Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.5/2908
Título: The Structure of International Stock Market Returns
Autor: Bastos, João A.
Caiado, Jorge
Palavras-chave: Developed and emerging stock markets
Empirical properties of returns
Factor analysis
Serial depedence
Long-memory
Data: 2010
Editora: ISEG - CEMAPRE
Citação: Bastos, João A. e Jorge Caiado. 2010. "The Structure of International Stock Market Returns". Instituto Superior de Economia e Gestão – CEMAPRE Working paper nº 1002
Relatório da Série N.º: CEMAPRE Working paper;nº 1002
Resumo: The behavior of international stock market returns in terms of rate of return, unconditional volatility, skewness, excess kurtosis, serial dependence and long-memory is examined. A factor analysis approach is employed to identify the underlying dimensions of stock market returns. In our approach, the factors are estimated not from the observed historical returns but from their empirical properties, without imposing any restriction about the time dependence of the observations. To identify clusters of markets and multivariate outliers, factor analysis is then used to generate factor scores. The findings suggest the existence of meaningful factors which determine the differences in terms of the dependence structure between developed and emerging market returns.
URI: http://hdl.handle.net/10400.5/2908
Aparece nas colecções:CEMAPRE - Documentos de Trabalho / CEMAPRE - Working Papers
DM - Documentos de trabalho / Working Papers

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