Logo
Munich Personal RePEc Archive

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

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

Warning
There is a more recent version of this item available.
[thumbnail of MPRA_paper_62092.pdf]
Preview
PDF
MPRA_paper_62092.pdf

Download (757kB) | Preview

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.

Available Versions of this Item

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.