Open AccessEvidências de bolhas especulativas na BOVESPA: uma aplicação do filtro de Kalman
Author(s) -
Thiago Bergmann de Queiroz,
Otávio Ribeiro de Medeiros,
José Carneiro da Cunha Oliveira Neto
Publication year - 2011
Publication title -
revista brasileira de finanças
Language(s) - English
Resource type - Journals
eISSN - 1984-5146
pISSN - 1679-0731
DOI - 10.12660/rbfin.v9n2.2011.2667
Subject(s) - humanities , physics , kalman filter , mathematics , philosophy , statistics
The existence of bubbles in asset prices is a matter of great importanceto governments and investors due to possible serious effects they may haveon economies. In the case of shares, the presence of a price bubble can beseen by comparing prices and dividends in the long run. This study aimed toassess the occurrence of price bubbles in the Brazilian stock market, bycomparing the IBOVESPA as price index and an index of dividends, built basedon the methodology of IBOVESPA. The bubble was considered a unobserved statevector in a state-space model and was estimated using the Kalman filter. Theresults were compared with the standard present value model and intrinsicbubbles model (Froot e Obstfeld, 1991). Although the model establishes thepresence of bubbles, the intrinsic bubbles model (Froot e Obstfeld, 1991)showed similar results with greater accuracy.