer, David & Welch, Ivo. (1992). “A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades”. [http://welch.econ.brown.edu/academics/journalcopy/1992-jpe.pdf]. Journal of Political Economy 100 (5), pp. 992-1026. Camerer, Colin. (1989). “Bubbles and Fads in Asset Prices”, Journal of Economic Surveys, vol. 3 (1), pp. 4-30. Camerer, Colin. (1992). “The Rationality of Prices and Volume in Experimental Markets”. Organizational Behavior and Human Decision Processes, vol. 51 (2), pp. 237-272. Caginalp, Gunduz; Porter, David & Smith, Vernon. (2000). “Momentum and Over reaction in Experimental Asset Markets”. [http://www.behaviouralfinance.net/momentum/CaPS00.pdf]. International Journal of Industrial organization, vol. 18 (1), pp.187-204. Campanario, Sebastián. (2003). “Viaje a la frontera de la teoría económica”. Diario El Clarín. Abril 27. Consultado en http://www.clarin.com/suplementos/economico/2003/04/27/n-00211.htm. Çelen, Bo?açhan & Kariv, Shachar. (2004). “Distinguish Informational Cascades from herd behavior in the laboratory”. [http://cess.nyu.edu/0003:2001-10.pdf]. The America Economic Review, vol. 94 (3), pp. 484-498. Chang, Eric; Cheng, Joseph & Khorana, Ajay. (2000). “An examination of herd behaviorin equity markets: An international perspective”. [http://papers.ssrn.com/sol3/papers.cfm?abstract_id=181872]. Journal of Banking and Finance, vol. 24, pp. 1651-1679. Corcos, A.; Eckmann, J-P.; Malaspinas, A.; Malevergne, Y. & Sornette, D. (2002). “Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos”. [http://arxiv.org/PS_cache/cond-mat/pdf/0109/0109410v1.pdf]. Quantitative Finance, vol. 2 (4), pp. 264-281. Davis, Douglas & Holt, Charles. (1993). Experimental Economics. Princeton NJ., Ed.Princeton University Press. Diba, Behzad & Grossman, Herschel. (1998). “The Theory of Rational Bubbles in Stock Prices”. The Economic Journal, vol. 98 (392), pp. 746-754. DiFonzo, Nicholas & Borida, Prashant. (2006). Rumor Psychology: Social and organizational Approaches. Ed. American Psychological Association (APA). Drehmann, Mathia; Oechsller, Jorg & Roider, Andreas. (2004). “Herding with and without Payoff Externalities: An Internet Experiment”. [http://www.awi.uni-heidelberg.de/with2/Discussion%20papers/papers_2003_2005/dp420.pdf]. The American Economic Review, pp. 1403-1423. Duffy, John & Ünver, M. Utku. (2006). “Asset price bubbles and crashes with near-zero intelligence traders”. [http://www.springerlink.com/content/l112346u02685334/fulltext.pdf]. Economic Theory, vol. 27 (3) pp. 1-27. Dufwenberg, Martin; Lindqvist, Tobias & Moore, Evan. (2003). “Bubbles and traders”. Economic Theory, vol. 27 (3), pp. 537-563. Dufwenberg, Martin; Lindqvist, Tobias & Moore, Evan. (2005). “Bubbles and Experience: An Experiment”. [http://www.ifn.se/Wfiles/wp/WP588.pdf]. The Research Institute of Industrial Economics, Working Paper n.º 588, pp. 1-26. Dumbar, R.I.M. (1993). “Co-Evolution of neocortex size, group size and language inhumans”. Behavioral and Brain Sciences, 16 (4), pp. 681-735. Recuperado el 13 de agosto de 2008 en: http://www.bbsonline.org/documents/a/00/00/05/65/bbs00000565-00/bbs.dunbar.html. Fisher, Eric. (1998). “Explaining Bubbles in Experimental Asset Markets”. [http://economics.sbs.ohio-state.edu/pdf/fisher/explain.pdf]. Working Paper Ohio State University. Flanders, J.P. (1968). “A Review of Research on Imitative Behavior”, Psychological Bulletin, n.º 69 (5), pp. 316-337. Flood, Robert & Hodrick, Robert. (1990). “On testing Speculative Bubbles”. [http://www.econ.ku.dk/okocg/Students%20Seminars%C3%98kon%C3%98velser/%C3%98velse%202007/artikler/Flood-Hodrick-Bubbles-JEP-1990.pdf]. The Journal of Economic Perspectives,vol. 4, n.