Bubble detection in Brazil’s stock market: application of the generalized superior augmented Dickey-Fuller test

dc.contributorMergulhão, João de Mendonça
dc.contributorEscolas::EESP
dc.contributorMarçal, Emerson Fernandes
dc.contributorLyrio, Marco
dc.creatorFerreira, Marcos Souza
dc.date.accessioned2016-07-28T17:28:22Z
dc.date.available2016-07-28T17:28:22Z
dc.date.created2016-07-28T17:28:22Z
dc.date.issued2016-06-28
dc.identifierFERREIRA, Marcos Souza. Bubble detection in Brazil’s stock market: application of the generalized superior augmented Dickey-Fuller test. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2016.
dc.identifierhttp://hdl.handle.net/10438/16704
dc.description.abstractConsidering the importance of the proper detection of bubbles in financial markets for policymakers and market agents, we used two techniques described in Diba and Grossman (1988b) and in Phillips, Shi, and Yu (2015) to detect periods of exuberance in the recent history of the Brazillian stock market. First, a simple cointegration test is applied. Secondly, we conducted several augmented, right-tailed Dickey-Fuller tests on rolling windows of data to determine the point in which there’s a structural break and the series loses its stationarity.
dc.languageeng
dc.subjectBubbles
dc.subjectBubble detection
dc.subjectADF test
dc.subjectStationarity
dc.subjectIntegration
dc.subjectCointegration
dc.titleBubble detection in Brazil’s stock market: application of the generalized superior augmented Dickey-Fuller test
dc.typeDissertation


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