PRICES BUBBLE IN STOCK MARKET: AN ANALYSIS OF THE CIVIL CONSTRUCTION SECTOR IN BRAZIL

Detalhes bibliográficos
Autor(a) principal: Fernandes, Bruno Vinícius Ramos
Data de Publicação: 2012
Outros Autores: Silveira, Ana Júlia Eiras da, Lustosa, Paulo Roberto Barbosa
Tipo de documento: Artigo
Idioma: por
Título da fonte: Análise Econômica (Online)
Texto Completo: https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/17007
Resumo: The performance of various sectors of the economy over time is subject to a number of interferences and influences that determine the dynamics of their evolution, through moments of great euphoria at one extreme, the other a deep recession and stagnation. Knowing that the stock market functions as a true indicator of these changes, this study aimed to investigate evidence that could characterize the occurrence of a process of formation of prices bubble in stock market. For this, the study was the analysis of historical prices of stocks and their dividends from the civil construction companies present in Brazil's BM&F Bovespa. Statistical analysis showed that the values studied quotations, in most cases, present a high level of dispersion and expected returns of these stocks are distributed in a uniform percentage range nothing. From the econometric point of view, the study employed co-integration tests for time series analysis of variables, concluding that more than half of the sample data has no co-integration, the possibility of revealing the presence of a speculative component. Given the disparity of data, the paper contends, in this way, the Brazilian civil construction sector has component bubble in their stock prices.
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spelling PRICES BUBBLE IN STOCK MARKET: AN ANALYSIS OF THE CIVIL CONSTRUCTION SECTOR IN BRAZILBOLHA DE PREÇOS NO MERCADO ACIONÁRIO: UMA ANÁLISE DO SETOR DA CONSTRUÇÃO CIVIL NO BRASILBolha de preçosTeste de cointegraçãoValor fundamental da açãoG01G14Bubble pricesCo-integration testFundamental value of stockThe performance of various sectors of the economy over time is subject to a number of interferences and influences that determine the dynamics of their evolution, through moments of great euphoria at one extreme, the other a deep recession and stagnation. Knowing that the stock market functions as a true indicator of these changes, this study aimed to investigate evidence that could characterize the occurrence of a process of formation of prices bubble in stock market. For this, the study was the analysis of historical prices of stocks and their dividends from the civil construction companies present in Brazil's BM&F Bovespa. Statistical analysis showed that the values studied quotations, in most cases, present a high level of dispersion and expected returns of these stocks are distributed in a uniform percentage range nothing. From the econometric point of view, the study employed co-integration tests for time series analysis of variables, concluding that more than half of the sample data has no co-integration, the possibility of revealing the presence of a speculative component. Given the disparity of data, the paper contends, in this way, the Brazilian civil construction sector has component bubble in their stock prices.O desempenho dos diversos setores da economia ao longo do tempo está sujeito a uma série de interferências e influências que determinam a dinâmica de sua evolução, passando por momentos de grande euforia, num extremo, a outros de profunda estagnação e recessão. Sabendo-se que o mercado de ações funciona como um verdadeiro termômetro destas mudanças, o presente trabalho teve por objetivo investigar indícios que pudessem caracterizar a ocorrência de um processo de formação de bolha de preços no setor imobiliário. Para tanto, o estudo partiu da análise de cotações históricas das ações e seus respectivos dividendos de empresas da construção civil do Brasil presentes na BM&F Bovespa. As análises estatísticas dos valores estudados mostraram que as cotações, na grande maioria dos casos, apresentam um alto nível de dispersão e que os retornos esperados destas ações se distribuem em um intervalo percentual nada uniforme. Do ponto de vista econométrico, o estudo empregou testes de cointegração para análise de séries históricas das variáveis, concluindo que mais da metade da amostra de dados não possui cointegração, revelando a possibilidade de presença de um componente especulativo. Tendo em vista as disparidades dos dados, o trabalho postula, desta maneira, que o setor de construção civil brasileiro possui componente de bolha nos preços de suas ações.UFRGS2012-05-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/1700710.22456/2176-5456.17007Análise Econômica; Vol. 30 No. 57 (2012): março de 2012Análise Econômica; v. 30 n. 57 (2012): março de 20122176-54560102-9924reponame:Análise Econômica (Online)instname:Universidade Federal do Rio Grande do Sul (UFRGS)instacron:UFRGSporhttps://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/17007/18180Copyright (c) 2019 Análise Econômicainfo:eu-repo/semantics/openAccessFernandes, Bruno Vinícius RamosSilveira, Ana Júlia Eiras daLustosa, Paulo Roberto Barbosa2013-09-13T21:00:14Zoai:seer.ufrgs.br:article/17007Revistahttps://seer.ufrgs.br/index.php/AnaliseEconomicaPUBhttps://seer.ufrgs.br/index.php/AnaliseEconomica/oai||rae@ufrgs.br2176-54560102-9924opendoar:2013-09-13T21:00:14Análise Econômica (Online) - Universidade Federal do Rio Grande do Sul (UFRGS)false
