Monitoring the Brazilian asset market: a data pipeline proposal for detecting financial bubbles

• Uiliam B. Bomfim Federal Institute of Education, Science, and Technology of Bahia (IFBA)
• Flávia Maristela S. Nascimento Federal Institute of Education, Science, and Technology of Bahia (IFBA)

DOI: https://doi.org/10.5753/sbbd_estendido.2024.243716

Abstract

Speculation and financial crisis can cause economic problems, especially in emerging countries. Therefore, economic agents looks forward to identifying financial bubbles beforehand, so that they can act towards economic stability. In this scenario, we present a data pipeline that allows to identify financial bubbles at B3 in a simple way. The analysis reveals the effectiveness of the data pipeline that identified two periods of financial bubbles in the Brazilian market.

Keywords: data pipeline, financial bubble

References

Akingbade, S., Gidea, M., Manzi, M., & Nateghi, V. (2024). Why topological data analysis detects financial bubbles?. Communications in Nonlinear Science and Numerical Simulation, 128, 107665.

Bragagnolo, G. (2020). Pecuária bovina no Brasil e disfuncionalidades do mercado financeiro: um estudo sobre os impactos no valor de mercado dos frigoríficos brasileiros de capital aberto decorrente do aumento da demanda chinesa em virtude da peste suína africana (Doctoral dissertation).

Caspi, I. e Graham, M. (2018). Testing for bubbles in stock markets with irregular dividend distribution. Finance Research Letters, 26, 89-94.

Chaim, P. e Laurini, M. (2019). Is Bitcoin a bubble?. Physica A: Statistical Mechanics and its Applications, 517, 222-232.

Chen, Y., Phillips, P., & Shi, S. (2023). Common bubble detection in large dimensionais financiais systems. Journal of Financial Econometrics, 21(4), 989-1063.

De Amorim, G., Lima, N. e Júnior, A. (2021). Distribuição de Dividendos e Valor de Empresas Listadas na B3. Advances in Scientific and Applied Accounting, p. 3-18.

Densmore, J. (2021). Data pipelines pocket reference. O'Reilly Media.

Escobari, D., Garcia, S. e Mellado, C. (2017). Identifying bubbles in Latin American equity markets: Phillips-Perron-based tests and linkages. Emerging Markets Review, 33, 90-101.

Espindola, R. (2015). A crise financeira e a política monetária no Brasil (Dissertation)

Frizo, P. e Lima, R. (2014). Efeitos da flutuação dos preços das commodities no fluxo de investimento estrangeiro direto no Brasil. Revista de Economia Contemporânea, 18, 393-408.

Hu, Y. (2023). A review of Phillips‐type right‐tailed unit root bubble detection tests. Journal of Economic Surveys, 37(1), 141-158.

Hu, Y.;Oxley, L. (2018). Bubble contagion: Evidence from Japan’s asset price bubble of the 1980-90s. Journal of the Japanese and International Economies, 50, 89-95.

Lima, T. e Deus, L. (2013). A crise de 2008 e seus efeitos na economia brasileira. Revista Cadernos de Economia, 17(32), 52-65.

Monschang, V. e Wilfling, B. (2021). Sup-ADF-style bubble-detection methods under test. Empirical Economics, 61, 145-172.

Phillips, P., Shi, S. e Yu, J. (2015a). Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. International economic review, 1043.

Phillips, P., Shi, S. e Yu, J. (2015b). Testing for multiple bubbles: Limit theory of real‐time detectors. International Economic Review, 56(4), 1079-1134.

Phillips, P., e Shi, S. (2018). Financial bubble implosion and reverse regression. Econometric Theory, 34(4), 705-753.

Phillips, P. e Shi, S. (2020). Real time monitoring of asset markets: Bubbles and crises. In Handbook of statistics (Vol. 42, pp. 61-80). Elsevier.

Pinheiro, A.; Giambiagi, F.; Gostkorzewicz, J. (1999). O desempenho macroeconômico do Brasil nos anos 90.

Shi, S. e Phillips, P. (2022). Econometric Analysis of Asset Price Bubbles (No. 2331). Cowles Foundation for Research in Economics, Yale University.