Estudo da inter-relação entre os preços de ações bancárias da América Latina, Estados Unidos e Europa

Resumo

This dissertation investigates the inter-relationships among bank’s stock markets for Latin America, United States and Europe from January, 2000 to June, 2008. The study analyzes the existence of long-run relationships among the price of Bank’s stocks, additionally it applies short-run causality tests and impulse response analyses. Empirical results suggests that there is at least one cointegration vector among the price series, and the series time paths are influenced by different extent of changes in price of different banks. Moreover the study finds that the relationships among bank’s stock prices differ between crises (more volatile) and less volatile periods. These findings imply that there are strong evidences of inter-connections among stock markets around the world.

Ficha do documento

Tipo

Dissertação

Ano

2009

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/2619

Temas

Economia

Palavras-chave

CointegraçãoTestes de causalidadeFunção impulso respostaAções de bancosCointegrationCausality testImpulse response functionBanks stockEconomiaAções (Finanças) - PreçosCausalidade (Economia)