º 2, pp. 85-101. Friedman, Daniel & Sunder, Shyam. (1994). Experimental economics. A primer for economists. Cambridge, UK, Ed. Cambridge University Press. Hey, John. (1991). Experiments in Economics. Oxford, Ed. Blackwell Publishers. Kaldor, Nicholas. (1939). “Speculation and Economic Stability”. The Review of Economic Studies, vol. 7 (1), pp. 17-45. Kapferer, Jean-Noël. (1989). “Rumores”. Barcelona, Ed. Plaza & Janes. Keynes, John. (1936). The General Theory of Employment, Interest and Money. Royal Economic Society, p. 138. King, Ronald; Smith, Vernon; Williams, Arlington & Van Boening, Mark. (1993). “The robustness of bubbles and crashes in experimental stock markets”, in nonlinear dynamics and evolutionary economics, Ed. I. Prigogine, R. Day, and P. Chen. New York, Oxford University Press, pp. 183-200. Knapp, Robert. (1944). “A Psychology of Rumor”. Public opinion Quarterly Journal, n.º 8, pp. 23-37. Kotelchuk, Natalia. (2003). “Teoría de las relaciones públicas”. Consultado en: http://www.gestiopolis.com/recursos/documentos/fulldocs/mar1/teorelpub.htm. Lei, Vivian; Noussair, Charles & Plott, Charles. (2001). “Non speculative Bubbles in Experimental Asset Markets: Lack of Common Knowledge of Rationality Vs Actual Irrationality”. Econometrica, vol. 69 (4), pp. 831-859. Levin, Jack & Arluke, Arnold. (1985). Gossip: The Inside Scoop. New York, Ed. Plenum. Lozano, Francisco & Herrera Juan. (2005). “Modelo de manadas y aprendizaje social”, Revista de Economía Institucional, vol. 7 (13), pp. 133-157. Mandelbrot, Benoît & Hudson, Richard. (2006). Finanzas y fractales. Barcelona, Tusquets Editores. Título original: Behavoir of Markets. A fractal view of Risk, Ruin and Reward. Monti, Guillermo. (2006). “El rumor”. [http://www.rs.ejercito.mil.ar/Contenido/Nro662/armado662.htm]. Revista del Suboficial, n.º 662. Murphy, James & Cardenas, Juan. (2004). “An experiment on Enforcement Strategies for Managing a Local Environment Resource”. [http://www.indiana.edu/~econed/pdffiles/winter04/Murphy.pdf]. Journal of Economic Education, pp. 47-60. Navarro, Alfredo & Verstraete, Juan. (1995). “Las burbujas y la eficiencia en el mercado de valores: la experiencia de Argentina después de la convertibilidad”. XXX Reunión Anual, Asociación Argentina de Economía Política. Noussair, Charles & Haruvy, Ernan. (2006). “The Effect of Short Selling on Bubbles and Crashes in Experimental Spot Asset Markets”. [http://www.latrobe.edu.au/business/assets/downloads/seminars/2005/Haruvy-NoussairApril%202005.pdf]. The Journal of Finance, vol. 61 (3), pp. 1119-1157. Noussair, Charles & Steven, Tucker. (2006). “Futures Markets and Bubble Formation in Experimental Asset Markets”. [http://www.atl-res.com/macro/papers/Noussair%20paper.pdf]. Pacific Economic Review, vol. 11 (2), pp. 167-184. Odean, Terrance. (1998). “¿Do Investor Trade Too Much?”, Working Paper Series, Haas School of Business, Consultado en http://ssrn.com/abstract=94143 Libro: Behavior in Economics cap. 23, pp. 607-631. Robledo, Andrés. (2003). La sapiencia del homo sapiens. Bogotá, Universidad de los Andes. Schindler, Mark. (2003). “Rumors in Financial Markets”. Working Paper, n.º 159, Institute for Empirical Research in Economics University of Zurich. Shiller, Robert. (1990). “Market Volatility and Investor Behavior”. [http://www.ensino.uevora.pt/tf/papers2004/shiller.pdf]. The American Economic Review, vol. 80 (2),pp. 58-62. Shiller, Robert. (2000). “Irrational Exuberance”, American Journal of Economics and Sociology, vol. 59 (3), pp. 537-540. Simon, Herbert. (1982). Models of Bounded Rationality. Cambridge MA. Ed. MIT Press. Sornette, Didier. (2003). Why Stock Markets Crash: Critical Events in Complex Financial Systems. Princeton University Press. Topol, Richard. (1991). “Bubbles and Volatility of Stock Prices: Effect of Mimetic Contagion”. [http://www.behaviouralfinance.net/bubbles/Topo91.pdf]. The economic Journal, vol. 101 (407), pp. 786-800. Walt, Stephen. (2000). “Fads, Fever and Firestorms”. Foreign Policy, n.