The Effects of the Brazilian ADRs Program on Domestic Market Efficiency

This paper examines the impact on Brazilian stocks following American Depositary Receipts (ADRs) listing in the U.S. stock markets. Evidence suggests that a systematic change has taken place in the post-listing period as the multivariate variance ratio statistics have significantly decreased if compared to the pre-listing period, which indicates a move toward a more efficient domestic stock market. This empirical evidence is robust to the use of dollar and local currency-denominated returns. These results add to the literature that finds evidence on changes in domestic volatility and abnormal returns around listing dates.

Exchange Rate Dynamics and the Relationship between the Random Walk Hypothesis and Official Interventions

This paper examines the empirical evidence that official interventions are associated with periods of high predictability in exchange rate markets. We employ a block bootstrap methodology to build critical values for the Variance Ratio statistics and test for predictability within moving windows of fixed length sizes for major developed countries currencies. Empirical results suggest that interventions are indeed associated to periods of increase in predictability and that time varying risk premium may, at least partially, explain such results.

Causality and Cointegration in Stock Markets: The Case of Latin America

This paper analyzes causality and cointegration relationships among stock markets for Latin America and the United States. Within a simple framework causality and cointegration is tested for Argentina, Brazil, Chile, Colombia, Mexico, Peru, Venezuela and the US. We found no evidence of cointegration among these stock markets but short-run causality could not be rejected. Furthermore, we use impulse response functions to analyze the relative impact of shocks in the US stock index (Dow Jones) on Latin American indexes. Evidence suggests that the responses differ significantly among these countries. These findings imply that there are valuable opportunities to international investors from diversifying in US and Latin American stocks.

Building Confidence Intervals with Block Bootstraps for the Variance Ratio Test of Predictability

This paper compares different versions of the multiple variance ratio test based on bootstrap techniques for the construction of empirical distributions. It also analyzes the crucial issue of selecting optimal block sizes when block bootstrap procedures are used, by applying the methods developed by Hall et al. (1995) and by Politis and White (2004). By comparing the results of the different methods using Monte Carlo simulations, we conclude that methodologies using block bootstrap methods present better performance for the construction of empirical distributions of the variance ratio test. Moreover, the results are highly sensitive to methods employed to test the null hypothesis of random walk.

