Nonlinear dynamics within macroeconomic factors and stock market in Portugal 1993-2003
Autor(a) principal: | |
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Data de Publicação: | 2007 |
Outros Autores: | , , |
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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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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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 |
instacron_str |
RCAAP |
institution |
RCAAP |
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 |
repository.mail.fl_str_mv |
|
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1799134807775510528 |