Mercados financeiros são sistemas complexos com estrutura e comportamento extremamente dependentes das interrelações entre os seus componentes. Em particular, a teoria de redes tem contribuído para caracterizar e compreender o comportamento e as interdependências entre vários componentes do mercado financeiro, em especial, o mercado de ações. Pesquisas nessa área indicam que a estrutura de rede gerada do mercado pode conter informações úteis para um melhor entendimento do mercado como um todo e até mesmo prever a ocorrência de eventos extremos, como, por exemplo, uma crise financeira. Em geral, os estudos consideram apenas dependências lineares entre os objetos da rede baseados no coeficiente de correlação linear de Pearson, e nesse sentido, a proposta deste projeto é a aplicação de conceitos e métodos de teoria de redes e de teoria da informação para caracterizar e explorar o efeito de dependências não lineares na estrutura de rede do mercado brasileiro de ações. Para tal, a informação mútua foi usada como medida de dependência não linear para gerar a estrutura de redes que foi comparada com a obtida a partir da correlação linear de Pearson. Por fim, investigou-se como a estrutura da rede e suas métricas poderiam ajudar a caracterizar e a entender o comportamento dos mercados financeiros, analisando-se dois períodos, o primeiro sob gestão da Presidente Dilma Rousseff, com um retorno do índice de ações de -42%, e o segundo sob gestão do Presidente Michel Temer, com um retorno deste índice de 50%. Para tal fim, foram utilizados dados de alta frequência, sendo uma cotação a cada 15 minutos. Em suma, concluiu-se que os retornos dos ativos no segundo período parecem ter maior dependência não-linear quando comparados aos retornos do período anterior. A rede para este período é a que se mostra mais arriscada em termos de estrutura de \'transmissão de volatilidades\', tanto pela análise do coeficiente de robustez da rede, quanto pela estimativa do parâmetro da lei de potência. Encontrou-se evidência da relação entre estrutura das redes e desempenho das ações. Além disso, vimos a grande importância do setor financeiro nas redes. Finalmente, tecemos comentários quanto a aplicação destas redes para diversos fins. / This paper has the purpose to apply concepts and methods from network and information theory to characterize and to explore the role of nonlinear dependencies over the Brazilian network stock market structure. In particular, the minimum spanning tree network structure generated from the mutual information as a measure of nonlinear dependence was compared with the one obtained by Pearson\'s correlation coefficient. We analyzed two periods, the first under the management of President Dilma Rousseff, with an index return of -42%, and the second one, under the management of President Michel Temer, with an index return of 50%. For this purpose, high frequency data of fifteen minutes interval was used. Our analysis suggest that the assets returns of Temer\'s presidential term seem to have greater nonlinear dependence when compared to the returns of the previous period. Also, the network\'s robustness coefficient and power law parameter suggests that the network for the second period is the most risky in terms of volatility transmission structure. Also, we find evidence of network structure and stock performance relationship. Finally, we have also seen the great importance of financial sector within Brazilian\'s stock network

Submitted by Paulo Abreu (paulo.abreu@pagr.com.br) on 2012-05-09T18:44:34Z No. of bitstreams: 1 Dissertação-Paulo.pdf: 237654 bytes, checksum: a9a9b1615a643da44b52a6391be847ae (MD5) / Approved for entry into archive by Vitor Souza (vitor.souza@fgv.br) on 2012-05-09T18:49:24Z (GMT) No. of bitstreams: 1 Dissertação-Paulo.pdf: 237654 bytes, checksum: a9a9b1615a643da44b52a6391be847ae (MD5) / Made available in DSpace on 2012-05-11T12:38:22Z (GMT). No. of bitstreams: 1 Dissertação-Paulo.pdf: 237654 bytes, checksum: a9a9b1615a643da44b52a6391be847ae (MD5) Previous issue date: 2012-04-26 / This study aims to verify if social norms impact Brazilian stock market analyzing the return of the stocks of the sectors which are more prone to be seen as harmful for the society: the alcoholic beverages, cigarettes and weapon producers. Trying to answer this question, the returns of Ambev, Souza Cruz and Forjas Taurus stocks were analyzed. / Este estudo busca verificar se normas sociais impactam o mercado de ações brasileiro analisando o retorno de ações dos setores que mais estão susceptíveis a serem vistos como nocivos para a sociedade: os produtores de bebidas alcoólicas, cigarros e armamentos. Buscando responder a nossa pergunta, o retorno das ações da Ambev, Souza Cruz e Forjas Taurus foram analisados.

