Publicação
Financial exuberance in Latin America: an empirical study for the equity market
| Resumo: | 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). |
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| Autores principais: | Bespalova, Olga |
| Assunto: | Generalized sup ADF test Sup ADF test Periodically collapsing bubbles |
| Ano: | 2018 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| Resumo: | 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). |
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