º 121, pp. 34-42. Watts, Duncan. (2003). Seis grados de separación. La ciencia de las redes en la era del acceso. Barcelona, Publicación en castellano (2006) Ed. Paidos. Westen, Robin. (1996). “The real slant on gossip”. Psychology Today. Consultado en: http://www.psychologytoday.com/articles/pto-19960701-000035.html. Williams, Arlington; Smith, Vernon & Suchanek, Gerry. (1988). “Bubbles, Crashes and Endogenous Expectations in Experimental Spot Asset Markets”. [http://gillesdaniel.com/papers/1988.Smith,Suchanek,Gerry,Williams.Bubbles_Crashes_and_Endogenous_Expectations_in_Experimental_Spot_Asset_Markets.pdf] Econometria, vol.56 (5), pp. 1119-1151. Williams, Arlington. (2003). “Price Bubbles in Large Financial Asset Markets”. [http://www.indiana.edu/~arlwilli/pdf%20files/bigmkts.pdf]. Forth coming Handbook of Experimental Economic Results, Plott, Charles & Smith, Vernon. Eds. Indiana University. |
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Rivera Pardo, Alexandra5f4d7011-03d4-4539-a982-653500c344a02012-07-01 00:00:002022-09-08T13:38:34Z2012-07-01 00:00:002022-09-08T13:38:34Z2012-07-01En el presente artículo se analiza si la propagación de un rumor referido a las acciones en un mercado influye o no en el comportamiento de los agentes al momento de tomar decisiones de inversión, y si este se correlaciona con la formación de burbujas. Para efectos de esta investigación, realizada en el 2008, se creó un ambiente experimental donde las variables de incertidumbre fueron controladas y el pago por acción correspondía al valor esperado de los dividendos, siendo independiente de la propagación de un rumor. Bajo esta estructura lo esperado sería un efecto nulo del rumor sobre el precio de la acción, sin embargo, los resultados evidencian que el rumor tiene incidencia en los precios de las acciones generando burbujas.application/pdftext/html2346-21401794-1113https://bdigital.uexternado.edu.co/handle/001/7443https://revistas.uexternado.edu.co/index.php/odeon/article/view/3698spaFacultad de Finanzas, Gobierno y Relaciones Internacionaleshttps://revistas.uexternado.edu.co/index.php/odeon/article/download/3698/3828https://revistas.uexternado.edu.co/index.php/odeon/article/download/3698/4135Núm. 7 , Año 20127OdeonAbreu, Dilip & Brunnermeier, Markus. (2001). “Bubbles and Crashes”. [http://www.princeton.edu/~markus/research/papers/bubbles_crashes.pdf]. Princeton Working Paper, pp. 1-38.Allen, Franklin & Gale, Douglas. (2000). “Financial Contagion”. The Journal of Political Economic, vol. 108 (1), pp. 1-33.Allport, Gordon & Portman, Leo. (1978). La psicología del rumor. Buenos Aires, Editorial Siglo XX.Asch, Solomon. (1956). “Studies of independence and conformity: I. A minority of one against a unanimous majority”. Psychological Monographs, vol. 70 (416), p. 70.Avery, Christopher & Zemsky, Peter. (1998). “Multidimensional Uncertainty and herd behavior in Financial Markets”. The American Economic Review, vol. 88 (4), pp.724-747.Ball, Sheryl & Holt, Charles. (1998). “Speculation and Bubbles in an Asset Market”. [http://people.virginia.edu/~cah2k/bubbletr.pdf]. Journal of Economic Perspectives, vol. 12:1, pp. 207-218.Banerjee, Abhijit. (1993). “The Economics of Rumors”. [http://web.cenet.org.cn/upfile/77298.pdf]. Review of Economic Studies, 60, pp. 309-327.Barner, Martin; Feri, Francesco & Plott, Charles. (2005). “On the microstructure of price determination and information aggregation with sequential and asymmetric information arrival in an experimental asset market”. [http://www.springerlink.com/content/1yq3t2ty3eq8dlau/fulltext.pdf]. Annals of