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

Costa, Carol Thiago; Silva, Wesley Vieira da; Almeida, Lauro Brito de; Veiga, Claudimar Pereira da

doi:10.1016/j.cya.2017.02.007

Cited by 7 publications

(10 citation statements)

References 49 publications

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“…Currently, the challenges faced by the regulation of the sector are the sustained increase of energy supply in sufficient quantities to promote social and economic development of the country, in addition to providing energy at competitive prices and in environmentally sustainable conditions, to final consumers (MME, 2015; Costa et al , 2017).…”

Section: Methodsmentioning

confidence: 99%

Do characteristics of the regulatory content have different impact on the risk in the electricity sector?

Taffarel

Silva

Veiga

et al. 2019

IJESM

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Purpose The purpose of this study is to determine if the Brazilian electricity sector is differently affected by the characteristics of the content in the regulatory legislation. Design/methodology/approach For better robustness of the research, the authors analyzed the period from 1995 to 2013, totaling 4,510 observations. To this end, the selection of regulatory legislation was conducted through Markov regime switching. To identify the characteristics of profile and intensity of regulatory content in each legislation, we applied the content analysis technique. Findings The main findings of this study position this research in the vanguard regarding other research in the area by showing that all regulatory measures whose characteristics denote market profile of strong and medium intensity affect the risk of electric utilities in Brazil. As contribution from this research, it can be hypothesized that for provisional measures/laws events, the profile and intensity of regulatory content are relevant and have different impact on the risk of stocks and, therefore, should be considered in the design and development of public policies. Originality/value The paper investigates by means of content analysis, the profile and intensity characteristics of the content present in the regulatory legislation and to present the impact of these characteristics on the risk of the electric energy Sector in Brazil. The research results showed that it is not all regulatory events that impact the stock market. Therefore, regulatory risk estimates must consider the intensity and scope of each legislation, given that legislation with a higher regulatory content that seeks to modify the sector’s operating rules more deeply tends to have a greater impact on the risk of companies that operate in regulated sectors. Therefore, the paper shows originality and evolution for the researchers in the area, with new and significant information.

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Section: Methodsmentioning

confidence: 99%

Do characteristics of the regulatory content have different impact on the risk in the electricity sector?

Taffarel

Silva

Veiga

et al. 2019

IJESM

Self Cite

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“…Desde la óptica de los fundamentales del mercado, la economía Brasileña ha sufrido una década convulsionada caracterizada por escándalos de corrupción y una marcada inestabilidad política que se refleja de forma acentuada en el primer quinquenio de la década en el cual el índice Bovespa registró una caída de más del 37 %, aunque esta caída puede estar explicada por la crisis política del país, también puede sustentarse en burbujas especulativas o exuberancia irracional identificada en el mercado accionario Brasileño entre 1990 y 2010 como lo manifiestan Costa et al (2017). En este sentido, el mercado brasileño, como gran parte de los mercados financieros globales, se debate entre la eficiencia del mercado y conductas irracionales que generan burbujas (Quiroga, 2017); demodo que esta dualidad en el comportamiento de los mercados da pie a la posibilidad de que un indicador como el CAPE tenga la capacidad de identificar activos financieros subvalorados o sobrevalorados.…”

Section: Resultsunclassified

Análisis del índice precio-beneficio ajustado cíclicamente en portafolios del mercado accionario brasileño, 2011-2019

Contreras¹,

Amado²,

Santamaria³

et al. 2022

Semest. Econ.

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Este artículo evalúa las bondades del indicador precio-beneficio ajustado cíclicamente para la construcción de portafolios de inversión en el mercado accionario brasileño para el periodo 2011-2019. Para cumplir este objetivo se tomó información del valor de las acciones de treinta y tres empresas que cotizan en la bolsa de valores de Brasil y se les aplica el índice para la construcción de portafolios eficientes. El comportamiento de los activos financieros que componen dichos portafolios se comparó con el índice Bovespa, y luego se procedió a calcular el valor del riesgo, con el fin de generar portafolios de inversión con un riesgo equivalente al Bovespa. A pesar de que existen estudios de aplicación de este indicador en diversos mercados, son pocos los que se enfocan en el precio-beneficio ajustado cíclicamente para la construcción de portafolios de inversión y no se evidencia la existencia de análisis de este tipo enfocados en el mercado latinoamericano, de aquí la importancia de este trabajo. Como resultado, se observó que el rendimiento de los portafolios construidos con esta metodología supera al Bovespa en seis de los nueve años analizados, además, entre 2011 y 2019 los portafolios construidos generaron un rendimiento 3,27 veces superior al Bovespa.

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“…In a stock study in Brazil, Costa et al. (2017) identified a bubble in the São Paulo stock exchange index.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Studies on bubbles in different types of assets in the economy over time have occupied researchers in various fields. Understanding why changes in market asset prices relative to their intrinsic values are so important is that a methodology that can predict such price fluctuations (Costa et al. , 2017, p. 1319).…”

Section: Introductionmentioning

confidence: 99%

Portfolio optimization in the capital market bubble space, an application of meta-heuristic algorithms

Mohammadi

Khoshouei²,

Chadegani³

2022

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PurposeIn this study, to maximize returns and minimize investment risk, an attempt was made to form an optimal portfolio under conditions where the capital market has a price bubble. According to the purpose, the research was of the applied type, in terms of data, quantitative and postevent, and in terms of the type of analysis, it was of the descriptive-correlation type. Sequence, skewness and kurtosis tests were used to identify the months with bubbles from 2015 to 2021 in the Tehran Stock Exchange. After identifying the bubble courses, artificial bee colony meta-heuristic and invasive weed algorithms were used to optimize the portfolio. The purpose of this paper is to address these issues.Design/methodology/approachThe existence of bubbles in the market, especially in the capital market, can prevent the participation of investors in the capital market process and the correct allocation of financial resources for the economic development of the country. However, due to the goal of investors to achieve a portfolio of high returns with the least amount of risk, there is need to pay attention to these markets increases.FindingsThe results identify 14 periods of price bubbles during the study period. Additionally, stock portfolios with maximum returns and minimum risk were selected for portfolio optimization. According to the results of using meta-heuristic algorithms to optimize the portfolio, in relation to the obtained returns and risk, no significant difference was observed between the returns and risk of periods with price bubbles in each of the two meta-heuristic algorithms. This study can guide investors in identifying bubble courses and forming an optimal portfolio under these conditions.Research limitations/implicationsOne of the limitations of this research is the non-generalizability of the findings to stock exchanges of other countries and other time periods due to the condition of the price bubble, as well as other companies in the stock market due to the restrictions considered for selecting the statistical sample.Originality/valueThis study intends to form an optimal stock portfolio in a situation where the capital market suffers from a price bubble. This study provides an effective and practical solution for investors in the field of stock portfolio optimization.

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

Cited by 7 publications

References 49 publications

Do characteristics of the regulatory content have different impact on the risk in the electricity sector?

Do characteristics of the regulatory content have different impact on the risk in the electricity sector?

Análisis del índice precio-beneficio ajustado cíclicamente en portafolios del mercado accionario brasileño, 2011-2019

Portfolio optimization in the capital market bubble space, an application of meta-heuristic algorithms

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