Economically justified equity investment strategies capable of withstanding growing interest rate environment

Detalhes bibliográficos
Autor(a) principal: Chi, Nam Yau
Data de Publicação: 2019
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/18823
Resumo: Mestrado em Economia Monetária e Financeira
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spelling Economically justified equity investment strategies capable of withstanding growing interest rate environmentTítuloTaxa de jurovector autoregressive modelGranger causality testStock returnsinterest and inflation ratesinterest rate riskMestrado em Economia Monetária e FinanceiraThis thesis proposes an approach for selection of stocks that could serve as a natural hedge for fixed income portfolios to minimize rising interest rate risk. The developed approach is applied to the case of US equity markets. Based on macroeconomic analysis, vector autoregressive model and Granger causality tests, and financial analysis, it is concluded that US financial sector is the optimal choice among all sectors that have strong correlations with interest rates. The thesis? results could be useful for interest rate risk management of the investment portfolios under the growing interest rate environment, in particular, and for investment industry professionals.Instituto Superior de Economia e GestãoGubareva, MariyaRepositório da Universidade de LisboaChi, Nam Yau2020-05-25T00:30:27Z2019-102019-10-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.5/18823engChi, Nam Yau (2019). "Economically justified equity investment strategies capable of withstanding growing interest rate environment". Dissertação de Mestrado, Universidade de Lisboa. Instituto Superior de Economia e Gestão.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:RCAAP2023-03-06T14:48:22Zoai:www.repository.utl.pt:10400.5/18823Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:03:48.998945Repositório 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 Economically justified equity investment strategies capable of withstanding growing interest rate environment
title Economically justified equity investment strategies capable of withstanding growing interest rate environment
spellingShingle Economically justified equity investment strategies capable of withstanding growing interest rate environment
Chi, Nam Yau
Título
Taxa de juro
vector autoregressive model
Granger causality test
Stock returns
interest and inflation rates
interest rate risk
title_short Economically justified equity investment strategies capable of withstanding growing interest rate environment
title_full Economically justified equity investment strategies capable of withstanding growing interest rate environment
title_fullStr Economically justified equity investment strategies capable of withstanding growing interest rate environment
title_full_unstemmed Economically justified equity investment strategies capable of withstanding growing interest rate environment
title_sort Economically justified equity investment strategies capable of withstanding growing interest rate environment
author Chi, Nam Yau
author_facet Chi, Nam Yau
author_role author
dc.contributor.none.fl_str_mv Gubareva, Mariya
Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Chi, Nam Yau
dc.subject.por.fl_str_mv Título
Taxa de juro
vector autoregressive model
Granger causality test
Stock returns
interest and inflation rates
interest rate risk
topic Título
Taxa de juro
vector autoregressive model
Granger causality test
Stock returns
interest and inflation rates
interest rate risk
description Mestrado em Economia Monetária e Financeira
publishDate 2019
dc.date.none.fl_str_mv 2019-10
2019-10-01T00:00:00Z
2020-05-25T00:30:27Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/18823
url http://hdl.handle.net/10400.5/18823
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Chi, Nam Yau (2019). "Economically justified equity investment strategies capable of withstanding growing interest rate environment". Dissertação de Mestrado, Universidade de Lisboa. Instituto Superior de Economia e Gestão.
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 Instituto Superior de Economia e Gestão
publisher.none.fl_str_mv Instituto Superior de Economia e Gestão
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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