Testing for rational bubbles in banking indices
Autor(a) principal: | |
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Data de Publicação: | 2006 |
Outros Autores: | |
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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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 |
format |
article |
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 |
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eng |
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openAccess |
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Texto |
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Universidade Católica de Brasília (UCB) |
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UCB |
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