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



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


    (Escuela de Ingeniería Comercial, Universidad Santo Tomás.)


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

    1. Campbell, John Y & Shiller, Robert J, 1988. " Stock Prices, Earnings, and Expected Dividends," Journal of Finance, American Finance Association, vol. 43(3), pages 661-676, July.
    2. Kleidon, Allan W, 1988. " Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation: Discussion," Journal of Finance, American Finance Association, vol. 43(3), pages 656-660, July.
    3. Tirole, Jean, 1982. "On the Possibility of Speculation under Rational Expectations," Econometrica, Econometric Society, vol. 50(5), pages 1163-1181, September.
    4. Froot, Kenneth A & Obstfeld, Maurice, 1991. "Intrinsic Bubbles: The Case of Stock Prices," American Economic Review, American Economic Association, vol. 81(5), pages 1189-1214, December.
    5. David Yu, 1998. "Rational Bubbles Under Diverse Information," Discussion Papers Series, Department of Economics, Tufts University 9816, Department of Economics, Tufts University.
    6. Diba, Behzad T & Grossman, Herschel I, 1988. "The Theory of Rational Bubbles in Stock Prices," Economic Journal, Royal Economic Society, vol. 98(392), pages 746-754, September.
    7. West, Kenneth D, 1988. " Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation," Journal of Finance, American Finance Association, vol. 43(3), pages 639-656, July.
    8. Montrucchio, Luigi & Privileggi, Fabio, 2001. "On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-Type," Journal of Economic Theory, Elsevier, vol. 101(1), pages 158-188, November.
    9. Anders Johansen & Didier Sornette, 2000. "The Nasdaq crash of April 2000: Yet another example of log-periodicity in a speculative bubble ending in a crash," Papers cond-mat/0004263,, revised May 2000.
    10. Tirole, Jean, 1985. "Asset Bubbles and Overlapping Generations," Econometrica, Econometric Society, vol. 53(6), pages 1499-1528, November.
    11. Dahai Yu, 1998. "Rational bubbles under diverse information," International Finance Discussion Papers 621, Board of Governors of the Federal Reserve System (U.S.).
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    More about this item


    Rational Bubbles; Run Test; Tail Test; Variance Stability Test;

    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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