Volatilidade no Mercado Brasileiro: o Efeito das Crises Político-Econômicas - um Estudo de Causalidade / Volatility in the Brazilian Market: the Effect of Political and Economic Crises - a Cause and Effect Study

AUTOR(ES)
DATA DE PUBLICAÇÃO

24/11/2005

RESUMO

This work seeks for relationship between information flows and market volatility in the Brazilian Stock Market. The Brazilian economy, with several informational shocks in the last five years, is an interesting field for this kind of study. Correlation, Granger-causality and cointegration were the tools used looking for relationships.

ASSUNTO(S)

informação mercado financeiro correlação cointegração causalidade de granger

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