IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this article

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

Listed author(s):
  • Diógenes Manoel Leiva Martin


  • Eduardo Kazuo Kayo


  • Herbert Kimura


  • Wilson Toshiro Nakamura


Registered author(s):

    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

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    Download Restriction: no

    Article provided by ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics] in its journal Economia.

    Volume (Year): 5 (2004)
    Issue (Month): 3 ()
    Pages: 219-252

    in new window

    Handle: RePEc:anp:econom:v:5:y:2004:i:3:p:219-252
    Contact details of provider: Postal:
    Secretaria da ANPEC Rua Prof Marcos Valdemar de Freitas Reis s/n Campus do Gragoatá Bloco F Niterói, RJ 24210-201 Brazil

    Phone: 55-11-3091-6073
    Fax: 55-11-3091-6073
    Web page:

    More information through EDIRC

    Order Information: Postal: Secretaria da ANPEC Rua Prof Marcos Valdemar de Freitas Reis s/n Campus do Gragoatá Bloco F Niterói, RJ 24210-201 Brazil
    Web: Email:

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:anp:econom:v:5:y:2004:i:3:p:219-252. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rodrigo Zadra Armond)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.