Acciones Tecnológicas: ¿Un Episodio De Burbujas Especulativas En El Mercado?
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.
Volume (Year): 4 (2001)
Issue (Month): 1 ()
|Contact details of provider:|| Web page: http://eacc10.puc.cl/RePEc/pch/|
More information through EDIRC
|Order Information:|| Email: |
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- West, Kenneth D, 1988.
" Bubbles, Fads and Stock Price Volatility Tests: A Partial Evaluation,"
Journal of Finance,
American Finance Association, vol. 43(3), pages 639-56, July.
- Kenneth D. West, 1988. "Bubbles, Fads, and Stock Price Volatility Tests: A Partial Evaluation," NBER Working Papers 2574, National Bureau of Economic Research, Inc.
- John Y. Campbell & Robert J. Shiller, 1988.
"Stock Prices, Earnings and Expected Dividends,"
NBER Working Papers
2511, National Bureau of Economic Research, Inc.
- Campbell, J.Y. & Shiller, R.J., 1988. "Stock Prices, Earnings And Expected Dividends," Papers 334, Princeton, Department of Economics - Econometric Research Program.
- John Y. Campbell & Robert J. Shiller, 1988. "Stock Prices, Earnings and Expected Dividends," Cowles Foundation Discussion Papers 858, Cowles Foundation for Research in Economics, Yale University.
- Campbell, John & Shiller, Robert, 1988. "Stock Prices, Earnings, and Expected Dividends," Scholarly Articles 3224293, Harvard University Department of Economics.
- 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, arXiv.org, revised May 2000.
- David Yu, 1998. "Rational Bubbles Under Diverse Information," Discussion Papers Series, Department of Economics, Tufts University 9816, Department of Economics, Tufts University.
- Froot, Kenneth A & Obstfeld, Maurice, 1991.
"Intrinsic Bubbles: The Case of Stock Prices,"
American Economic Review,
American Economic Association, vol. 81(5), pages 1189-214, December.
- Dahai Yu, 1998. "Rational bubbles under diverse information," International Finance Discussion Papers 621, Board of Governors of the Federal Reserve System (U.S.).
- Tirole, Jean, 1985. "Asset Bubbles and Overlapping Generations," Econometrica, Econometric Society, vol. 53(6), pages 1499-1528, November.
- Montrucchio, Luigi & Privileggi, Fabio, 1999.
"On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-Type,"
POLIS Working Papers
5, Institute of Public Policy and Public Choice - POLIS.
- 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.
- Luigi Montrucchio & Fabio Privileggi, 2001. "On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-Type," ICER Working Papers - Applied Mathematics Series 05-2001, ICER - International Centre for Economic Research.
- Diba, Behzad T & Grossman, Herschel I, 1988. "The Theory of Rational Bubbles in Stock Prices," Economic Journal, Royal Economic Society, vol. 98(392), pages 746-54, September.
- Tirole, Jean, 1982. "On the Possibility of Speculation under Rational Expectations," Econometrica, Econometric Society, vol. 50(5), pages 1163-81, September.
- 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 656-60, July.
When requesting a correction, please mention this item's handle: RePEc:pch:abante:v:4:y:2001:i:1:p:37-82. 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: (Gimena Pardo)
If references are entirely missing, you can add them using this form.