Linear and nonlinear models for the analysis of the relationship between stock market prices and macroeconomic and financial factors
Andreia Dionisio,
Rui Menezes (rui.menezes@iscte.pt),
Diana A. Mendes and
Jacinto Silva
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Diana A. Mendes: ISCTE, Portugal
Econometrics from University Library of Munich, Germany
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; stock market; financial and macroeconomic factors (search for similar items in EconPapers)
JEL-codes: C1 G12 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2004-11-26
New Economics Papers: this item is included in nep-fin
Note: Type of Document - pdf; pages: 18
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:0411018
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