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Publicação
Financial exuberance in Latin America: an empirical study for the equity market
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| 1.09 MB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
The subject of the present study is the potential existence of speculative bubbles in
the Latin American equities markets as it has been shown to exist prior to market
crashes in several other stock indexes of developed markets. The time series of the
MSCI Emerging Markets Latin America and its several sub indices is analysed for the
time period from January 1995 to February 2018 using the supremum Augmented
Dickey Fuller test as well as recursive regression methodologies proposed by Phillips,
Wu and Yu (2011) and Phillips, Shi and Yu (2013).
Descrição
Palavras-chave
Generalized sup ADF test Sup ADF test Periodically collapsing bubbles