Análise da entropia como medida de incerteza e valor ordinal da informação no mercado bolsista de acções português

O problema em estudo neste trabalho de investigação é a possível falta de adequabilidade dos modelos tradicionais utilizados na gestão de carteiras à realidade que caracteriza o mercado bolsista de acções português, principalmente na forma como é avaliada a incerteza neste mercado. A falta de adequabilidade dos modelos está associada ao facto dos mesmos terem como base a distribuição normal das taxas de rendibilidade dos títulos. Este trabalho de investigação visa atingir quatro objectivos. O primeiro objectivo avalia a adequabilidade dos modelos tradicionais de gestão de carteiras ao mercado bolsista português através da análise da distribuição de probabilidade seguida pelas taxas de rendibilidade dos títulos e do índice BVL 30. O segundo objectivo avalia a eficácia da entropia como medida de dispersão e de incerteza face ao desvio-padrão e à variância quando a distribuição empírica não pode ser realmente representada pela distribuição normal. O terceiro objectivo determina as principais vantagens e desvantagens da utilização dos modelos da entropia e informação mútua relativamente aos modelos tradicionais mais utilizados na gestão e selecção de carteiras (média-variância, modelo diagonal de Sharpe e o modelo CAPM), principalmente no que concerne à disponibilização da informação mais credível e completa ao investidor. O último objectivo mostra que a entropia pode ser encarada como medida ordinal do valor da informação

Consumer Confidence in Portugal - What does it really matter?

Confidence, in general, and consumer confidence, in particular, are subject to an increasing interest by many agents, such as central banks and governments, at a national level, as well as by supra-national entities, such as the European Commission of the European Union. Although this interest is shared by the academic community, the literature in this area is mainly focussed on the use of consumer confidence to predict variables which describe the business cycle, like consumption. Instead, the objective of our paper is to analyse the evolution of consumer confidence in Portugal and examine which factors underpin its formation. Our empirical study uses monthly data for the period January 1987 — December 2008. We find that consumer confidence, besides presenting some inertia, is basically explained by electoral circumstances.Consumer Confidence, Elections, Portugal

On the globalization of stock markets: An application of VECM, SSA technique and mutual information to the G7?

This paper analyzes the process of stock market globalization on the basis of two different approaches: (i) the linear one, based on cointegration tests and vector error correction models (VECM); and (ii) the nonlinear approach, based on Singular Spectrum Analysis (SSA) and mutual information tests. While the cointegration tests are based on regression models and typically capture linearities in the data, mutual information and SSA are well suited for capturing global non-parametric relationships in the data without imposing any structure or restriction on the model. The data used in our empirical analysis were drawn from DataStream and comprise the natural logarithms of relative stock market indexes since 1973 for the G7 countries. The main results point to the conclusion that significant causal effects occur in this context and that mutual information and the global correlation coefficient actually provide more information on this process than VECM, but the direction of causality is difficult to distinguish in the former case. In this field, SSA shows some advantages, since it enabled us to capture the nonlinear causality in both directions. In all cases, however, there is evidence that stock markets are closely related in the long-run over the 36 years analyzed and, in this sense, one may say that they are globalized.Globalization; Market integration; VECM; Mutual information; SSA technique.

Globalization and long-run co-movements in the stock market for the G7: An application of VECM under structural breaks

This paper analyzes the process of long-run co-movements and stock market globalization on the basis of cointegration tests and vector error correction (VEC) models. The cointegration tests used here allow for structural breaks to be explicitly modeled and breakpoints to be computed on a relative-time basis. The data used in our empirical analysis were drawn from Datastream and comprise the natural logarithms of relative stock market indexes since 1973 for the G7 countries. The main results point to the conclusion that significant causal cointegration effects occur in this context and that there is a long-run relationship that governs the worldwide process of market integration. Globalization, however, is a complex adjustment process and in many cases there is only evidence of weak market integration which means that non-proportional price transmission occurs in the market along with proportional changes. The worldwide markets, as expected, appear to be driven in general by the US stock market

Revisiting Covered Interest Parity in the European Union: the DCCA Approach

This paper analyzes the evidence of financial integration, with covered interest parity (CIP), for a group of countries that have already adopted the euro and another group of countries that kept their currencies. We use detrended crosscorrelation analysis, which allows analyzing the behavior of time series even when they are not stationary. The main results indicate that countries that adopted the euro do not show much evidence in favor of CIP, before joining the Eurozone, which could imply they will not benefit from all common currency advantages. In the group of countries that did not adopt the euro, Denmark, Sweden, the UK and the Czech Republic are the ones presenting better conditions for financial integration with the euro, while Bulgaria has also some evidence of this. Some possible explanations of CIP deviations are agents not considering all countries’ assets as similar and also the underdevelopment of markets and liquidity problems (more pronounced due to periods of turmoil)

An application to general maximum entropy to utility

Methodologies related to information theory have been increasingly used in studies in economics and management. In this paper, we use generalised maximum entropy as an alternative to ordinary least squares in the estimation of utility functions. Generalised maximum entropy has some advantages: it does not need such restrictive assumptions and could be used with both well and ill-posed problems, for example, when we have small samples, which is the case when estimating utility functions. Using linear, logarithmic and power utility functions, we estimate those functions and confidence intervals and perform hypothesis tests. Results point to the greater accuracy of generalised maximum entropy, showing its efficiency in estimation

IS PRICE TRANSMISSION SYMMETRIC OVER TRANSNATIONALVALUE CHAINS FOR CODFISH PRODUCTS ?

