Bubble detection in Brazil’s stock marketapplication of the generalized superior augmented Dickey-Fuller test

Resumo

Considering the importance of the proper detection of bubbles in financial markets for policymakers and market agents, we used two techniques described in Diba and Grossman (1988b) and in Phillips, Shi, and Yu (2015) to detect periods of exuberance in the recent history of the Brazillian stock market. First, a simple cointegration test is applied. Secondly, we conducted several augmented, right-tailed Dickey-Fuller tests on rolling windows of data to determine the point in which there’s a structural break and the series loses its stationarity.

Ficha do documento

Tipo

Dissertação

Ano

2016

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Inglês

Acesso

Não informado

Identificador

oai:repositorio.fgv.br:10438/16704

Temas

Economia

Palavras-chave

BubblesBubble detectionADF testStationarityIntegrationCointegrationEconomiaCointegraçãoMercado financeiroMercado de ações - PrevisãoBolsa de Valores de São Paulo