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Evidências da Integração do Mercado de Ações e Oportunidades Ativas de Portfólio de Curto Prazo nos Países da UEM com um Teste Gaussiano de Mudança de Markov

Author

Listed:
  • Oscar De la Torre-Torres

    (Saint Nicholas and Hidalgo’s, Michoacán State University -UMSNH, Morelia, México)

  • José Álvarez-García

    (Financial Economy and Accounting Department Faculty of Business, Finance and Tourism, University of Extremadura, Cáceres, Spain)

  • Evaristo Galeana-Figueroa

    (Saint Nicholas and Hidalgo’s, Michoacán State University -UMSNH, Morelia, México)

Abstract

Neste artigo, testamos, com um modelo Gaussiano Markov de comutação de dois regimes, o desempenho semanal do índice MSCI EMU avaliado em euro e os índices MSCI EMU que excluem cada país membro. Fizemos isso para testar a integração de longo prazo do mercado e identificar possíveis oportunidades de curto prazo para atividades ativas de gestão de portfólio. Os nossos resultados sugerem que, mesmo que os mercados de ações da EMU sejam integrados no longo prazo, quando filtramos os dados em dois regimes, um para períodos normais e outro para períodos de crise, encontramos fortes evidências em favor de atividades ativas de gestão de portfólio, potencialmente aumentando o desempenho da carteira se excluirmos a Finlândia, Itália, Espanha e Portugal em períodos de tempo normais e Itália, Espanha, França e Finlândia em períodos de crise. Este último resultado é interessante, porque a França é a segunda maior economia da UEM e, tal como a Finlândia, não é considerada um país "periférico".

Suggested Citation

  • Oscar De la Torre-Torres & José Álvarez-García & Evaristo Galeana-Figueroa, 2019. "Evidências da Integração do Mercado de Ações e Oportunidades Ativas de Portfólio de Curto Prazo nos Países da UEM com um Teste Gaussiano de Mudança de Markov," RPER, Associação Portuguesa para o Desenvolvimento Regional, issue 52, pages 55-70, October.
    • Handle: RePEc:apd:rper00:y:2019:i:52:id:464
    DOI: 10.59072/rper.vi52.464
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    References listed on IDEAS

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