Análise VAR dos índices bolsistas SP500, FTSE100, PSI20, HSI e IBOVESPA

Nogueira, David Coito and Fuinhas, José Alberto and Marques, António Cardoso (2014): Análise VAR dos índices bolsistas SP500, FTSE100, PSI20, HSI e IBOVESPA.

Abstract

The international capital flows are intensifying due to the deepening of globalization and diversification of portfolios in international capital markets. These factors have contributed to the increased integration of international financial markets. A VAR model is carried out to analyze how a greater integration in world financial markets affects the behavior of international capital flows and investor returns. Daily quotations were used within the period comprised from January 1994 to November 2013, for the following stock market indexes: SP500, FTSE100, PSI20, HSI and IBOVESPA. Markets do not have long-term relationships (cointegration). The benefits of international portfolio diversification on profitability are confirmed. The results of the causality tests and variance decomposition allow grasping the presence of the contagion effect. This effect may be due to the different hours each stock market operates.

• Item Type: MPRA Paper
• English Title: Integration of the indexes SP500, FTSE100, PSI20, HSI and IBOVESPA: A VAR approach
• Language: Portuguese
• Keywords: Globalization; international portfolio diversification; financial markets; integration; stock market indexes; cointegration; VAR.
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; F - International Economics > F6 - Economic Impacts of Globalization > F65 - Finance; G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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