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.

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.

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.

Forecasting Interest Rates: an application for Brazil

Understanding the links between long and short-term interest rates is crucial for monetary policy makers, since Central Banks decide and set short-term interest rates in order to affect indirectly long-term interest rates, which affects aggregate spending. This paper studies whether VAR/VEC models are useful in predicting long-term interest rates for Brazil. The empirical results suggest that these models are useful in building qualitative scenarios for the Term structure of interest rates, but do not provide good forecasts in terms of accuracy. Furthermore, models that assume that the future path of short-term interest rates (target interest rates) is known by forecasters do not perform better in terms of both directional and forecasting accuracy.

A produção e a utilização de ebooks interativos e multimídia em EaD

Comunicação publicada nos Anais do CBIE 2015Neste trabalho apresentamos uma proposta de pesquisa de doutorado sobre a produção e a utilização de ebooks interativos e multimídia na educação. São considerados no estudo os elementos circunstanciados da m-learning, com as perspectivas delineadas com base em estudos da cibercultura e da cultura midiática. Estão sendo utilizadas três estratégias principais de investigação: revisão bibliográfica e documental; recolha de dados sobre um caso no Brasil; elaboração e aplicação de um protótipo de ebook interativo e multimídia em EaD. Esperamos contribuir com o rol de investigações que possam avaliar e propor formatos de artefatos e meios interativos com potencial educativo em consonância com o atual contexto.In this work we present a proposal for a doctoral research on the production and the use of interactive and multimedia ebooks in education. They are considered in the study of the detailed evidence of m-learnning with the prospects based on cyberculture and media culture studies. Three main research strategies are being used: literature and document review; data collection on a case in Brazil; development and implementation of a prototype interactive and multimedia ebook in distance education. We hope to contribute to the list of investigations that can evaluate and propose artifacts formats and interactive media with educational potential in line with the current context