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Acciones Tecnológicas: ¿Un Episodio De Burbujas Especulativas En El Mercado?

Author

Listed:
  • FERNANDO DÍAZ

    (Facultad de Ciencias Económicas y Empresariales, Universidad de los Andes.)

  • RODRIGO SÁNCHEZ

    (Escuela de Ingeniería Comercial, Universidad Santo Tomás.)

Abstract

On April 14, 2000 the New York stock exchange experienced one of the more strong falls of the last ten years. The abrupt crumbling of the NASDAQ Composite Index, index that groups the so called New Technologies companies, after two years of important earnings of capital gave origin to a current of speculations respect of the existence of a Rational Bubble in the price processes of these stocks. In this work we review the standard theory of assets valuation and it is explained under what circumstances it is possible to obtain bubble solutions for the price of a certain asset. On the basis of this theory, we perform some non-parametric tests commonly used for testing the presence of this type of phenomena and we argue against the power of these tests. Accordingly, we propose the utilization of a test of stability of the variance to confirm the hypothesis of existence of bubbles. The results obtained are not conclusive and change from one test to the other. Nevertheless, the tests of stability prove to be consistent with increasing risk premiums, a typical situation to the existence of bubbles in the prices of an assets, constituting the strongest evidence of the existence of this type of phenomena on the markets of the actions of new technologies.

Suggested Citation

  • Fernando Díaz & Rodrigo Sánchez, 2001. "Acciones Tecnológicas: ¿Un Episodio De Burbujas Especulativas En El Mercado?," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., vol. 4(1), pages 37-82.
    • Handle: RePEc:pch:abante:v:4:y:2001:i:1:p:37-82
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Rational Bubbles; Run Test; Tail Test; Variance Stability Test;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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