Identifying bubbles in Latin American equity markets: Phillips-Perron-based tests and linkages

Escobari, Diego; García, Sergio; Mellado, Cristhian

doi:10.1016/j.ememar.2017.09.001

Cited by 23 publications

(14 citation statements)

References 39 publications

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“…The most rigorous approach to detecting stationarity in time series data is using statistical tests developed to detect specific types of stationarity, such as simple parametric models that generate the stochastic process. Among them, it is important to mention the following: (i) Augmented Dickey-Fuller (ADF) test [ 69 ]; (ii) Kwiatkowski, Phillips, Schmidt, and Shin (KPSS) test [ 70 , 71 ]; (iii) Variance ratio test [ 72 ]; (iv) Leybourne-McCabe (LMC) test [ 73 ]; and (v) Phillips-Perron (PP) test [ 74 ].…”

Section: Methodsmentioning

confidence: 99%

Influence of Data Sampling Frequency on Household Consumption Load Profile Features: A Case Study in Spain

Hernández

Sánchez-Sutil

Caño

et al. 2020

Sensors

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Smart meter (SM) deployment in the residential context provides a vast amount of data of high granularity at the individual household level. In this context, the choice of temporal resolution for describing household load profile features has a crucial impact on the results of any action or assessment. This study presents a methodology that makes two new contributions. Firstly, it proposes periodograms along with autocorrelation and partial autocorrelation analyses and an empirical distribution-based statistical analysis, which are able to describe household consumption profile features with greater accuracy. Secondly, it proposes a framework for data collection in households at a high sampling frequency. This methodology is able to analyze the influence of data granularity on the description of household consumption profile features. Its effectiveness was confirmed in a case study of four households in Spain. The results indicate that high-resolution data should be used to consider the full range of consumption load fluctuations. Nonetheless, the accuracy of these features was found to largely depend on the load profile analyzed. Indeed, in some households, accurate descriptions were obtained with coarse-grained data. In any case, an intermediate data-resolution of 5 s showed feature characterization closer to those of 0.5 s.

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Section: Methodsmentioning

confidence: 99%

Influence of Data Sampling Frequency on Household Consumption Load Profile Features: A Case Study in Spain

Hernández

Sánchez-Sutil

Caño

et al. 2020

Sensors

View full text Add to dashboard Cite

show abstract

“…Furthermore, the Augmented Dickey-Fuller (ADF) and Phillips-Perron (P.P.) unit root tests are used to determine data stationarity testing (Ajewole, Adejuwon, & Jemilohun, 2020;Aktivani, 2020;Escobari, Garcia, & Mellado, 2017).…”

Section: Table 1: Summary Of Variablesmentioning

confidence: 99%

Macroeconomic Variables Influence on Stock Market Performance

Shamsudin¹,

Rosmi²,

Mohamed³

2021

IJARBSS

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Investors should consider stock market performance when making an investment decision. Both economic and non-economic factors influence the stock market's performance. Previous research, primarily from developed markets, has revealed that macroeconomic factors significantly impact stock returns. Economic forces are used in this paper to investigate the significant relationship between selected macroeconomic variables, the Malaysian stock return index for the financial sector, and the Bursa Malaysia Finance Services Index. The macroeconomic variables examined are inflation (INF), money supply (M.S.) and the real effective exchange rate (REER). This study's sample consists of 164 timeseries observations. The observations are annual secondary data obtained from the World Bank, Index Mundi, and the Malaysian Bureau of Statistics from January 1979 to December 2019. Several regression analyses and econometric tests were performed with the interactive software package E-Views 11. The findings of this research paper provide an initial overview and can serve as a valuable foundation for investors' and policymakers' respective investment strategies and policies.

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“…Grandes, Panigo, and Pasquini (2010) and Figlioli and Lima (2019) suggest that in LA idiosyncratic risk is not eliminated by diversification processes. This effect would be related to the low levels of liquidity verified in the financial markets of this region (Bittencourt, 2012;Escobari, Garcia, & Mellado, 2017). From a more traditional perspective of finance, the implication of this is that the higher cost of capital reduces firms' probabilities of making investments.…”

Section: Dynamics Of Investments In Lamentioning

confidence: 99%

Investment Cash Flow Sensitivity and Tobin’s Q: The Case of Advanced Emerging Markets in Latin America

Figlioli¹,

Lima²

2020

IBR

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This paper examines whether the capital market and the internal generation of cash flows bring relevant information to decisions on corporate investments. For this investigation, we used data from 255 companies located in four Latin American (LA) countries: Brazil, Chile, Mexico and Peru (BCMP countries). The analysis period is from 2000 to 2017. The results indicate that cash flow represents one of the main drivers of corporate investments. In contrast, there were no indications that the capital market translates into a mechanism for transmitting useful information to firm managers about investments. Other drivers of value identified are associated with sales, cash and cash equivalents, and asset tangibility.

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Identifying bubbles in Latin American equity markets: Phillips-Perron-based tests and linkages

Cited by 23 publications

References 39 publications

Influence of Data Sampling Frequency on Household Consumption Load Profile Features: A Case Study in Spain

Influence of Data Sampling Frequency on Household Consumption Load Profile Features: A Case Study in Spain

Macroeconomic Variables Influence on Stock Market Performance

Investment Cash Flow Sensitivity and Tobin’s Q: The Case of Advanced Emerging Markets in Latin America

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