nÃo hà / This research use a non-parametric test developed by Lee & MYKLAND (2007) to extract jumps in IBOVESPA series and study its dynamics. Among the qualities of this test there are the ability to identify the exact time of occurrence of break / co-break, the sign and size of it. The jumps in the series of Dow Jones, Exchange rate, C-Bond spread and SELIC rate were also estimated and the relation with IBOVESPAÂs jump were verified. The results were analyzed by descriptive statistics, analysis of frequencies and Logit regression models. As a main result there was the predominance of co-breaks involving IBOVESPA with exchange rate and with the spread of C-Bond. / Este trabalho faz uso do teste nÃo-paramÃtrico desenvolvido por LEE & MYKLAND (2007) para extrair a quebra da sÃrie do IBOVESPA e estudar sua dinÃmica. Dentre as qualidades deste teste estÃo à capacidade de identificar o momento exato da ocorrÃncia da quebra/co-quebra, o sinal e o tamanho da mesma. Foram estimadas tambÃm as quebras nas sÃries do Dow Jones, da taxa de CÃmbio, spread do C-Bond e taxa da SELIC; e verificou-se a relaÃÃo destas com as quebras do IBOVESPA. Os resultados foram analisados via estatÃsticas descritivas/freqÃÃncias e por modelos Logit. Como resultado principal tem-se a predominÃncia das co-quebras associando o IBOVESPA ao CÃmbio e ao spread do C-Bond.
| Identifer | oai:union.ndltd.org:IBICT/oai:www.teses.ufc.br:3006 |
| Date | 24 September 2009 |
| Creators | Savio de Melo Zachis |
| Contributors | Roberto Tatiwa Ferreira, Luiz Ivan de Melo Castelar, Andrei Gomes Simonassi |
| Publisher | Universidade Federal do CearÃ, Programa de PÃs-GraduaÃÃo em Economia - CAEN, UFC, BR |
| Source Sets | IBICT Brazilian ETDs |
| Language | Portuguese |
| Detected Language | English |
| Type | info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis |
| Format | application/pdf |
| Source | reponame:Biblioteca Digital de Teses e Dissertações da UFC, instname:Universidade Federal do Ceará, instacron:UFC |
| Rights | info:eu-repo/semantics/openAccess |
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