Working Papers
URI permanente desta comunidadehttps://repositorio.insper.edu.br/handle/11224/3232
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Resultados da Pesquisa
Working Paper Dynamics in two networks based on stocks of the US stock market(2014) Sandoval Junior, LeonidasWe follow the main stocks belonging to the New York Stock Exchange and to Nasdaq from 2003 to 2012, through years of normality and of crisis, and study the dynamics of networks built on two measures expressing relations between those stocks: correlation, which is symmetric and measures how similar two stocks behave, and Transfer Entropy, which is non-symmetric and measures the influence of the time series of one stock onto another in terms of the information that the time series of one stock transmits to the time series of another stock. The two measures are used in the creation of two networks that evolve in time, revealing how the relations between stocks and industrial sectors changed in times of crisis. The two networks are also used in conjunction with a dynamic model of the spreading of volatility in order to detect which are the stocks that are most likely to spread crises, according to the model. This information may be used in the building of policies aiming to reduce the effect of financial crises.Working Paper Structure and causality relations in a global network of financial companies(2013) Sandoval Junior, LeonidasThis work uses the stocks of the 197 largest companies in the world, in terms of market capitalization, in the financial area in the study of causal relationships between them using Transfer Entropy, which is calculated using the stocks of those companies and their counterparts lagged by one day. With this, we can assess which companies influence others according to sub-areas of the financial sector, which are banks, diversified financial services, savings and loans, insurance, private equity funds, real estate investment companies, and real estate trust funds. We also analyzed the causality relations between those stocks and the network formed by them based on this measure, verifying that they cluster mainly according to countries of origin, and then by industry and sub-industry. Then we collected data on the stocks of companies in the financial sector of some countries that are suffering the most with the current credit crisis: Greece, Cyprus, Ireland, Spain, Portugal, and Italy, and assess, also using transfer entropy, which companies from the largest 197 are most affected by the stocks of these countries in crisis. The intention is to map a network of influences that may be used in the study of possible contagions originating in those countries in financial crisis.Working Paper To lag or not to lag? How to compare indices of stock markets that operate at different times(2013) Sandoval Junior, LeonidasFinancial markets worldwide do not have the same working hours. As a consequence, the study of correlation or causality between financial market indices becomes dependent on wether we should consider in computations of correlation matrices all indices in the same day or lagged indices. The answer this article proposes is that we should consider both. In this work, we use 79 indices of a diversity of stock markets across the world in order to study their correlation structure, and discover that representing in the same network original and lagged indices, we obtain a better understanding of how indices that operate at different hours relate to each other.Working Paper Building portfolios of stocks in the São Paulo Stock Exchange usingRandom Matrix Theory(2012) ADRIANA BRUSCATO BORTOLUZZO; Sandoval Junior, Leonidas; Venezuela, Maria KellyBy using Random Matrix Theory, we build covariance matrices between stocks of the BM&F-Bovespa (Bolsa de Valores, Mercadorias e Futuros de S˜ao Paulo), which is cleaned of some of the noise due to the complex interactions between the many stocks and the finiteness of available data. We also use a regression model in order to remove the market effect due to the common movement of all stocks. These two procedures are then used to build stock portfolios based on Markowitz’s theory, trying to obtain better predictions of future risk based on past data. This is done for years of both low and high volatility of the Brazilian stock market, from 2004 to 2010.