Submitted by Alexandre Monte (alexandrecruzmonte@msn.com) on 2013-04-08T12:35:22Z No. of bitstreams: 1 AlexandreMonte_CMEE_VF.pdf: 1223886 bytes, checksum: 0c9d8aa064c5947f3e1971c7b565ab86 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-04-08T14:13:34Z (GMT) No. of bitstreams: 1 AlexandreMonte_CMEE_VF.pdf: 1223886 bytes, checksum: 0c9d8aa064c5947f3e1971c7b565ab86 (MD5) / Made available in DSpace on 2013-04-08T14:18:01Z (GMT). No. of bitstreams: 1 AlexandreMonte_CMEE_VF.pdf: 1223886 bytes, checksum: 0c9d8aa064c5947f3e1971c7b565ab86 (MD5) Previous issue date: 2013-03-20 / This paper investigates the expectations and information asymmetries that agents have regarding a particular financial asset, in our case the preferred shares of Petrobrás. In order to investigate this we are going to use two approaches. The first one is based on Bates (1991) where through the estimation of the parameters implicit in stock option prices we can extract information about the moments of the agent’s stock prices probability distribution. The other one follows Easley et al (1996) and though the stock prices microstructure analysis provide a methodology to infer about the presence of information asymmetry between market agents, i.e. , if there are some people trading the share with a higher level of information than others. According to the results presented in this paper, the methodology discussed in Bates (1991) was efficient to capture market agent’s expectations, especially the subprime crisis reversal in 2008. The estimated value of the informed trading probability for Petrobrás shares is low, which means that negotiate this asset generate lower cost information to agents that reaches the market with a lower level of information. / No artigo serão investigadas as expectativas e assimetrias de informação que os agentes possuem a respeito de um determinado ativo financeiro, no nosso caso as ações preferenciais da Petrobrás. Para isso utilizaremos duas metodologias. A primeira é baseada em Bates (1991) onde através da estimação de parâmetros implícitos nos prêmios de opções é possível extrair informação sobre vários momentos da distribuição de probabilidade do ativo objeto referente à opção. A outra metodologia segue Easley et al (1996) e através da análise dos microdados dos preços de ativos fornece uma metodologia para inferir acerca da assimetria de informação entre os agentes, ou seja, se existem pessoas com um nível de informação maior do que outras negociando um ativo. Os resultados obtidos mostram que a metodologia discutida em Bates (1991) foi eficiente para captar a expectativa de mercado dos agentes, principalmente na reversão da crise do subprime em 2008 e que as ações da Petrobrás apresentam baixos valores para probabilidade da negociação ser com informação gerando um menor custo aos agentes que chegam ao mercado menos informados.

This research studies the moderating effect of country-specific social connectedness on the relation between financial literacy and stock market participation. This is done by using the extensive and multi-country SHARE data. The positive relation between financial literacy and stock market participation is reconfirmed. Moreover, the findings show that country-specific social connectedness significantly moderates the relation between financial literacy and stock market participation. The findings are robust and indicate that the predictive power of financial literacy on stock market participation decreases if country-specific social connectedness increases. This research is following up on contemporary literature and contributes to the explanation of the stock market participation puzzle on a macroeconomic scale.

No description available.

This study analyzes the share price reactions to real estate development and building/construction materials corporations in relation to FIRB rule changes. It appears companies as a whole were indifferent to the rule changes; however individual securities returns were wildly different. These findings suggest that the FIRB rule changes had a mixed effect on different corporations possibly based on their exposure to the Australian real estate market.

