Insights into portuguese stock market efficiency using DEA

US subprime crisis and the European sovereign debt crisis affected indiscriminately both the economic and the financial sectors giving rise to a bank run which made the survival of many other banks became uncertain, and by contagion the equity markets tumbled. In this context, this study runs a Data Envelopment Analysis model to analyse individual market return and net sales in light of the interest income, depreciation, cost of goods and employees. Using data from the largest companies of the Portuguese index stock market, the results showed that energy, communications and banking are the sectors more prevalent regarding revenue efficiency

Comparative multivariate forecast performance for the G7 stock markets: VECM models vs deep learning LSTM neural networks

The prediction of stock prices dynamics is a challenging task since these kind of financial datasets are characterized by irregular fluctuations, nonlinear patterns and high uncertainty dynamic changes. The deep neural network models, and in particular the LSTM algorithm, have been increasingly used by researchers for analysis, trading and prediction of stock market time series, appointing an important role in today’s economy. The main purpose of this paper focus on the analysis and forecast of the Standard & Poor’s index by employing multivariate modelling on several correlated stock market indexes and interest rates with the support of VECM trends corrected by a LSTM recurrent neural network.info:eu-repo/semantics/publishedVersio

Untangling the inefficiency of hotel industry: The Portuguese Teixeira Duarte hotel chain analysis

In this study the technical efficiency was analyzed for four hotels of the Teixeira Duarte Group - a renowned Portuguese hotel chain. An efficiency ranking was established for these four Portuguese hotels units using Stochastic Frontier Analysis. This methodology allowed discriminating between measurement error and systematic inefficiencies, enabling the identification of the main inefficiency causes. The results showed that distance to the airport and higher price of accommodations promote efficiency. Additionally, hotels with many standard rooms and sea views are likely to achieve higher levels of efficiency. These results should be carefully considered when aiming at improving hotel's efficiency, especially in Portuguese units with similar typology and location of the ones considered in this analysis.info:eu-repo/semantics/publishedVersio

4,5-bis(benzoylsulfanyl)-1,3-dithiol-2-one

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Lorentz-breaking effects in scalar-tensor theories of gravity

In this work, we study the effects of breaking Lorentz symmetry in scalar-tensor theories of gravity taking torsion into account. We show that a space-time with torsion interacting with a Maxwell field by means of a Chern-Simons-like term is able to explain the optical activity in syncrotron radiation emitted by cosmological distant radio sources. Without specifying the source of the dilaton-gravity, we study the dilaton-solution. We analyse the physical implications of this result in the Jordan-Fierz frame. We also analyse the effects of the Lorentz breaking in the cosmic string formation process. We obtain the solution corresponding to a cosmic string in the presence of torsion by keeping track of the effects of the Chern-Simons coupling and calculate the charge induced on this cosmic string in this framework. We also show that the resulting charged cosmic string gives us important effects concerning the background radiation.The optical activity in this case is also worked out and discussed.Comment: 10 pages, no figures, ReVTex forma

Modeling long memory in the EU stock market: evidence from the STOXX 50 returns

This paper examines the persistence behaviour of STOXX 50 returns. To this end, we estimated the GARCH, IGARCH and FIGARCH models based on a data set comprising the daily returns from January 5th, 1987 to December 27th, 2013. The results show that the long-memory in the volatility returns constitutes an intrinsic and empirically significant characteristic of the data and are, therefore, in consonance with previous evidence on the subject. Moreover, our findings reveal that the FIGARCH is the best model to capture linear dependence in the conditional variance of the STOXX 50 returns as given by the information criteri

An analysis of equity markets cointegration in the european sovereign debt crisis

A simplified presentation of an empirical finding in the portfolio diversification literature is that diversifying across countries is more effective in reducing risks than diversifying across industries. While the linear approach is not designed to capture a significant integration, this is not the case when Gregory and Hansen cointegration tests are used to assess this relation by allowing for instability in these long-run relations. The present work investigates the existence of long-run relations between the Portuguese and other markets under stress. Interestingly, the only market that did not follow this trend was Spain. In overall, our results found six cointegration vectors: two within the group of European emerging markets (Portugal, Italy and Ireland) and the other four between the Portuguese market and the mature markets (France, United Kingdom, Germany and United States)