Do industries lead stock markets in Brazil?
| dc.contributor.advisor | Brito, Ricardo Dias De Oliveira | |
| dc.contributor.author | Citron, Raphael Beno | |
| dc.coverage.spatial | São Paulo, SP | pt_BR |
| dc.creator | Citron, Raphael Beno | |
| dc.date.accessioned | 2021-09-13T03:19:31Z | |
| dc.date.accessioned | 2019-07-12T00:40:36Z | |
| dc.date.available | 2021-09-13T03:19:31Z | |
| dc.date.available | 2017 | |
| dc.date.available | 2019-07-12T00:40:36Z | |
| dc.date.issued | 2017 | |
| dc.date.submitted | 2017 | |
| dc.description.other | Hong et al. (2007) claim that a number of industry returns in U.S. and in eight largest non-U.S. stock markets can forecast market returns using monthly data. Tse (2015) reexamines their results in U.S. with updated data and extended period. He finds evidence that the market can predict industries more significantly than can the reverse. I investigate these relationships for the Brazilian market, adding a study to check if the causality from industries to the market is independent of the chosen model. Data are from August of 1994 to September of 2016. I found that is not possible to conclude that industry returns cause stock market returns for Brazil. I also show that the forecasting power that some models may present is not robust to a sub-sample analysis. The results are compatible with the efficient market hypothesis. | pt_BR |
| dc.format.extent | 26 p. | pt_BR |
| dc.identifier.uri | https://repositorio.insper.edu.br/handle/11224/2256 | |
| dc.language.iso | Inglês | pt_BR |
| dc.rights.uri | TODOS OS DOCUMENTOS DESSA COLEÇÃO PODEM SER ACESSADOS, MANTENDO-SE OS DIREITOS DOS AUTORES PELA CITAÇÃO DA ORIGEM. | pt_BR |
| dc.subject | Preço de ativo; Mercado financeiro internacional; Macroeconomia | pt_BR |
| dc.title | Do industries lead stock markets in Brazil? | pt_BR |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| local.contributor.boardmember | Boons, Martijn | |
| local.type | Dissertação | pt_BR |