CASSH: serà mais um bloco econÃmico?

• Autor(a) principal: Ingrid Parahyba Dias
• Data de Publicação: 2013
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Biblioteca Digital de Teses e Dissertações da UFC
• Texto Completo: http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=10213
• topic: CASSH; Ãndice de mercado; TendÃncias e ciclos comuns; IntegraÃÃo financeira; CASSH; Market Index; Common trends and cycles; Financial integration; CIENCIAS SOCIAIS APLICADAS

This working paper analyzes the financial integration level of the recent CASSH acronym formed by the countries Australia, Canada, Hong Kong, Singapore and Switzerland, which have strong economies and homogeneous profiles in a social, demographic and financial context, being classified by UN as countries with very high human development. By analyzing the presence of common trends and cycles associated to the market indices most representative of CASSH stock exchanges, during the period between January 1998 and November 2010, using the methodological technique developed by Vahid and Engle (1993), it is evident that, during global economic stability periods the stocks of these economies are more influenced by trends than by cycles, being determined more by economic fundamentals, while in the crisis periods there is a higher influence of cycles, assuming the financial risk factors greater relevance in the composition of the indices returns. It is possible to identify that financial markets analyzed have distinct longterm scenarios governed by four common trends, two leading to a positive trajectory, one to a pessimistic scenario and the other negative initially, but after the 2007 crisis, it recovers following a positive trajectory. It is notorious that they react differently to short-term shocks and with different intensities, mainly due to the behavior of Canadian cycle that correlates negatively with the others and with the common cycle. Through Granger causality test, the common trend pessimist can only be provided by the Swiss index, while the index of Hong Kong appears as the only one able to predict the common cycle.