Orientador: Gerson Francisco / Banca: Fernando Fagundes Ferreira / Banca: Antônio Fernando Crepaldi / Resumo: Em sistemas onde muitos agentes interagem, permitindo obter medidas que podem se apresentar intermitentes, muitas vezes podemos extrair padrões que denotam comportamento de grupo destes agentes, este é o caso do mercado financeiro e sua estrutura de correlações emergentes. Este trabalho visa reproduzir e sintetizar o que é entendido como estrutura de correlações no mercado financeiro. A análise da estrutura consistirá de 2 partes, uma dinâmica, acessando dependências temporais, e outra topológica e economica, acessando a importância das conexões entre ações. Na análise dinâmica são investigadas a correlação instantânea, quanto o comportamento ao longo das escalas de tempo , e a não instantânea, quanto ao decaimento temporal em relação ao máximo de correlação. A topologia é analisada obtendo-se um grafo a partir da matrix de correlação instantânea e analisando a conectividade dos vértices, partindo do mais conectado(chama-se raíz) analisa-se os diversos clusteres de ações obtidos, comparando com a classificação economica conhecida. A analise topológica é feita em várias escalas de correlação instantânea visando a comparação entre elas. Introduzo noções gerais de sistemas complexos no capítulo 1. No capítulo 2 dou uma breve descrição do mercado através das varíaveis mais importantes e seu comportamento, i.e. as escalas de preços e de tempo. O capítulo 3 descreve os métodos utilizados para análise da estrutura de correlação do mercado, é apresentado o estimador de Pearson para correlação linear bem como o método de Kruskal, utilizado para obter o grafo árvore que contém todas ações e minimizar a soma das arestas (ponderadas pela distância definida a partir da correlação). No capítulo 4 apresento os resultados referentes à análise da estrutura de correlações para o mercado Bovespa / Abstract: In systems where many agents interact, allowing for measures that may be erratic, many times we can extract behavior patterns that denote a group of agents, this is the case of financial market and its emerging structure of correlations. This work aims to reproduce and synthesize what is perceived as a correlation structure in financial markets. Analysis of the structure will consist of 2 parts, one dynamic, accessing temporal dependencies, and other topological and economical by accessing the importance of connections between assets. In analysis of dynamics are investigated instantaneous correlation, it's behavior across scales of time, and the not instantaneous, it's decay from the maximum correlation. The topology is analyzed by a graph from the instantaneous correlation matrix and analyzing the connectivity of vertices, starting from the most connected (called root) analyzes the various clusters of shares obtained by comparing with known economic classification. The topological analysis is performed at several scales of correlation in order to instantly compare them. Introduce general notions of complex systems in Chapter 1. In Chapter 2 give a brief description of market through the most important variables and their behavior, ie the ranges of price and time. Chapter 3 describes the methods used for analysis the correlation structure of the market, the estimator is presented by Pearson's linear correlation and the Kruskal method is used to obtain the graph tree containing all assets and to minimize the sum of edges (weighted by the distance defined from the correlation). In Chapter 4 I present the results of the analysis of correlation structure for the market Bovespa / Mestre

No description available.

by Chiu Ching-On Paul, Wong Lit-Chor Alexis. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1987. / Bibliography: leaves 140-141.

