Results 11 to 20 of about 7,920 (199)

Variáveis macroeconômicas: influências no curto e longo prazo sobre o Ibovespa

Geosul, 2023
O trabalho tem por objetivo verificar a influência de determinadas variáveis econômicas sobre o índice Ibovespa, além de verificar as relações de curto e longo prazo no período pós implementação do Sistema de Metas Inflacionárias.
Hulisson Fernando Sanches Nunes, Angel dos Santos Fachinelli Ferrarini, Helis Cristina Zanuto Andrade Santos   +2 more
doaj   +1 more source

Do Volatilities Matter in the Interconnectedness between World Energy Commodities and Stock Markets of BRICS?

Discrete Dynamics in Nature and Society, Volume 2022, Issue 1, 2022., 2022
Financial markets integration has resulted in high interconnectedness among the BRICS stock markets, which minimizes diversification potentials. This has increased investors’ interest in the financialization of commodities to minimize their portfolio risks.
Gilbert K. Amoako, Emmanuel Asafo-Adjei, Kofi Mintah Oware, Anokye M. Adam, Stefan Cristian Gherghina   +4 more
wiley   +1 more source

The Impact of COVID‐19 Crisis on Stock Markets’ Statistical Complexity

Complexity, Volume 2022, Issue 1, 2022., 2022
The spread of the COVID‐19 pandemic has severely impacted all aspects of social and economic life, including the evolution of stock markets. Thus, we advance a methodological framework suitable for assessing 2020 year‐long shifts in markets’ statistical complexity, and we apply such framework to ten major international developed or emerging stock ...
Bogdan Dima, Stefana Maria Dima, Roxana Ioan, M. De Aguiar   +3 more
wiley   +1 more source

A GARCH Tutorial with R

RAC: Revista de Administração Contemporânea, 2020
Context: modeling volatility is an advanced technique in financial econometrics, with several applications for academic research. Objective: in this tutorial paper, we will address the topic of volatility modeling in R.
Marcelo Scherer Perlin, Mauro Mastella, Daniel Francisco Vancin, Henrique Pinto Ramos   +3 more
doaj   +1 more source

A CEEMDAN‐Based Entropy Approach Measuring Multiscale Information Flow between Macroeconomic Conditions and Stock Returns of BRICS

Complexity, Volume 2022, Issue 1, 2022., 2022
We model a mixture of asymmetric and nonlinear bidirectional and unidirectional causality between four macroeconomic variables (exchange rate, GDP, global economic policy uncertainty, and relative CPI) and stock returns of BRICS economies in the frequency‐domain using the information flow theory.
Emmanuel Asafo-Adjei, Anokye Mohammed Adam, Peterson Owusu Junior, Patrick Kwashie Akorsu, Clement Lamboi Arthur, A. Dionisio   +5 more
wiley   +1 more source

A Nonlinear Approach to Quantifying Investor Fear in Stock Markets of BRIC

Mathematical Problems in Engineering, Volume 2022, Issue 1, 2022., 2022
The information flow between BRIC and relevant volatilities constitutes a complex network, which needs comprehensive analysis. We provide a rigorous investigation of information flow among stock markets of BRIC and the US VIX in a frequency‐domain paradigm.
Emmanuel Asafo-Adjei, Ahmed Bossman, Ebenezer Boateng, Peterson Owusu Junior, Anthony Adu-Asare Idun, Samuel K. Agyei, Anokye Mohammed Adam, Yuxing Li   +7 more
wiley   +1 more source

Relação entre índice de volatilidade implícita e índice de retorno de ações

Revista Contemporânea de Contabilidade, 2021
O estudo investigou a relação entre os retornos do Ibovespa e do índice de volatilidade implícita IVol-BR. Foi analisado se o nível do IVol-BR tem relação com os retornos contemporâneos e futuros do Ibovespa.
Aparecida de Fátima Ferreira Martins, Patrícia Maria Bortolon, Vinicius Mothe Maia   +2 more
doaj   +1 more source

Cross‐Market Infection Research on Stock Herding Behavior Based on DGC‐MSV Models and Bayesian Network

Complexity, Volume 2021, Issue 1, 2021., 2021
This paper is concerned with the multivariate stochastic volatility modeling of the stock market. We investigate a DGC‐t‐MSV model to find the historical volatility spillovers between nine markets, including S&P, Nasdaq, SSE, SZSE, HSI, FTSE, CAC, DAX, and Nikkei indices.
Jing Zhang, Ya-ming Zhuang, M. Irfan Uddin   +2 more
wiley   +1 more source

COVID‐19 as Information Transmitter to Global Equity Markets: Evidence from CEEMDAN‐Based Transfer Entropy Approach

Mathematical Problems in Engineering, Volume 2021, Issue 1, 2021., 2021
This study provides an analysis of chaotic information transmission from the COVID‐19 pandemic to global equity markets in a novel denoised frequency domain entropy framework. The current length of the pandemic data offers the opportunity to examine its role in the asymmetric behaviour patterns of investors according to time horizons and the ...
Peterson Owusu Junior, Siaw Frimpong, Anokye M. Adam, Samuel K. Agyei, Emmanuel N. Gyamfi, Daniel Agyapong, George Tweneboah, Yuxing Li   +7 more
wiley   +1 more source

NOVA METODOLOGIA DO IBOVESPA, BETAS E PODER EXPLICATIVO DOS RETORNOS DAS AÇÕES

Revista de Contabilidade e Organizações, 2016
Em 2013, houve mudanças na metodologia do Ibovespa, implementadas a partir de 2014. A BM&FBOVESPA divulgou uma série histórica retroativa de 34 trimestres do Ibovespa calculado com a metodologia nova (Ibovespa Novo) em paralelo ao obtido com a ...
Ricardo Goulart Serra, André Taue Saito, Luiz Paulo Lopes Fávero   +2 more
doaj   +1 more source