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Identificando Bolhas Especulativas Racionais No Ibovespa (Pós-Plano Real), A Partir De Regimes Markovianos De Conversão

Author

Listed:
  • Diógenes Manoel Leiva Martin
  • Herbert Kimura
  • Wilson Toshiro Nakamura
  • Eduardo Kazuo Kayo

Abstract

The present article intend to verify the presence of speculative rational bubbles, starting from the identification of switching regime of the returns generation process in the brazilian market exchange, BOVESPA, for the Plano Real period (July of 1994 to March of 2004). In order to achieve this end, it was used of the model of markovian switching regime that allows to verify the nonlinear structure of the data and it is relation to the conditional mean and conditional variance. As result the dynamics of the data generation process, the returns can be described as function of two regimes ("bull markets" and "bear markets"). These cycles, however, they could be decomposed in other cycles, initial and final phases of the growth cycle ("bull") and decrease ("bear"). This decomposition was shown more coherent with the concept of speculative bubble, in which there is a nonlinear relationship between the price and their foundations.

Suggested Citation

  • Diógenes Manoel Leiva Martin & Herbert Kimura & Wilson Toshiro Nakamura & Eduardo Kazuo Kayo, 2004. "Identificando Bolhas Especulativas Racionais No Ibovespa (Pós-Plano Real), A Partir De Regimes Markovianos De Conversão," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting] 064, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    • Handle: RePEc:anp:en2004:064
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    Cited by:

    1. Carol Thiago Costa & Wesley Vieirada Silva & Lauro Britode Almeida & Claudimar Pereirada Veiga, 2017. "Empirical evidence of the existence of speculative bubbles in the prices of stocks traded on the São Paulo Stock Exchange," Contaduría y Administración, Accounting and Management, vol. 62(4), pages 1317-1334, Octubre-D.
    2. Nunes, Maurício Simiano & da Silva, Sérgio, 2009. "Bolhas Racionais no Índice Bovespa," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 63(2), June.

    More about this item

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other

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