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F. Henrique Castro,William Eid Junior,Verônica F. Santana,Claudia E. Yoshinaga
Pág. 47 - 65
We summarize the fifty-year history (1968-2017) of the Ibovespa, a gross total return index that comprises the most liquid stocks traded on the São Paulo Stock Exchange in Brazil. We provide contextual material on the Brazilian economy during this 50-yea...
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Rafael Rudolfo Kreutz,kelmara Mendes Vieira,Gabriel Mutschal Oliveira
Pág. 266 - 277
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Michele Rílany Rodrigues Machado,Ivan Ricardo Gartner,Lúcio de Souza Machado
Pág. 435 - 468
This paper examined if macroeconomic variables individually have long-term relationship with Brazilian stock return rates, where the Ibovespa. For this, we applied the Markov-switching dynamic model with change in variance, between macroeconomic variable...
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Laís Cavalar Souza,Wellington Oliveira Massardi,Vanessa Aparecida Vieira Pires,João Paulo Ciribeli
Pág. 201 - 213
Baseado na teoria de Markowitz (1952), o presente artigo teve como objetivo criar uma carteira de investimentos com ativos que compõem o índice Bovespa durante o período de janeiro a abril de 2016, de maneira que se consiga maximizar a relação entre risc...
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Antonio Zoratto Sanvicente
Pág. 1 - 12
The paper reports the availability of equity market and government bond indices for the 1950-1967 in Brazil, before the introduction of the Bovespa index. Nominal monthly returns are computed, and the historical market risk premium is determined. A 1.86%...
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Sandra Cristina de Oliveira, Marinho Gomes de Andrade
Pág. 339 - 347
Current research compares the Bayesian estimates obtained for the parameters of processes of ARCH family with normal and Student?s t distributions for the conditional distribution of the return series. A non-informative prior distribution was adopted and...
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Nelson Ferreira Fonseca,Wagner Moura Lamounier,Aureliano Angel Bressan
Pág. 243 - 265
This article aims to identify profitable trading strategies based on the effects of leads and lags between the spot and futures equity markets in Brazil, using high frequency data. To achieve this objective and based on historical data of the Bovespa and...
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Paulo Rogério Faustino Matos,Christiano Modesto Penna,Maria Nazareth Landim
Pág. 437 - 459
This paper studies the behavior of the most relevant worldwide stock exchanges indices. The semiparametric time series technique proposed by Phillips and Sul (2007) is used to a panel containing 36 stock exchanges allocated in economies with different de...
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Roberto Meurer
Pág. pp. 79 - 95
In this paper it is discussed and empirically tested the influence of foreign investors flow of resources on the Ibovespa index of the Sao Paulo Stock Exchange from January 1995 to july 2005. Other important variables are considered in the test, includin...
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Anderson Dias Brito,Allisson Silva dos Santos,Gerson Borges de Moura Filho,Orleans Silva Martins
Esta pesquisa tem como objetivo analisar a associação do sentimento do investidor com os ciclos de mercado acionário no Brasil. A amostra foi composta pelas empresas de capital aberto listadas na B3 S.A. ? Brasil, Bolsa, Balcão, com dados de 2007 a maio ...
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Anderson Dias Brito,Allisson Silva dos Santos,Gerson Borges de Moura Filho,Orleans Silva Martins
Esta pesquisa tem como objetivo analisar a associação do sentimento do investidor com os ciclos de mercado acionário no Brasil. A amostra foi composta pelas empresas de capital aberto listadas na B3 S.A. ? Brasil, Bolsa, Balcão, com dados de 2007 a maio ...
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Carlos Chaves,André C. Silva
Pág. 521 - 544
We examine the impact of expected inflation on stock returns. We use inflation forecasts from the Focus survey and real returns of Ibovespa (the index of B3, the Brazilian stock exchange). In our main specification, an increase of 1 percentage point in e...
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André Giudice de Oliveira,Vinicius Mothé Maia,Antonio Carlos Figueiredo Pinto,Marcelo Cabús Klotzle,Luiz Felipe Jarques da Motta
Pág. 44 - 64
This paper compares the BM&FBovespa reference option premiums with the Garman-Kohlhagen model, Corrado-Su modified model, Merton's jump-diffusion model, and Black modified model for skewness and kurtosis for pricing dollar options and Ibovespa futures. T...
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Denise de Cuffa,Carine Zago,Paula Regina Zarelli,Gilmar Ribeiro de Mello
Pág. 98 - 107
A criação contínua de novos conhecimentos passou a ser fundamental para a sustentabilidade competitiva das organizações, de modo que o desenvolvimento da tecnologia da informação tem possibilitado às organizações ampliarem o conhecimento individual em ní...
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Roseli Silva, Mario Bertella, Renan Pereira
Este estudo investiga empiricamente se variáveis macroeconômicas nacionais (produção industrial, inflção, taxa de juros real, risco de crédito doméstico e câmbio real) e internacionais (índice da bolsa de valores americana, a taxa de juros amer...
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Glener de Almeida Dourado,Benjamin Miranda Tabak
Pág. 517?553
The goal of this paper is to evaluate Brazilian stock market efficiency using daily data for the Sao Paulo Stock Exchange Index from January 1995 to December 2012. We employ a variance ratio statistic with wild bootstrap, developed to test linear depende...
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Pedro Marinho Sizenando Silva,Bruno César Melo Moreira,Gleison de Almeida Francisco
Pág. 107 - 124
The stock market has grown steadily in recent years, and several indices have also been created in this market, like IGC, ISE and IBOVESPA. Thinking about this market growth, this paper aims to build an optimal portfolio using linear programming, based o...
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Thiago Raymon Cruz Cacique da Costa,Vinicius Amorim Sobreiro
Indicadores de Análise Técnica - AT têm sido utilizados para recomendar oportunidades de compra e venda no mercado de ação. Recentemente, esses indicadores têm servido como diretrizes nos algoritmos de programas que operam de maneira autônoma no mercado ...
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Jairo Laser Procianoy,Rodrigo S. Verdi
Pág. pp. 141 - 167
This study investigates the price and volume behavior of stock added and excluded to the IBOVESPA, IBrX50, and IBrX100 indexes during the years 1994 to 2002 and FGV100 index during the years 2000 to 2002. In contrast to findings in the US, we find no evi...
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Wendy Sidon Meira de Oliveira,André Nunes Maranhão
Pág. 569 - 603
We present in this study the results of volatility spillover in the Brazilian stock market, measured by conditional correlations. Using GARCH multivariate conditional correlations were estimated at 3 different models combining the Ibovespa index of the t...
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