Volatilidade no mercado brasileiro: o efeito das crises político-econômicas: um estudo de causalidade
This work seeks for relationship between information flows and market volatility in the Brazilian Stock Market. The Brazilian economy, with several informational shocks in the last five years, is an interesting field for this kind of study. Correlation, Granger-causality and cointegration were the t...
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| Tipo de recurso: | informe técnico |
| Estado: | Versión publicada |
| Fecha de publicación: | 1997 |
| País: | Brasil |
| Institución: | Fundação Getulio Vargas (FGV) |
| Repositorio: | Repositório Institucional do FGV (FGV Repositório Digital) |
| Idioma: | portugués |
| OAI Identifier: | oai:repositorio.fgv.br:10438/2956 |
| Acceso en línea: | http://hdl.handle.net/10438/2956 |
| Access Level: | acceso abierto |
| Palabra clave: | Stock market Granger-causality Informação Correlação Causalidade de Granger Administração de empresas Mercado financeiro Cointegração |
| Sumario: | This work seeks for relationship between information flows and market volatility in the Brazilian Stock Market. The Brazilian economy, with several informational shocks in the last five years, is an interesting field for this kind of study. Correlation, Granger-causality and cointegration were the tools used looking for relationships. |
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