Publication
Asymmetric wealth effect in the U.S and Eeuropean markets: threshold cointegration approach
| datacite.subject.fos | Contabilidade | pt_PT |
| dc.contributor.advisor | Gomes, Luís Pereira | |
| dc.contributor.advisor | Ramos, Patrícia Alexandra Gregório | |
| dc.contributor.author | Coelho, Pedro Manuel da Silva | |
| dc.date.accessioned | 2021-04-05T10:23:30Z | |
| dc.date.available | 2021-04-05T10:23:30Z | |
| dc.date.issued | 2021-01-21 | |
| dc.description.abstract | Este estudo visa em verificar as relações de ajustamento existentes entre mercados acionistas e mercado imobiliário e segue o estudo realizado por Chiang, Lee, & Tsai (2012). São estudados quer o mercado acionista norte americano – este representado pelo Standard and Poors’ 500, Dow Jones Industrial Average e Freddie Mac House Price Index- como também o europeu – representado pelo Financial TSE 100 e Euro STOXX 50. A metodologia aplicada quebra face à maior parte dos estudos previamente feitos, onde eram aplicados modelos lineares. A utilização desses modelos pode retornar resultados falaciosos pois os ajustamentos dos mercados são diferentes quando ocorrem choques negativos e positivos. Como tal foi utilizado o modelo TAR e MTAR de modo a testar as duas hipóteses formuladas sendo elas: (1) o equilíbrio a longo prazo dos mercados; (2) a verificação de existência de ajustamentos assimétricos. Os resultados recolhidos apontam para a existência de cointegração entre eles, na maior parte dos casos. | pt_PT |
| dc.description.abstract | This study aims to verify the equilibrium relationships among various markets – housing market and stock market – in a long-run and follows the study of Chiang, Lee, & Tsai (2012). The markets that are studied are the North American stock market and Housing market and European stock market. The North American stock market is represented by Santadard & Poors’ 500 and Dow Jones Industrial Average, and the housing market is represented by Freddie Mac House Price Index. The European stock market is represented by Financial Times Stock Exchange 100 and Euro STOXX 50. The methodology applied does not follow most of the studies due to the fact that those studies used a linear framework. The results obtained from that models can lead to misinformation of the reality since the adjustments made from the series differ if the shock is either negative or positive. For that reason, the study applies the TAR and MTAR models to test both hypotheses. The first is the long-run equilibrium in the markets and the second is to verify if the adjustments are asymmetric. The results point out to the existence of cointegration for the majority of the indexes. | pt_PT |
| dc.identifier.tid | 202652289 | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10400.22/17770 | |
| dc.language.iso | eng | pt_PT |
| dc.subject | TAR | pt_PT |
| dc.subject | MTAR | pt_PT |
| dc.subject | Cointegração | pt_PT |
| dc.subject | Mercados | pt_PT |
| dc.subject | Cointegration | pt_PT |
| dc.subject | Markets | pt_PT |
| dc.title | Asymmetric wealth effect in the U.S and Eeuropean markets: threshold cointegration approach | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | Contabilidade e Finanças | pt_PT |
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