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Previous issue date: 2014-01-31 / Nenhuma / Esta dissertação investiga a existência de integração no mercado de ações e mensura as modificações que a crise do subprime pode ter causado entre as relações de mercados emergentes da América Latina e Centro e Leste Europeu. Para isso, são selecionados onze índices de bolsas de valores destes mercados e utilizados os modelos GARCH e de volatilidade estocástica. Os resultados indicaram a presença de integração financeira entre os países e sugerem ainda que a crise intensificou essas relações. / This dissertation investigates the existence of integration in the stock Exchange market as well as it measures the changes that the subprime crisis may have caused in the relations between the emerging markets of Latin America and Central and Eastern Europe. In order to carry out this study, eleven stock exchange indexes of these markets were selected and the GARCH models and stochastic volatility were used. The results indicated the existence of financial integration between countries; furthermore, they suggested that the crisis has intensified these relationships.
| Identifer | oai:union.ndltd.org:IBICT/oai:www.repositorio.jesuita.org.br:UNISINOS/3332 |
| Date | 28 February 2014 |
| Creators | Piveta, Leonardo Berteli |
| Contributors | http://lattes.cnpq.br/5515708846105096, Godoy, Marcia Regina, Morais, Igor Alexandre Clemente de |
| Publisher | Universidade do Vale do Rio dos Sinos, Programa de Pós-Graduação em Economia, Unisinos, Brasil, Escola de Gestão e Negócios |
| Source Sets | IBICT Brazilian ETDs |
| Language | Portuguese |
| Detected Language | English |
| Type | info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis |
| Source | reponame:Repositório Institucional da UNISINOS, instname:Universidade do Vale do Rio dos Sinos, instacron:UNISINOS |
| Rights | info:eu-repo/semantics/openAccess |
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