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

Detalhes bibliográficos
Autor(a) principal: Ferreira, Marcos Souza
Data de Publicação: 2016
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/16704
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.
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spelling Ferreira, Marcos SouzaEscolas::EESPMarçal, Emerson FernandesLyrio, MarcoMergulhão, João de Mendonça2016-07-28T17:28:22Z2016-07-28T17:28:22Z2016-06-28FERREIRA, Marcos Souza. Bubble detection in Brazil’s stock market: application of the generalized superior augmented Dickey-Fuller test. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2016.http://hdl.handle.net/10438/16704Considering 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.engBubblesBubble detectionADF testStationarityIntegrationCointegrationEconomiaCointegraçãoMercado financeiroMercado de ações - PrevisãoBolsa de Valores de São PauloBubble detection in Brazil’s stock market: application of the generalized superior augmented Dickey-Fuller testinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALFERREIRA M - BUBBLE DETECTION IN BRAZILS STOCK MARKET_2.pdfFERREIRA M - BUBBLE DETECTION IN BRAZILS STOCK MARKET_2.pdfDissertação de 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dc.title.eng.fl_str_mv Bubble detection in Brazil’s stock market: application of the generalized superior augmented Dickey-Fuller test
title Bubble detection in Brazil’s stock market: application of the generalized superior augmented Dickey-Fuller test
spellingShingle Bubble detection in Brazil’s stock market: application of the generalized superior augmented Dickey-Fuller test
Ferreira, Marcos Souza
Bubbles
Bubble detection
ADF test
Stationarity
Integration
Cointegration
Economia
Cointegração
Mercado financeiro
Mercado de ações - Previsão
Bolsa de Valores de São Paulo
title_short Bubble detection in Brazil’s stock market: application of the generalized superior augmented Dickey-Fuller test
title_full Bubble detection in Brazil’s stock market: application of the generalized superior augmented Dickey-Fuller test
title_fullStr Bubble detection in Brazil’s stock market: application of the generalized superior augmented Dickey-Fuller test
title_full_unstemmed Bubble detection in Brazil’s stock market: application of the generalized superior augmented Dickey-Fuller test
title_sort Bubble detection in Brazil’s stock market: application of the generalized superior augmented Dickey-Fuller test
author Ferreira, Marcos Souza
author_facet Ferreira, Marcos Souza
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EESP
dc.contributor.member.none.fl_str_mv Marçal, Emerson Fernandes
Lyrio, Marco
dc.contributor.author.fl_str_mv Ferreira, Marcos Souza
dc.contributor.advisor1.fl_str_mv Mergulhão, João de Mendonça
contributor_str_mv Mergulhão, João de Mendonça
dc.subject.eng.fl_str_mv Bubbles
Bubble detection
ADF test
Stationarity
Integration
Cointegration
topic Bubbles
Bubble detection
ADF test
Stationarity
Integration
Cointegration
Economia
Cointegração
Mercado financeiro
Mercado de ações - Previsão
Bolsa de Valores de São Paulo
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Cointegração
Mercado financeiro
Mercado de ações - Previsão
Bolsa de Valores de São Paulo
description 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.
publishDate 2016
dc.date.accessioned.fl_str_mv 2016-07-28T17:28:22Z
dc.date.available.fl_str_mv 2016-07-28T17:28:22Z
dc.date.issued.fl_str_mv 2016-06-28
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.citation.fl_str_mv FERREIRA, Marcos Souza. Bubble detection in Brazil’s stock market: application of the generalized superior augmented Dickey-Fuller test. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2016.
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/16704
identifier_str_mv FERREIRA, Marcos Souza. Bubble detection in Brazil’s stock market: application of the generalized superior augmented Dickey-Fuller test. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2016.
url http://hdl.handle.net/10438/16704
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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