IDENTIFICAÃÃO DE TENDÃNCIAS E CICLOS COMUNS NA EVOLUÃÃO DOS ÃNDICES DE AÃÃES DA AMÃRICA DO SUL / IDENTIFICATION OF TRENDS AND DEVELOPMENTS IN COMMON CYCLES STOCK INDICES OF SOUTH AMERICA

AUTOR(ES)
FONTE

IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia

DATA DE PUBLICAÇÃO

13/02/2012

RESUMO

The present study aims to test the presence of common cycles for major stock markets of countries in South America following the methodology of Vahid and Engle (1993). Using the accumulated gross nominal monthly return for the major stock indexes in Brazil, Argentina, Colombia, Venezuela, Chile and Peru for the period from January, 1998 to November, 2010, there was the presence of a common cycle in the system. Later cycles were estimated for each series using the trend-cycle decomposition of multivariate Beveridge and Nelson and extracted the correlations between the cycles and the common cycle. The results show that thevalues of the individual cycles exhibit similar correlations on average equal to 0.78, compared to the common cycle. This result is due to the same standard of individual cycles of the stock indexes, in which they are strongly correlated, with an average correlation of 0.98.

ASSUNTO(S)

ciencias sociais aplicadas Ãndice de aÃÃes ciclos comuns amÃrica do sul integraÃÃo financeira stock market indices common cycles south america ciencias sociais aplicadas Ãndice de aÃÃes ciclos comuns amÃrica do sul integraÃÃo financeira stock market indices common cycles south america financial integration integraÃÃo econÃmica finanÃas internacionais financial integration

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