Abstract

http://ssrn.com/abstract=668001
 
 

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Linear and Nonlinear Dependence Models of Stock Market Returns


Andreia Teixeira Dionisio


Universidade de Évora - Department of Management

Diana Mendes


Instituto Superior de Ciencias do Trabalho e da Empresa (ISCTE) - Department of Quantitative Methods

Rui Menezes


Instituto Superior de Ciencias do Trabalho e da Empresa (ISCTE) - Department of Quantitative Methods

Jacinto Vidigal da Silva


Universidade de Évora - Department of Management

01/2005


Abstract:     
The main objective of this paper is to assess how mutual information as a measure of global dependence between stock markets and macroeconomic factors can overcome some of the weaknesses of the traditional linear approaches commonly used in this context. One of the advantages of mutual information is that it does not require any prior assumption regarding the specification of a theoretical probability distribution or the specification of the dependence model. This study focuses on the Portuguese stock market where we evaluate the relevance of the macroeconomic and financial variables as determinants of the stock prices behaviour.

Number of Pages in PDF File: 19

Keywords: Nonlinear dependence, mutual information, macroeconomic and financial factors

JEL Classification: C14, C22, C32, G14

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Date posted: March 13, 2005  

Suggested Citation

Dionisio, Andreia Teixeira and Mendes, Diana and Menezes, Rui and Vidigal da Silva, Jacinto, Linear and Nonlinear Dependence Models of Stock Market Returns (01/2005). Available at SSRN: http://ssrn.com/abstract=668001 or http://dx.doi.org/10.2139/ssrn.668001

Contact Information

Andreia Teixeira Dionisio (Contact Author)
Universidade de Évora - Department of Management ( email )
Largo dos Colegiais, 2
Evora, 7000
Portugal
Diana Mendes
Instituto Superior de Ciencias do Trabalho e da Empresa (ISCTE) - Department of Quantitative Methods ( email )
Av. Forcas Armadas
Lisbon, 1649-025
Portugal
Rui Menezes
Instituto Superior de Ciencias do Trabalho e da Empresa (ISCTE) - Department of Quantitative Methods ( email )
Av. Forcas Armadas
Lisbon, 1649-025
Portugal
Jacinto Vidigal da Silva
Universidade de Évora - Department of Management ( email )
Largo dos Colegiais, 2
Evora, 7000
Portugal
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