Resumen

FERNANDEZ MEJIA, Julián  y  URIBE, Jorge Mario. ANALYSIS OF FINANCIAL ASSET PRICE EXPLOSIONS: EVIDENCE FROM AROUND THE WORLD. Finanz. polit. econ. [online]. 2016, vol.8, n.1, pp.83-103. ISSN 2248-6046.  https://doi.org/10.14718/revfinanzpolitecon.2016.8.1.5.

This article analyzes different international share price indices for the period 1995-2013, in order to test for the existence and date of appearance of asset price explosions in the world's stock markets. A sign test is employed to construct different indices of bubbles in representative financial markets for each region, using dynamic factor models. These indices permit a characterization to be made of each region in terms of risk and, also, of the occurrence of financial bubbles. Evidence is found that indicates a certain degree of synchronization between episodes of financial bubbles in the markets analyzed and, generally, at international level.

Palabras clave : bubbles; sign test; factors; indices; crises.

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