Nonlinear dynamics within macroeconomic factors and stock market in Portugal 1993-2003

Detalhes bibliográficos
Autor(a) principal: Dionísio, A.
Data de Publicação: 2007
Outros Autores: Menezes, R., Mendes, D., Vidigal da Silva, J.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: https://ciencia.iscte-iul.pt/id/ci-pub-38426
http://hdl.handle.net/10071/14274
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.
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spelling Nonlinear dynamics within macroeconomic factors and stock market in Portugal 1993-2003Nonlinear dependenceMutual informationMacroeconomic and financial factorsThe 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.Euro-American Association of Economic Development Studies2017-08-10T11:35:32Z2007-01-01T00:00:00Z20072017-08-10T11:34:48Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://ciencia.iscte-iul.pt/id/ci-pub-38426http://hdl.handle.net/10071/14274eng1578-4487Dionísio, A.Menezes, R.Mendes, D.Vidigal da Silva, J.info: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:RCAAP2023-11-09T17:49:50Zoai:repositorio.iscte-iul.pt:10071/14274Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:24:31.306218Repositório 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, A.
Nonlinear dependence
Mutual information
Macroeconomic and financial factors
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, A.
author_facet Dionísio, A.
Menezes, R.
Mendes, D.
Vidigal da Silva, J.
author_role author
author2 Menezes, R.
Mendes, D.
Vidigal da Silva, J.
author2_role author
author
author
dc.contributor.author.fl_str_mv Dionísio, A.
Menezes, R.
Mendes, D.
Vidigal da Silva, J.
dc.subject.por.fl_str_mv Nonlinear dependence
Mutual information
Macroeconomic and financial factors
topic Nonlinear dependence
Mutual information
Macroeconomic and financial factors
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.
publishDate 2007
dc.date.none.fl_str_mv 2007-01-01T00:00:00Z
2007
2017-08-10T11:35:32Z
2017-08-10T11:34:48Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://ciencia.iscte-iul.pt/id/ci-pub-38426
http://hdl.handle.net/10071/14274
url https://ciencia.iscte-iul.pt/id/ci-pub-38426
http://hdl.handle.net/10071/14274
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 1578-4487
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Euro-American Association of Economic Development Studies
publisher.none.fl_str_mv Euro-American Association of Economic Development Studies
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
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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