JavaScript is disabled for your browser. Some features of this site may not work without it.
| dc.contributor.advisor | Casarin, Roberto | it_IT |
| dc.contributor.author | Hrabovska, Yevheniia <1994> | it_IT |
| dc.date.accessioned | 2017-06-21 | it_IT |
| dc.date.accessioned | 2017-09-29T13:01:27Z | |
| dc.date.available | 2017-09-29T13:01:27Z | |
| dc.date.issued | 2017-07-06 | it_IT |
| dc.identifier.uri | http://hdl.handle.net/10579/10797 | |
| dc.description.abstract | In this study I propose a model for the behaviour of the real stock market prices which allows for the existence of speculative bubbles. The bubble is assumed to follow a Markov-switching process with explosive and collapsing regimes. Inference on the model is performed by using observations on the deviations of the log prices from fundamentals. The fundamental prices are assumed to be a function of the discounted future dividends. Data used for estimation includes major stock market indices: SP 500, NASDAQ, Euro Stoxx 50 and major US companies. | it_IT |
| dc.language.iso | en | it_IT |
| dc.publisher | Università Ca' Foscari Venezia | it_IT |
| dc.rights | © Yevheniia Hrabovska, 2017 | it_IT |
| dc.title | A Markov-Switching Model for Bubble Detection in the Stock Market | it_IT |
| dc.title.alternative | A Markov-Switching Model for Bubbles Detection in the Stock Market | it_IT |
| dc.type | Master's Degree Thesis | it_IT |
| dc.degree.name | Economia - economics | it_IT |
| dc.degree.level | Laurea magistrale | it_IT |
| dc.degree.grantor | Dipartimento di Economia | it_IT |
| dc.description.academicyear | 2016/2017 sessione estiva | it_IT |
| dc.rights.accessrights | openAccess | it_IT |
| dc.thesis.matricno | 861161 | it_IT |
| dc.subject.miur | SECS-P/05 ECONOMETRIA | it_IT |
| dc.description.note | In this study, I propose a model for the behaviour of the real stock market prices that allows for the existence of speculative bubbles. The bubble is assumed to follow a Markov-switching process with explosive and collapsing regimes. Inference on the model is performed by using the deviations of the log prices from fundamentals. The fundamental prices are assumed to be a function of the discounted future dividends. Data used in the estimation includes stock market index S&P 500, and 17 of its constituents, public US companies with recorded data at least since the 80s. The results corroborate the hypothesis of regime switches in most of the series. A combination of the information on bubble dynamics and their correlation is used to measure the level of systemic risk in the market. | it_IT |
| dc.degree.discipline | it_IT | |
| dc.contributor.co-advisor | it_IT | |
| dc.date.embargoend | it_IT | |
| dc.provenance.upload | Yevheniia Hrabovska (861161@stud.unive.it), 2017-06-21 | it_IT |
| dc.provenance.plagiarycheck | Roberto Casarin (r.casarin@unive.it), 2017-07-03 | it_IT |
