Linear and nonlinear models for the analysis of the relationship between stock market prices and macroeconomic and financial factors
AbstractThe 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.
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Bibliographic InfoPaper provided by EconWPA in its series Econometrics with number 0411018.
Length: 18 pages
Date of creation: 26 Nov 2004
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Note: Type of Document - pdf; pages: 18
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nonlinear dependence; stock market; financial and macroeconomic factors;
Find related papers by JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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