This paper uses a threshold adjustment methodology to find out whether price transmission over the cod value chain between Norway and Portugal is asymmetric. The basic setting relies on price theory and the relationship between prices in the fish market. Empirical tests of price transmission use a cointegration framework similar to many other non-stationary time series analyses. However, it appears that testing for asymmetric price transmission has not been done so often in the fish market, despite the recent availability of non-linear time series techniques designed to this end. TAR and M-TAR adjustment models can be used in this context. Our results show that while the three price series used in the cod value chain between Norway and Portugal are cointegrated, there is no evidence of asymmetric price adjustment in this market

Assessment of 48 Stock markets using adaptive multifractal approach

Stock market comovements are examined using cointegration, Granger causality tests and nonlinear approaches in context of mutual information and correlations. Underlying data sets are affected by non-stationarities and trends, we also apply AMF-DFA and AMF-DXA. We find only 170 pair of Stock markets cointegrated, and according to the Granger causality and mutual information, we realize that the strongest relations lies between emerging markets, and between emerging and frontier markets. According to scaling exponent given by AMF-DFA, $h(q=2)>1$, we find that all underlying data sets belong to non-stationary process. According to EMH, only 8 markets are classified in uncorrelated processes at $2\sigma$ confidence interval. 6 Stock markets belong to anti-correlated class and dominant part of markets has memory in corresponding daily index prices during January 1995 to February 2014. New-Zealand with $H=0.457\pm0.004$ and Jordan with $H=0.602\pm 0.006$ are far from EMH. The nature of cross-correlation exponents based on AMF-DXA is almost multifractal for all pair of Stock markets. The empirical relation, $H_{xy}\le [H_{xx}+H_{yy}]/2$, is confirmed. Mentioned relation for $q>0$ is also satisfied while for $q<0$ there is a deviation from this relation confirming behavior of markets for small fluctuations is affected by contribution of major pair. For larger fluctuations, the cross-correlation contains information from both local and global conditions. Width of singularity spectrum for auto-correlation and cross-correlation are $\Delta \alpha_{xx}\in [0.304,0.905]$ and $\Delta \alpha_{xy}\in [0.246,1.178]$, respectively. The wide range of singularity spectrum for cross-correlation confirms that the bilateral relation between Stock markets is more complex. The value of $\sigma_{DCCA}$ indicates that all pairs of stock market studied in this time interval belong to cross-correlated processes.Comment: 16 pages, 13 figures and 4 tables, major revision and match to published versio

Revisiting serial dependence in the stock markets of the G7 countries, Portugal, Spain and Greece

This article uses several tests to analyse serial dependence in financial data, trying to confirm the existence of some kind of nonlinear dependence in stock markets. In an attempt to provide a better explanation of the behaviour of stock markets, we used tests based on mutual information and detrended fluctuation analysis (DFA). Applying these tests to the series of stock market indexes of 10 countries, we concluded for the absence of linear autocorrelation. However, with other tests, we found nonlinear serial dependence that affects the rates of return. With DFA, we found out that most return rate series have long-range dependence, which appears to be more pronounced for Spain, Greece and Portugal. To confirm the inefficiency of those markets, based on our results, we should prove the existence of abnormal profits

Market Efficiency Dynamics and Chaotic Behavior of Dhaka Stock Exchange: Evidence from Mutual Information and Lyapunov Exponents Models

This study investigates the evidence of market efficiency dynamics and chaotic behavior of the Dhaka Stock Exchange benchmark index (DSEX) over the 2000-2020 period. We employed the newly developed model of mutual informational and global correlation coefficient in addition to the traditional linear and nonlinear techniques. Results suggest there is evidence of serial dependence in the DSEX returns. We attempted the Lyapunov exponent model to evaluate the possibility of chaos and nonlinear dynamics in the market. The results conspicuously represent the existence of chaotic behaviora nonlinearity-based profitability pattern revealed in the DSEX return series in its short run behavior. By applying two technical trading indicators, we justify the predicting trend of the Bangladesh stock market and conclude that investors active in the Dhaka Stock Exchange can earn abnormal returns. Findings have practical implications for general investors and professional fund managers to exploit the profitable opportunities and reshuffle the investment decisions. Results also convey the message to the regulatory body to initiate the strategies for intervening in the operating mechanisms to reduce the market inefficiency