Formação e deflação de bolhas financeiras

Abstract

Can the formation and deflation of financial bubbles be detected? To answer this question, we applied the new Phillips, Shin e Yu (2015a, b) test, which consist in identifying multiple exuberance episodes, in the Shanghai stock exchange composite index (SSEC), as well as in the NASDAQ index. The choice of these indexes was based on actual pertinent questions, such as, are we facing a possible financial bubble in Shanghai? Or are we reviving the “dotcom” bubble? The results were positive for this application, because they provide evidence of the effectiveness of Phillips, Shin e Yu (2015a, b) test to identify multiple exuberance episodes at different periods of time.

Date of Award	6 Jul 2016
Original language	Portuguese
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Carlos Santos (Supervisor)