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Identificando Bolhas Especulativas Racionais no IBOVESPA (Pós-Plano Real), a partir de Regimes Markovianos de Conversão


  • Diógenes Manoel Leiva Martin


  • Eduardo Kazuo Kayo


  • Herbert Kimura


  • Wilson Toshiro Nakamura



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 & Eduardo Kazuo Kayo & Herbert Kimura & Wilson Toshiro Nakamura, 2004. "Identificando Bolhas Especulativas Racionais no IBOVESPA (Pós-Plano Real), a partir de Regimes Markovianos de Conversão," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 5(3), pages 219-252.
  • Handle: RePEc:anp:econom:v:5:y:2004:i:3:p:219-252

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    Cited by:

    1. Nunes, Maurício Simiano & da Silva, Sérgio, 2009. "Bolhas Racionais no Índice Bovespa," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 63(2), June.

    More about this item


    Bolha Especulativa Racional; Regimes Markovianos de Conversão; Não Linearidades; Eficiência de Mercado;

    JEL classification:

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


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