Resumo

COSTA, Carol Thiago; SILVA, Wesley Vieira da; ALMEIDA, Laura Brito de  e  VEIGA, Claudimar Pereira da. Empirical evidence of the existence of speculative bubbles in the prices of stocks traded on the São Paulo Stock Exchange. Contad. Adm [online]. 2017, vol.62, n.4, pp.1317-1334. ISSN 0186-1042.  https://doi.org/10.1016/j.cya.2017.02.007.

Speculative price bubbles are defined as a significant deviation between an asset's intrinsic value and its market value and in this paper it refers to stock values. Literature about the theme has noted the existence of bubbles in various types of markets and their respective assets. A great deal of effort has been directed toward identifying bubbles in stock price indices. However, few research endeavors focus on assets as the unit of analysis. Studies about stocks in Brazil have identified the presence of bubbles in IBOVESPA (São Paulo Stock Exchange Index). Given this context and assuming that the speculative bubbles are present in the Brazilian stock market, this research is focused on the following question: Is there evidence of the existence of speculative bubbles in stock prices traded on the São Paulo Stock Exchange? Econometric tests were performed on twenty-seven stocks, based upon their positions each semester, for the period between the first semesters of 1990 until the first semester of 2010. The nominal values of the selected stocks were adjusted for inflation by the IPCA (Brazilian Consumer Price Index). In order to identify the presence of bubbles, we applied the Johansen non-cointegration test and/or the Granger non-causality test between the intrinsic value, dividends and interest on equity capital, and the market value (semester closing price) of the stocks. The primary findings reveal a presence of bubbles in twenty of the twenty-seven stocks, at a 5% significance level. Of the seven stocks not showing evidence of bubbles, six are financial institutions. In five stocks the tests reveal Granger causality stemming from the market value toward the intrinsic value. The study findings are consistent and contribute with previous research in the literature and, are useful for investors, financial institutions, academics, government agents, and traders.

Palavras-chave : Speculative bubbles; Stocks; Brazil; Johansen cointegration; Granger causality; M1; M10; M21; M40.

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