NONLINEAR DYNAMICS WITHIN MACROECONOMIC FACTORS AND STOCK MARKET IN PORTUGAL, 1993-2003

Detalhes bibliográficos
Autor(a) principal: Dionísio, Andreia
Data de Publicação: 2009
Outros Autores: Menezes, Rui, Mendes, Diana, Vidigal da Silva, Jacinto
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10174/1803
Resumo: The main objective of this paper is to assess how mutual information as a measure of global dependence between stock markets and macroeconomic factors can overcome some of the weaknesses of the traditional linear approaches commonly used in this context. One of the advantages of mutual information is that it does not require any prior assumption regarding the specification of a theoretical probability distribution or the specification of the dependence model. This study focuses on the Portuguese stock market where we evaluate the relevance of the macroeconomic and financial variables as determinants of the stock prices behaviour. JEL Classification: C14, C22, C32 Keywords: Nonlinear dependence, mutual information, macroeconomic and financial factors.
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spelling NONLINEAR DYNAMICS WITHIN MACROECONOMIC FACTORS AND STOCK MARKET IN PORTUGAL, 1993-2003macroeconomic factorsstock marketsThe main objective of this paper is to assess how mutual information as a measure of global dependence between stock markets and macroeconomic factors can overcome some of the weaknesses of the traditional linear approaches commonly used in this context. One of the advantages of mutual information is that it does not require any prior assumption regarding the specification of a theoretical probability distribution or the specification of the dependence model. This study focuses on the Portuguese stock market where we evaluate the relevance of the macroeconomic and financial variables as determinants of the stock prices behaviour. JEL Classification: C14, C22, C32 Keywords: Nonlinear dependence, mutual information, macroeconomic and financial factors.2009-11-10T16:57:21Z2009-11-102009-11-10T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/article32189 bytesapplication/pdfhttp://hdl.handle.net/10174/1803http://hdl.handle.net/10174/1803eng7-2Applied Econometrics and International Developmentlivreandreia@uevora.ptndndnd637Dionísio, AndreiaMenezes, RuiMendes, DianaVidigal da Silva, Jacintoinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-01-03T18:37:44Zoai:dspace.uevora.pt:10174/1803Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T00:57:38.900518Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv NONLINEAR DYNAMICS WITHIN MACROECONOMIC FACTORS AND STOCK MARKET IN PORTUGAL, 1993-2003
title NONLINEAR DYNAMICS WITHIN MACROECONOMIC FACTORS AND STOCK MARKET IN PORTUGAL, 1993-2003
spellingShingle NONLINEAR DYNAMICS WITHIN MACROECONOMIC FACTORS AND STOCK MARKET IN PORTUGAL, 1993-2003
Dionísio, Andreia
macroeconomic factors
stock markets
title_short NONLINEAR DYNAMICS WITHIN MACROECONOMIC FACTORS AND STOCK MARKET IN PORTUGAL, 1993-2003
title_full NONLINEAR DYNAMICS WITHIN MACROECONOMIC FACTORS AND STOCK MARKET IN PORTUGAL, 1993-2003
title_fullStr NONLINEAR DYNAMICS WITHIN MACROECONOMIC FACTORS AND STOCK MARKET IN PORTUGAL, 1993-2003
title_full_unstemmed NONLINEAR DYNAMICS WITHIN MACROECONOMIC FACTORS AND STOCK MARKET IN PORTUGAL, 1993-2003
title_sort NONLINEAR DYNAMICS WITHIN MACROECONOMIC FACTORS AND STOCK MARKET IN PORTUGAL, 1993-2003
author Dionísio, Andreia
author_facet Dionísio, Andreia
Menezes, Rui
Mendes, Diana
Vidigal da Silva, Jacinto
author_role author
author2 Menezes, Rui
Mendes, Diana
Vidigal da Silva, Jacinto
author2_role author
author
author
dc.contributor.author.fl_str_mv Dionísio, Andreia
Menezes, Rui
Mendes, Diana
Vidigal da Silva, Jacinto
dc.subject.por.fl_str_mv macroeconomic factors
stock markets
topic macroeconomic factors
stock markets
description The main objective of this paper is to assess how mutual information as a measure of global dependence between stock markets and macroeconomic factors can overcome some of the weaknesses of the traditional linear approaches commonly used in this context. One of the advantages of mutual information is that it does not require any prior assumption regarding the specification of a theoretical probability distribution or the specification of the dependence model. This study focuses on the Portuguese stock market where we evaluate the relevance of the macroeconomic and financial variables as determinants of the stock prices behaviour. JEL Classification: C14, C22, C32 Keywords: Nonlinear dependence, mutual information, macroeconomic and financial factors.
publishDate 2009
dc.date.none.fl_str_mv 2009-11-10T16:57:21Z
2009-11-10
2009-11-10T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
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dc.identifier.uri.fl_str_mv http://hdl.handle.net/10174/1803
http://hdl.handle.net/10174/1803
url http://hdl.handle.net/10174/1803
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 7-2
Applied Econometrics and International Development
livre
andreia@uevora.pt
nd
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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