文章基本信息

标题：THE INFLUENCE OF AMERICAN STOCK MARKETS ON THE BRAZILIAN STOCK MARKET
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作者：Bruno Kriesel Passos ; Tabajara Pimenta Junior ; Luiz Eduardo Gaio 等
期刊名称：Asian Journal of Business and Management Sciences
电子版ISSN：2047-2528
出版年度：2013
卷号：3
期号：05
页码：01-16
出版社：Society for Business Research Promotion
摘要：This research aims to analyze the evolution of the influence caused by the U.S. stock market (Dow Jones, Standard & Poor's and Nasdaq) on the Brazilian stock market (Ibovespa). It was collected time series of the period, 01/07/1994 to 30/06/2009, which includes events on the Brazilian stock market since the implementation of the Real Plan to the present day. For data analysis were used: the unit root test (Dickey Fuller Test - ADF), the Cointegrationn method proposed by Johansen, Granger Causality Test, Analysis of Variance Decomposition (VDC) and the Analysis of Impulse Response Functions (IRF). The results point to no causal relationship between the indexes Americans with the Ibovespa, except for specific periods. Full Text