IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

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

  • FERNANDO DÍAZ

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

  • RODRIGO SÁNCHEZ

    (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.

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: http://eacc10.puc.cl/files/ABT/Contenidos/Vol-4-N1/2%20Diaz%20Sanchez.pdf
Download Restriction: no

Article provided by Escuela de Administracion. Pontificia Universidad Católica de Chile. in its journal ABANTE.

Volume (Year): 4 (2001)
Issue (Month): 1 ()
Pages: 37-82

as
in new window

Handle: RePEc:pch:abante:v:4:y:2001:i:1:p:37-82
Contact details of provider: Web page: http://eacc10.puc.cl/RePEc/pch/

More information through EDIRC

Order Information: Email:


References listed on IDEAS
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.:

as in new window
  1. Campbell, John Y & Shiller, Robert J, 1988. " Stock Prices, Earnings, and Expected Dividends," Journal of Finance, American Finance Association, vol. 43(3), pages 661-76, July.
  2. 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.
  3. 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.
  4. Dahai Yu, 1998. "Rational bubbles under diverse information," International Finance Discussion Papers 621, Board of Governors of the Federal Reserve System (U.S.).
  5. Tirole, Jean, 1985. "Asset Bubbles and Overlapping Generations," Econometrica, Econometric Society, vol. 53(6), pages 1499-1528, November.
  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 746-54, September.
  7. David Yu, 1998. "Rational Bubbles Under Diverse Information," Discussion Papers Series, Department of Economics, Tufts University 9816, Department of Economics, Tufts University.
  8. 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.
  9. 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.
  10. Tirole, Jean, 1982. "On the Possibility of Speculation under Rational Expectations," Econometrica, Econometric Society, vol. 50(5), pages 1163-81, September.
  11. 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.
Full references (including those not matched with items on IDEAS)

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: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 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.