Testing for rational bubbles in banking indices

Detalhes bibliográficos
Autor(a) principal: Cajueiro, Daniel Oliveira
Data de Publicação: 2006
Outros Autores: Tabak, Benjamin Miranda
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UCB
Texto Completo: http://twingo.ucb.br:8080/jspui/handle/10869/355
https://repositorio.ucb.br:9443/jspui/handle/123456789/7391
Resumo: In this paper a simple test for detecting bilinearity in a stochastic unit root process is used to test for the presence of rational bubbles in banking equity indices. The empirical evidence for a set of 39 banking indices for different countries, after adjusting for GARCH effects, suggests that for more than 69% of these indices, the hypothesis of no unit root bilinearity is rejected. Therefore, the dynamics of banking asset prices in most countries are in conformity with rational bubbles and high speculation. This is true for both developed and emerging economies.
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spelling Cajueiro, Daniel OliveiraTabak, Benjamin Miranda2016-10-10T03:51:19Z2016-10-10T03:51:19Z2006TABAK, Benjamin Miranda; CAJUEIRO, Daniel Oliveira. Testing for Rational Bubbles in banking indices. Physica. A , v. 366, p. 365-376, 2006.http://twingo.ucb.br:8080/jspui/handle/10869/355https://repositorio.ucb.br:9443/jspui/handle/123456789/7391In this paper a simple test for detecting bilinearity in a stochastic unit root process is used to test for the presence of rational bubbles in banking equity indices. The empirical evidence for a set of 39 banking indices for different countries, after adjusting for GARCH effects, suggests that for more than 69% of these indices, the hypothesis of no unit root bilinearity is rejected. Therefore, the dynamics of banking asset prices in most countries are in conformity with rational bubbles and high speculation. This is true for both developed and emerging economies.Made available in DSpace on 2016-10-10T03:51:19Z (GMT). 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dc.title.pt_BR.fl_str_mv Testing for rational bubbles in banking indices
title Testing for rational bubbles in banking indices
spellingShingle Testing for rational bubbles in banking indices
Cajueiro, Daniel Oliveira
Bilinear unit root
GARCH
Rational bubbles
Emerging markets
title_short Testing for rational bubbles in banking indices
title_full Testing for rational bubbles in banking indices
title_fullStr Testing for rational bubbles in banking indices
title_full_unstemmed Testing for rational bubbles in banking indices
title_sort Testing for rational bubbles in banking indices
author Cajueiro, Daniel Oliveira
author_facet Cajueiro, Daniel Oliveira
Tabak, Benjamin Miranda
author_role author
author2 Tabak, Benjamin Miranda
author2_role author
dc.contributor.author.fl_str_mv Cajueiro, Daniel Oliveira
Tabak, Benjamin Miranda
dc.subject.por.fl_str_mv Bilinear unit root
GARCH
Rational bubbles
Emerging markets
topic Bilinear unit root
GARCH
Rational bubbles
Emerging markets
dc.description.abstract.por.fl_txt_mv In this paper a simple test for detecting bilinearity in a stochastic unit root process is used to test for the presence of rational bubbles in banking equity indices. The empirical evidence for a set of 39 banking indices for different countries, after adjusting for GARCH effects, suggests that for more than 69% of these indices, the hypothesis of no unit root bilinearity is rejected. Therefore, the dynamics of banking asset prices in most countries are in conformity with rational bubbles and high speculation. This is true for both developed and emerging economies.
dc.description.status.pt_BR.fl_txt_mv Publicado
description In this paper a simple test for detecting bilinearity in a stochastic unit root process is used to test for the presence of rational bubbles in banking equity indices. The empirical evidence for a set of 39 banking indices for different countries, after adjusting for GARCH effects, suggests that for more than 69% of these indices, the hypothesis of no unit root bilinearity is rejected. Therefore, the dynamics of banking asset prices in most countries are in conformity with rational bubbles and high speculation. This is true for both developed and emerging economies.
publishDate 2006
dc.date.issued.fl_str_mv 2006
dc.date.accessioned.fl_str_mv 2016-10-10T03:51:19Z
dc.date.available.fl_str_mv 2016-10-10T03:51:19Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
status_str publishedVersion
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dc.identifier.citation.fl_str_mv TABAK, Benjamin Miranda; CAJUEIRO, Daniel Oliveira. Testing for Rational Bubbles in banking indices. Physica. A , v. 366, p. 365-376, 2006.
dc.identifier.uri.fl_str_mv http://twingo.ucb.br:8080/jspui/handle/10869/355
https://repositorio.ucb.br:9443/jspui/handle/123456789/7391
identifier_str_mv TABAK, Benjamin Miranda; CAJUEIRO, Daniel Oliveira. Testing for Rational Bubbles in banking indices. Physica. A , v. 366, p. 365-376, 2006.
url http://twingo.ucb.br:8080/jspui/handle/10869/355
https://repositorio.ucb.br:9443/jspui/handle/123456789/7391
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
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