Finance, vol. 1 (1), pp. 1-35.Becker, Ralf; Fischbacher, Urs & Hens, Thorsten. (2002). “Soft landing of a Stock Market Bubble. An experimental Study”. [http://e-collection.ethbib.ethz.ch/eserv.php?pid=eth:25593&dsID=eth-25593-01.pdf]. Working Paper Series, Institute for Empirical Research in Economics, pp. 1-65.Behzad, Diba & Grossman, Herschel. (1988). “The Theory of Rational Bubbles in Stock Prices”. The Economic Journal, vol. 98 (392), pp. 746-754.Benos, Alexandros. (1998). “Aggressiveness and survival of over confident traders”. [http://bbs.cenet.org.cn/uploadImages/200351314291620357.pdf]. Journal of Financial Markets, pp. 353-383.Bikhchandani, Sushil; Hirshleifer, David & Welch, Ivo. (1992). “A Theory of Fads, Fashion, Custom, and Cultural Change as Informational Cascades”. [http://welch.econ.brown.edu/academics/journalcopy/1992-jpe.pdf]. Journal of Political Economy 100 (5), pp. 992-1026.Camerer, Colin. (1989). “Bubbles and Fads in Asset Prices”, Journal of Economic Surveys, vol. 3 (1), pp. 4-30.Camerer, Colin. (1992). “The Rationality of Prices and Volume in Experimental Markets”. Organizational Behavior and Human Decision Processes, vol. 51 (2), pp. 237-272.Caginalp, Gunduz; Porter, David & Smith, Vernon. (2000). “Momentum and Over reaction in Experimental Asset Markets”. [http://www.behaviouralfinance.net/momentum/CaPS00.pdf]. International Journal of Industrial organization, vol. 18 (1), pp.187-204.Campanario, Sebastián. (2003). “Viaje a la frontera de la teoría económica”. Diario El Clarín. Abril 27. Consultado en http://www.clarin.com/suplementos/economico/2003/04/27/n-00211.htm.Çelen, Bo?açhan & Kariv, Shachar. (2004). “Distinguish Informational Cascades from herd behavior in the laboratory”. [http://cess.nyu.edu/0003:2001-10.pdf]. The America Economic Review, vol. 94 (3), pp. 484-498.Chang, Eric; Cheng, Joseph & Khorana, Ajay. (2000). “An examination of herd behaviorin equity markets: An international perspective”. [http://papers.ssrn.com/sol3/papers.cfm?abstract_id=181872]. Journal of Banking and Finance, vol. 24, pp. 1651-1679.Corcos, A.; Eckmann, J-P.; Malaspinas, A.; Malevergne, Y. & Sornette, D. (2002). “Imitation and contrarian behaviour: hyperbolic bubbles, crashes and chaos”. [http://arxiv.org/PS_cache/cond-mat/pdf/0109/0109410v1.pdf]. Quantitative Finance, vol. 2 (4), pp. 264-281.Davis, Douglas & Holt, Charles. (1993). Experimental Economics. Princeton NJ., Ed.Princeton University Press.Diba, Behzad & Grossman, Herschel. (1998). “The Theory of Rational Bubbles in Stock Prices”. The Economic Journal, vol. 98 (392), pp. 746-754.DiFonzo, Nicholas & Borida, Prashant. (2006). Rumor Psychology: Social and organizational Approaches. Ed. American Psychological Association (APA).Drehmann, Mathia; Oechsller, Jorg & Roider, Andreas. (2004). “Herding with and without Payoff Externalities: An Internet Experiment”. [http://www.awi.uni-heidelberg.de/with2/Discussion%20papers/papers_2003_2005/dp420.pdf]. The American Economic Review, pp. 1403-1423.Duffy, John & Ünver, M. Utku. (2006). “Asset price bubbles and crashes with near-zero intelligence traders”. [http://www.springerlink.com/content/l112346u02685334/fulltext.pdf]. Economic Theory, vol. 27 (3) pp. 1-27.Dufwenberg, Martin; Lindqvist, Tobias & Moore, Evan. (2003). “Bubbles and traders”. Economic Theory, vol. 27 (3), pp. 537-563.Dufwenberg, Martin; Lindqvist, Tobias & Moore, Evan. (2005). “Bubbles and Experience: An Experiment”. [http://www.ifn.se/Wfiles/wp/WP588.pdf]. The Research Institute of Industrial Economics, Working Paper n.º 588, pp. 1-26.Dumbar, R.I.M. (1993). “Co-Evolution of neocortex size, group size and language inhumans”. Behavioral and Brain Sciences, 16 (4), pp. 681-735. 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