Efeito da aplicação de ultrassons ao processo Squeeze Casting

Dissertação de mestrado integrado em Engenharia MecânicaAs ligas de alumínio são globalmente utilizadas em inúmeras atividades. Sendo estas, indústrias muito competitivas, existe a necessidade de um melhoramento constante de todos os intervenientes no processo produtivo. Essas melhorias têm como objetivo reduzir custos e/ou melhorar o desempenho dos componentes e têm vindo a ser efetuadas quer pelo recurso a novas técnicas de produção, quer pelo desenvolvimento de novas ligas/composições. Neste âmbito, o objetivo central deste projeto consistiu no estudo da conjugação de duas tecnologias distintas, Squeeze Casting e Ultrassons, para analisar a melhoria das propriedades mecânicas das ligas de alumínio, decorrentes dessa combinação. Inicialmente, foram realizados testes para cada uma das tecnologias singularmente, os quais se constituíram como ensaios de controlo, tendo sido depois avaliada a sua conjugação para diversos parâmetros. Foi desenvolvido um projeto para um equipamento experimental com vista à realização dos ensaios, mas, por motivos alheios ao autor, não foi possível a sua construção. No entanto, com recurso à colaboração de uma empresa local, foram realizados ensaios para estudar o efeito da conjugação das duas tecnologias. Mais especificamente, foi estudado o efeito de dois níveis de pressão distintos – 5 e 10 MPa – e de dois métodos de aplicação de ultrassons ao banho metálico – direto isotérmico por via de um radiador acústico e indireto através da coquilha, durante a solidificação. Foram avaliadas as características microestruturais, a dureza e a densidade das amostras dos diferentes ensaios. Verificou-se que as amostras resultantes da conjugação das tecnologias apresentam características microestruturais muito favoráveis – afinadas e modificadas (silício e componentes intermetálicos) – quando comparadas com os ensaios de cada uma das tecnologias singularmente. Foi possível a obtenção de amostras com cerca de 98.5% da densidade teórica com a aplicação direta da pressão contra os 95,6% obtidos apenas com desgaseificação. Os resultados relativos à dureza não foram conclusivos. Os resultados parecem indicar que a conjugação das duas tecnologias é benéfica, permitindo a obtenção de componentes complexos, afinados e livres de porosidades com pressões relativamente baixas.The aluminum alloys are used all over the world in countless industrial activities. These activities are very competitive and demand constant improvement of all the parts involved in the productive process. Those improvements, aimed to reduce costs or improve the components performance, are done by using new production technics or by the development of new alloys and their treatment. In this context, the main goal of the project consists in the study of the conjugation of two different technologies, Squeeze Casting and Ultrasonic Melt Treatment, to analyze the improvement of the mechanical characteristics in aluminum alloys resultant of that combination. An equipment project was developed to build an experimental machine for the trials, but, due to the state of the national economy, that goal was not achieved. Even though, thanks to a local company, it was possible to conduct the trials. The first ones were made with each technology alone and were considered control trials. Afterwards, the combination of the two technologies was evaluated using different parameters – two pressure values (5 and 10 MPa) and two ultrasonic application methods (direct isothermal, using an acoustic radiator, and indirect, through the mold, during the solidification). Several aspects where evaluated, such as, the microstructural characteristics, the hardness and the density of each sample. The samples obtained with the combination of the two technologies were refined and modified – both the silicon and the intermetallic particles. With the application of pressure during the solidification, the density value increased (98,5% of the theoretical density against 95,6% without the application of pressure). The hardness trials were inconclusive. The results seem to indicate that the combination of these two technologies is interesting and might allow the production of complex, refined and pores free components. Additionally, it may allow the reduction of the pressure values used in the Squeeze Casting operations

Peptidome and Proteome Peritoneal Dialysate Evolutionary Atlas (P3DEVOATLAS)

Peritoneal membrane (PM) failure in patients with end stage renal disease submitted to peritoneal dialysis (PD) cannot be predicted and does not occur in every patient in the same sequence and to the same extent. Moreover, long-term PD leads to morphological and functional alterations in the PM, reducing the lifespan of this dialysis up to five years, and forcing the replacement of PD by other renal replacement therapies. This represents a lower quality of life for the patients and extra cost of tens of million euros per year for the Portuguese National Health System. Peritoneal dialysis effluent (PDE) represents an underestimated biochemical window into the peritoneum and a useful reservoir of potential clinical biomarkers. Therefore, this work aims to develop longitudinal studies to unravel the evolution of the peptidome and proteome of the PDE with time, to identify specific molecular changes that can be particularly interesting for the understanding and early detection of long-term PM alterations. To achieve this goal, mass spectrometry (MS)-based methods are needed to improve PDE proteome and peptidome analysis and to overcome some drawbacks that can arise from such a complex biological sample that can hamper the proteome and peptidome coverage. For this reason, this thesis is focused also in the use of sample treatments and methodologies to reduce PDE sample complexity prior to MS analysis. Therefore, different methods of sample treatment were assessed with success as proteomics tools for getting insight into the PDE proteome and peptidome. Furthermore, this research constitutes the first proteome and peptidome-based longitudinal study of PD patient. In addition, the results represent the highest proteome and peptidome coverage ever achieved for this complex sample. Hence, this knowledge could be useful for the proteomic and clinical PD-devoted research community

The Stability-Concentration Relationship in the Brazilian Banking System

In this article the relation between non-performing loans (NPL) of the Brazilian banking system and macroeconomic factors, systemic risk and banking concentration is empirically tested. While evaluating this relation, we use a dynamic specification with fixed effects, using a panel data approach. The empirical results indicate that the banking concentration has a statistically significant impact on NPL, suggesting that more concentrated banking systems may improve financial stability. These results are important for the design of banking regulation policies.

Sistematização da preparação e organização do trabalho de máquinas CNC na Felino, S.A.

Tese de mestrado integrado. Engenharia Mecânica. Universidade do Porto. Faculdade de Engenharia. 201