Wong Pak Kin. / Year shown on spine: 1997. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1996. / Includes bibliograpical references. / Abstract --- p.i / Acknowledgment --- p.iii / Chapter Chapter I --- Introduction --- p.1 / Chapter Chapter II --- Literature Review --- p.6 / Chapter Chapter III --- Markets and Instruments / Chapter 3.1 --- International Money Markets --- p.15 / Chapter 3.1.1 --- Euro-deposit Market --- p.17 / Chapter 3.2 --- International Bond Markets --- p.20 / Chapter Chapter IV --- Preliminary Analysis of Data --- p.24 / Chapter 4.1 --- Data --- p.24 / Chapter 4.2 --- Descriptive Statistic Of Data Used In This Study --- p.29 / Chapter Chapter V --- Research Methodology / Chapter 5.1 --- Unit Root --- p.33 / Chapter 5.2 --- Cointegration and Error Correction Model --- p.37 / Chapter 5.2.1 --- Cointegration Using Engle and Granger Methodology --- p.39 / Chapter 5.2.2 --- Cointegration Using Johansen Methodology --- p.42 / Chapter Chapter VI --- Empirical Results / Chapter 6.1 --- Testing for Unit Root --- p.47 / Chapter 6.1.1 --- Short-term Interest Rates --- p.47 / Chapter 6.1.2 --- Long-term Interest Rates --- p.48 / Chapter 6.2 --- Testing for Cash-Futures Relationship --- p.54 / Chapter 6.3 --- Multivariate tests for Cointegration and VECM --- p.59 / Chapter 6.3.1 --- Cointegration in the International Money Markets --- p.63 / Chapter 6.3.2 --- Cointegration in the Interest Rate Futures Markets --- p.67 / Chapter 6.3.3 --- Cointegration in the International Bond Markets --- p.71 / Chapter 6.3.4 --- Cointegration in the Bond Futures Markets --- p.75 / Chapter Chapter VII --- Concluding Comment --- p.91 / Reference / Appendix

The purpose of this study is to investigate the impact of deregulation on financial market efficiency in Sri Lanka. The concept of efficiency used here is due to Fama (1970) who defines an efficient market as one in which prices fully reflect all available information. Given the significant expansion of Sri Lanka???s financial markets in the post deregulation period, efficiency is investigated in the context of these markets. To this end, the study employs a number of standard tests for market efficiency including; the expectations hypothesis of the term structure, the Fisher hypothesis, uncovered interest parity, speculative efficiency, real interest rate equalization and tests of capital mobility. Although the overall results presented in this study suggest that Sri Lanka???s financial markets are not fully efficient, the evidence provides significant insight to the performance of these markets. The main policy lesson to be learnt from this analysis is that financial deregulation will not automatically promote market efficiency unless accompanied by positive policy action to reinforce the impact of these reforms. In conclusion therefore, the study makes a number of recommendations which could help to reinforce the impact of financial deregulation on market efficiency.

Thesis (Ph. D.)--University of Chicago, Dept. of Economics, June 2001. / Includes bibliographical references. Also available on the Internet.

The purpose of this thesis is to explain theoretically and empirically the demand for international reserves by the major industrialized countries in the context of the present highly integrated and extremely volatile international financial system. The reserves demand behaviour of each of the G7 countries along with seven non-G7 industrialized countries have been empirically examined. The demand functions are estimated using the cointegration approach on autoregressive distributed lag and simple distributed lag models. / This study has revealed that a country's reserve demand is significantly influenced by its level of capital flows in addition to the traditionally used trade flow variables. It is shown that the greater the external vulnerability of an economy as measured by its net capital flows in relation to its GNP, the higher is its demand for international reserves. The results have striking similarity for all the 14 industrialized countries despite their structural and institutional differences. / This study points to the need of international monetary policy coordination to reduce large fluctuations in exchange rates and lessen massive flows of speculative capital which carry a potential threat of becoming inflationary.

The purpose of this study is to investigate the impact of deregulation on financial market efficiency in Sri Lanka. The concept of efficiency used here is due to Fama (1970) who defines an efficient market as one in which prices fully reflect all available information. Given the significant expansion of Sri Lanka???s financial markets in the post deregulation period, efficiency is investigated in the context of these markets. To this end, the study employs a number of standard tests for market efficiency including; the expectations hypothesis of the term structure, the Fisher hypothesis, uncovered interest parity, speculative efficiency, real interest rate equalization and tests of capital mobility. Although the overall results presented in this study suggest that Sri Lanka???s financial markets are not fully efficient, the evidence provides significant insight to the performance of these markets. The main policy lesson to be learnt from this analysis is that financial deregulation will not automatically promote market efficiency unless accompanied by positive policy action to reinforce the impact of these reforms. In conclusion therefore, the study makes a number of recommendations which could help to reinforce the impact of financial deregulation on market efficiency.

Thesis (Ph. D.)--Johns Hopkins University, 1923.

Thesis (M.Phil.)--Hong Kong University of Science and Technology, 2005. / Includes bibliographical references (leaves 31-32). Also available in electronic version.