An empirical investigation of asset price bubbles in Latin American emerging financial markets

Lucio Sarno and Mark Taylor

Applied Financial Economics, 2003, vol. 13, issue 9, 635-643

Abstract: A generally accepted view among researchers and policy makers is that large capital flows to Latin America starting from the second half of the 1980s through the 1990s may have caused speculative bubbles in the asset markets of recipient economies. This article tests for asset price bubbles in the stock markets of six Latin American countries using data for the last 10 years or so. It employs recently developed robust estimation techniques which are specifically designed to exploit the skewness and leptokurtosis that bubbles may engender in the data. It finds massive deviations from normality in both stock prices and dividends series and the test results provide strong evidence for the existence of stock price bubbles in each of the markets examined.

Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (35)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100210124597 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfiec:v:13:y:2003:i:9:p:635-643

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603100210124597

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().