Results 31 to 40 of about 2,960 (201)
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 +7 more
wiley +1 more source
Fifty-year history of the Ibovespa
Brazilian Review of Finance, 2019 We summarize the fifty-year history (1968-2017) of the Ibovespa, a gross total return index that comprises the most liquid stocks traded on the São Paulo Stock Exchange in Brazil. We provide contextual material on the Brazilian economy during this 50-year period (such as the fight against hyperinflation, the privatization of companies, and economic ...
F. Henrique Castro +3 more
openaire +1 more source
Inefficiency of the Brazilian Stock Market: the IBOVESPA Future Contracts [PDF]
Physica A: Statistical Mechanics and its Applications, 2019 We present some indications of inefficiency of the Brazilian stock market based on the existence of strong long-time cross-correlations with foreign markets and indices. Our results show a strong dependence on foreign markets indices as the S\&P 500 and CAC 40, but not to the Shanghai SSE 180, indicating an intricate interdependence.
Filho, Tarcisio M. Rocha +1 more
openaire +3 more sources
UM ESTUDO EXPLORATÓRIO DO EFEITO DISPOSIÇÃO NO MERCADO DE AÇÕES DURANTE A PANDEMIA DE COVID-19
REAd, 2023 RESUMO Este trabalho busca avaliar a ocorrência do efeito disposição, transação a transação, no mercado brasileiro de ações durante a Pandemia de COVID-19; e identificar variáveis que podem explicar tal efeito através de uma aplicação empírica de mínimos
José Augusto Thomaz Neto +2 more
doaj +1 more source
Um índice de mínima variância de ações brasileiras
Economia Aplicada, 2011 Este trabalho desenvolve um índice de carteiras de mínima variância global (MVP) para as ações mais líquidas do Brasil. Os resultados indicaram que a MVP sem limites sobre os pesos das ações não apresenta diferença significativa de desempenho em relação ...
César Thomé Neto +2 more
doaj +3 more sources
Análise da rentabilidade dos fundos de investimentos sustentáveis brasileiros no período 2010-2016
Revista Contemporânea de Contabilidade, 2019 O presente artigo analisou se os Fundos de Investimentos de Ações de Empresas Sustentáveis proporcionaram retornos positivos em relação ao IBOVESPA e ISE.
Sergio Ricardo Mendes Vasconcelos +3 more
doaj +1 more source
BBR: Brazilian Business Review, 2019 Our objective in this article was to verify which models for the Value at Risk (VaR), among those that do not consider conditional volatility (Extreme Values Theory and the traditional Historical Simulation), and those that do consider it (GARCH and ...
Luiz Augusto Finger França Maluf +1 more
doaj +1 more source
Stochastic models with heteroskedasticity: a Bayesian approach for Ibovespa returns [PDF]
Acta Scientiarum. Technology, 2013 Current research compares the Bayesian estimates obtained for the parameters of processes of ARCH family with normal and Student's t distributions for the conditional distribution of the return series. A non-informative prior distribution was adopted and a reparameterization of models under analysis was taken into account to map parameters' space into ...
Sandra Cristina de Oliveira +1 more
openaire +1 more source
Os determinantes do comportamento do mercado acionário brasileiro (Ibovespa) [PDF]
, 2023 Trabalho de Conclusão de Curso (Graduação)O objetivo deste trabalho é investigar quais são os determinantes do comportamento do mercado acionário brasileiro (IBOVESPA) e como essas variáveis afetam o desempenho do índice, o período analisado é de abril ...
Figueira Junior, Fernando
core
The Volatility Forecasting Power of Financial Network Analysis
Complexity, Volume 2020, Issue 1, 2020., 2020 This investigation connects two crucial economic and financial fields, financial networks, and forecasting. From the financial network’s perspective, it is possible to enhance forecasting tools, since econometrics does not incorporate into standard economic models, second‐order effects, nonlinearities, and systemic structural factors.
Nicolás S. Magner +4 more
wiley +1 more source