dc.title.none.fl_str_mv PRICES BUBBLE IN STOCK MARKET: AN ANALYSIS OF THE CIVIL CONSTRUCTION SECTOR IN BRAZIL
BOLHA DE PREÇOS NO MERCADO ACIONÁRIO: UMA ANÁLISE DO SETOR DA CONSTRUÇÃO CIVIL NO BRASIL
title PRICES BUBBLE IN STOCK MARKET: AN ANALYSIS OF THE CIVIL CONSTRUCTION SECTOR IN BRAZIL
spellingShingle PRICES BUBBLE IN STOCK MARKET: AN ANALYSIS OF THE CIVIL CONSTRUCTION SECTOR IN BRAZIL
Fernandes, Bruno Vinícius Ramos
Bolha de preços
Teste de cointegração
Valor fundamental da ação
G01
G14
Bubble prices
Co-integration test
Fundamental value of stock
title_short PRICES BUBBLE IN STOCK MARKET: AN ANALYSIS OF THE CIVIL CONSTRUCTION SECTOR IN BRAZIL
title_full PRICES BUBBLE IN STOCK MARKET: AN ANALYSIS OF THE CIVIL CONSTRUCTION SECTOR IN BRAZIL
title_fullStr PRICES BUBBLE IN STOCK MARKET: AN ANALYSIS OF THE CIVIL CONSTRUCTION SECTOR IN BRAZIL
title_full_unstemmed PRICES BUBBLE IN STOCK MARKET: AN ANALYSIS OF THE CIVIL CONSTRUCTION SECTOR IN BRAZIL
title_sort PRICES BUBBLE IN STOCK MARKET: AN ANALYSIS OF THE CIVIL CONSTRUCTION SECTOR IN BRAZIL
author Fernandes, Bruno Vinícius Ramos
author_facet Fernandes, Bruno Vinícius Ramos
Silveira, Ana Júlia Eiras da
Lustosa, Paulo Roberto Barbosa
author_role author
author2 Silveira, Ana Júlia Eiras da
Lustosa, Paulo Roberto Barbosa
author2_role author
author
dc.contributor.author.fl_str_mv Fernandes, Bruno Vinícius Ramos
Silveira, Ana Júlia Eiras da
Lustosa, Paulo Roberto Barbosa
dc.subject.por.fl_str_mv Bolha de preços
Teste de cointegração
Valor fundamental da ação
G01
G14
Bubble prices
Co-integration test
Fundamental value of stock
topic Bolha de preços
Teste de cointegração
Valor fundamental da ação
G01
G14
Bubble prices
Co-integration test
Fundamental value of stock
description The performance of various sectors of the economy over time is subject to a number of interferences and influences that determine the dynamics of their evolution, through moments of great euphoria at one extreme, the other a deep recession and stagnation. Knowing that the stock market functions as a true indicator of these changes, this study aimed to investigate evidence that could characterize the occurrence of a process of formation of prices bubble in stock market. For this, the study was the analysis of historical prices of stocks and their dividends from the civil construction companies present in Brazil's BM&F Bovespa. Statistical analysis showed that the values studied quotations, in most cases, present a high level of dispersion and expected returns of these stocks are distributed in a uniform percentage range nothing. From the econometric point of view, the study employed co-integration tests for time series analysis of variables, concluding that more than half of the sample data has no co-integration, the possibility of revealing the presence of a speculative component. Given the disparity of data, the paper contends, in this way, the Brazilian civil construction sector has component bubble in their stock prices.
publishDate 2012
dc.date.none.fl_str_mv 2012-05-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/17007
10.22456/2176-5456.17007
url https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/17007
identifier_str_mv 10.22456/2176-5456.17007
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/17007/18180
dc.rights.driver.fl_str_mv Copyright (c) 2019 Análise Econômica
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2019 Análise Econômica
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv UFRGS
publisher.none.fl_str_mv UFRGS
dc.source.none.fl_str_mv Análise Econômica; Vol. 30 No. 57 (2012): março de 2012
Análise Econômica; v. 30 n. 57 (2012): março de 2012
2176-5456
0102-9924
reponame:Análise Econômica (Online)
instname:Universidade Federal do Rio Grande do Sul (UFRGS)
instacron:UFRGS
instname_str Universidade Federal do Rio Grande do Sul (UFRGS)
instacron_str UFRGS
institution UFRGS
reponame_str Análise Econômica (Online)
collection Análise Econômica (Online)
repository.name.fl_str_mv Análise Econômica (Online) - Universidade Federal do Rio Grande do Sul (UFRGS)
repository.mail.fl_str_mv ||rae@ufrgs.br
_version_ 1799766266993442816

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