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.
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Length: Date of creation: 2004 Date of revision: Handle: RePEc:anp:en2004:064
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Find related papers by JEL classification: G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other
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