NONLINEAR DYNAMICS WITHIN MACROECONOMIC FACTORS AND STOCK MARKET IN PORTUGAL, 1993-2003

Andreia Dionisio (), Rui Menezes, Diana Mendes and Jacinto Vidigal Silva

Applied Econometrics and International Development, 2007, vol. 7, issue 2, pages 57-70

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.

Keywords: Nonlinear dependence; mutual information; macroeconomic and financial factors (search for similar items in EconPapers)
JEL-codes: C14 C22 C32 (search for similar items in EconPapers)
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