Title: Análisis de procesos explosivos en el precio de los activos financieros: evidencia alrededor del mundo
Authors: Fernández Mejía, Julián
Uribe, Jorge Mario
Keywords: BURBUJAS
PRUEBA DE SIGNO
FACTORES
ÍNDICES
CRISIS
Issue Date: Jan-2016
Publisher: Universidad Católica de Colombia. Facultad de Ciencias Económicas y Administrativas
Citation: Fernández Mejía, J., & Uribe, J. (2016). Analysis of financial asset price explosions: Evidence from around the world. Revista Finanzas y Política Económica, 8(1), 83-103. Retrieved from https://editorial.ucatolica.edu.co/ojsucatolica/revistas_ucatolica/index.php/RFYPE/article/view/929/976
Abstract: En este artículo se analizan diferentes índices accionarios de mercados alrededor del mundo, en el periodo 1995-2013, con el fin de poner a prueba la existencia y fechar la aparición de procesos explosivos en sus mercados de acciones. Se hace uso de una prueba de signo, para construir diferentes índices de burbujas en los mercados financieros representativos de cada región, y se construye además un índice de las principales regiones financieras a partir de modelos dinámicos por factores. Estos índices permiten caracterizar las regiones en términos de riesgo y, asimismo, de ocurrencia de burbujas financieras. Se encuentra evidencia que señala cierto grado de sincronización entre los episodios de burbujas financieras en los mercados analizados y, en general, en todo el mundo.
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URI: https://hdl.handle.net/10983/17166
ISSN: 2248-6046
Is part of: Revista Finanzas y Política Económica, Vol. 8, no. 1 (ene. – jun. 2016); p.83-103. http://dx.doi.org/10.14718/revfinanzpolitecon.2016.8.1.5
Appears in Collections:CAD. Finanzas y Política Económica



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