Bolhas racionais no índice Bovespa

Nunes, Mauricio; Silva, Sergio Da

doi:10.1590/s0034-71402009000200004

Cited by 2 publications

(3 citation statements)

References 42 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The existence of rational bubbles in the monthly series of the BOVESPA index was investigated by Nunes and Da Silva (2009). The results indicated, for the analyzed period, the existence of both explosive bubbles and bubbles which burst periodically.…”

Section: Primary Evidence In Bovespamentioning

confidence: 99%

“…Research into verifying the existence of such bubbles in Brazil, specifically in assets traded on BOVESPA (São Paulo Stock Exchange) in comparison with other exchanges, is still in its beginning stages. The results of existing research, such as Martin, Kayo, Kimura, &Nakamura (2004), De Medeiros andDaher (2008), Fernandes and De Medeiros (2009), Gomide (2009), Nunes and Da Silva (2009), Taylor (2016), suggest that there is evidence for the presence of bubbles in the São Paulo Stock Exchange Index -IBOVESPA (BOVESPA, 2004).…”

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Empirical evidence of the existence of speculative bubbles in the prices of stocks traded on the São Paulo Stock Exchange

Costa

Silva

Almeida

et al. 2017

Contaduría y Administración

View full text Add to dashboard Cite

Speculative price bubbles are defined as a significant deviation between an asset's intrinsic value and its market value and in this paper it refers to stock values. Literature about the theme has noted the existence of bubbles in various types of markets and their respective assets. A great deal of effort has been directed toward identifying bubbles in stock price indices. However, few research endeavors focus on assets as the unit of analysis. Studies about stocks in Brazil have identified the presence of bubbles in IBOVESPA (São Paulo Stock Exchange Index). Given this context and assuming that the speculative bubbles are present in the Brazilian stock market, this research is focused on the following question: Is there evidence of the existence of speculative bubbles in stock prices traded on the São Paulo Stock Exchange? Econometric tests were performed on twenty-seven stocks, based upon their positions each semester, for the period between the first semesters of 1990 until the first semester of 2010. The nominal values of the selected stocks were adjusted for inflation by the IPCA (Brazilian Consumer Price Index). In order to identify the presence of bubbles, we applied the Johansen non-cointegration test and/or the Granger non-causality test between the intrinsic value, dividends and interest on equity capital, and the market value (semester closing price) of the stocks. The primary findings reveal a presence of bubbles in twenty of the twenty-seven stocks, at a

show abstract

Section: Primary Evidence In Bovespamentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Empirical evidence of the existence of speculative bubbles in the prices of stocks traded on the São Paulo Stock Exchange

Costa

Silva

Almeida

et al. 2017

Contaduría y Administración

View full text Add to dashboard Cite

show abstract

“…The issue here is that the model can not be independently validated. For examples of this literature, see Flood and Hodrick (1986), Smith et al (1988), Camerer and Weigelt (1991), and also Nunes and Silva (2009) for an application to Brazilian markets.…”

Section: Introductionmentioning

confidence: 99%

Brazilian stock market bubble in the 2010s

Laurini

Chaim

2020

SN Bus Econ

View full text Add to dashboard Cite

Brazilian stock markets underwent a period of remarkable exuberance between early 2016 and March 2020, only to crash with the global turmoil related to health worries and oil prices. The Ibovespa index tripled its market value between a low point in January 2016 and its maximum in January 2020—by March 12, half those gains had been erased. Narratives about a bubble in Brazilian stocks before the global crash and its subsequent burst are plentiful in specialized media. In this paper, we explore this narrative from within the framework of strict local martingale financial bubbles. A key result in this literature states some financial asset price displays a bubble only if it follows a strict local martingale under the equivalent risk-neutral measure. A diffusion process is a strict local martingale if its volatility increases faster than linearly as its level grows. We first apply a nonparametric method to estimate the volatility function of Ibovespa daily prices, then fit a stochastic volatility model whose parameter values can discriminate the underlying price process as either a true martingale or a strict local martingale. Our results are negative towards the presence of a strict local martingale bubble in the Ibovespa index. Strict local martingale bubbles are related to a positive relationship between returns and volatility which does not seem present in the data at hand. We also performed a comparative analysis of the patterns found for the Ibovespa with the S&P500 index, spot Brent oil and gold prices. Electronic supplementary material The online version of this article (10.1007/s43546-020-00005-w) contains supplementary material, which is available to authorized users.

show abstract

Bolhas racionais no índice Bovespa

Cited by 2 publications

References 42 publications

Empirical evidence of the existence of speculative bubbles in the prices of stocks traded on the São Paulo Stock Exchange

Empirical evidence of the existence of speculative bubbles in the prices of stocks traded on the São Paulo Stock Exchange

Brazilian stock market bubble in the 2010s

Contact Info

Product

Resources

About