Artigo em revista científica
Nonlinear dynamics within macroeconomic factors and stock market in Portugal 1993-2003
Andreia Dionísio (Dionísio, A.); Rui Menezes (Menezes, R.); Diana Mendes (Mendes, D.); Jacinto Vidigal da Silva (Vidigal da Silva, J.);
Título Revista
Applied Econometrics and International Development
Ano (publicação definitiva)
2007
Língua
Inglês
País
Espanha
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N.º de citações: 3

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Abstract/Resumo
The main objective of this paper is to assess how mutual information as a measure of global dependence between stock markets and macroeconomic factors can overcome some of the weaknesses of the traditional linear approaches commonly used in this context. One of the advantages of mutual information is that it does not require any prior assumption regarding the specification of a theoretical probability distribution or the specification of the dependence model. This study focuses on the Portuguese stock market where we evaluate the relevance of the macroeconomic and financial variables as determinants of the stock prices behaviour.
Agradecimentos/Acknowledgements
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Palavras-chave
Nonlinear dependence,Mutual information,Macroeconomic and financial factors