Relationen mellan den inhemska valutakursen och aktiekursen är ett ständigt återkommande diskussionsämne för investerare och ekonomer. Det råder ingen teoretisk enlighet gällande huruvida det finns ett samband mellan valutakursen och aktiekursen eller hur det eventuella sambandet ser ut. Samtidigt finns teorier om att Sverige, som är ett land som präglas av en öppen ekonomi med världshandel och fri rörlighet på kapital, har valutakursen som en variabel med stor påverkan på svenska bolags aktiekurser. Det finns även teorier om att länder som Sverige, vars handel med omvärlden domineras av export tenderar att ha en negativ relation mellan valutakursen och bolags aktiekurser.Det huvudsakliga syftet med studien var att analysera hur relationen mellan den svenska kronan och svenska bolags aktiekurser ser ut. Urvalsramen utgjordes av månatlig data under perioden 1995-2016 gällande svenska bolags aktiekurser, svenska kronan, räntan, inflationen, penningmängden och den historiska aktiekursen. Bivariata och multivariata regressionsanalyser visar att den svenska kronan är negativt relaterat till svenska bolags aktiekurser. Inflationen, räntan och penningmängden har inget signifikant samband med svenska bolags aktiekurser. Den historiska aktiekursen har en positiv relation till den svenska aktiekursen. / The relationship between the domestic exchange rate and the stock market is a constant recurring topic for investors and economists. There is no theoretical harmony on whether there is a correlation between the exchange rate and the stock market or how the possible relationship may be directed. There are theories regarding that Sweden, which is a country characterized by an open economy with world trade and free movement of capital, has the exchange rate as the variable with the main effect on the Swedish stock market. There are also theories that countries such as Sweden whose world trade is dominated by exports tend to have a negative relationship between the exchange rate and the stock market.The main purpose of the study was to analyze how the relationship between the Swedish krona and the Swedish stock market looks. The sampling consisted of monthly data over the period 1995-2016 regarding the Swedish stock market, the Swedish krona, the interest rate, inflation, money supply and the historical stock price. Bivariate and multivariate regression analyzes show that the Swedish stock market is negatively related to the Swedish krona. Inflation, interest rate and money supply have no significant relation to the Swedish stock market. The historical stock market has a positive relation to the Swedish stock price. / <p>Betyg B, 170918</p>

Intresset för relationen mellan aktiemarknaden och den ekonomiska tillväxten har funnits sedan länge. Tidigare forskning har visat på olika resultat, vissa forskare menar att det finns ett positivt samband medan andra menar på att det inte finns något samband eller att det finns ett negativt samband mellan aktiemarknaden och den ekonomiska tillväxten. Studien huvudsakliga syfte var att analysera förhållandet mellan aktiemarknaden och den ekonomiska tillväxten i Sverige. Studien avgränsades till att undersöka kvartalsdata från Sverige under tidsperioden 1987–2016, detta gav ett urval på 120 mätpunkter. Data samlades in och analyserades i ett statistikprogram genom en korrelationsanalys och en regressionsanalys. Resultatet visade att det finns ett positivt signifikant samband mellan aktiemarknaden och den ekonomiska tillväxten i Sverige. Resultatet visade även att det finns ett negativt signifikant samband mellan inflationen och den ekonomiska tillväxten i Sverige, samt att det finns ett positivt signifikant samband mellan investeringar och den ekonomiska tillväxten i Sverige. / For a long time, there has been an interest for the relationship between the stock market and economic growth. Previous research has shown mixed results, some researchers concluded that there is a positive relationship, while others concluded that there is no or a negative relationship between the stock market and economic growth. The aim of the study was to analyze the relationship between the stock market and the economic growth in Sweden. The study was limited to examining quarterly data from Sweden during the period 1987-2016, this gave a population of 120 measurement points. Data was collected and analyzed in a statistic program by a correlation analysis and a regression analysis. The result showed that there is a positive significant correlation between the stock market and the economic growth in Sweden. The result also showed that there is a negative significant relationship between the inflation and the economic growth in Sweden, and that there is a positive significant correlation between investment and the economic growth in Sweden. / <p>Betyg D, 170601</p>

No description available.

This thesis deals with the comparative analysis of stock markets in Prague, Warsaw and Budapest. The main goal of the thesis is to evaluate the trading systems and development of stock indices, market capitalisation, trading volume and numer of new IPO. One part is also devoted to birth of stock aliances in Central Europe. The results showed dominant role of Warsaw Stock Exchange in this region. Warsaw stock exchange operates with most developed trading system. In terms of market indicators Warsaw stock exchange has the biggest market capitalization and trading volume. On the other hand Prague and Budapest Stock Exchange could benefit in the future from membership in CEESEG holding company.