Causalidade entre as principais bolsas de valores do mundo

• Autor(a) principal: Farias, Hiron Pereira
• Data de Publicação: 2010
• Outros Autores: Sáfadi, Thelma
• Tipo de documento: Artigo
• Idioma: por
• Título da fonte: Repositório Institucional da UFLA
• Texto Completo: http://repositorio.ufla.br/jspui/handle/1/43140
• topic: Mercados emergentes; Mercados desenvolvidos; Índices de bolsas de valores; Teste de causalidade de Granger; Função resposta a impulso; Decomposição da variância do erro de previsão; Emerging markets; Developed markets; Stock exchanges indices; Granger causality test; Impulse response functions; Forecast error variance decompositions

This work aimed to analyze the market of the emerging countries that are part of the Bric with the exception of India, attempting to show how the markets in Brazil, Russia and China behave between each other and how they behave in relation to the US market. It was also analyzed how some developed countries of the G8 group, USA, UK and Japan behave. In each analysis, a VAR model was adjusted and it was attempted to verify the degree of dependence in and between each group, using the Granger causality test, model selection criteria, impulse response function and forecast error variance decompositions. In the performed analyses, the Brazilian and American markets showed strong influence over the other markets, and, in the group analysis, the US market of the ERJ group and all of the emerging markets of group BRC were considered. The American market showed strong influence over the other markets.