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The objective of this paper is to compare four dimension reduction techniques used for extracting the underlying systematic risk factors driving returns on equities of the Mexican Market. The methodology used compares the results of estimation produced by Principal Component Analysis (PCA), Factor Analysis (FA), Independent Component Analysis (ICA), and Neural Networks Principal Component Analysis (NNPCA) under three different perspectives. The results showed that in general: PCA, FA, and ICA produced similar systematic risk factors and betas; NNPCA and ICA produced the greatest number of fully accepted models in the econometric contrast; and, the interpretation of systematic risk factors across the four techniques was not constant. Additional research testing alternative extraction techniques, econometric contrast, and interpretation methodologies are recommended, considering the limitations derived from the scope of this work. The originality and main contribution of this paper lie in the comparison of these four techniques in both the financial and Mexican contexts. The main conclusion is that depending on the purpose of the analysis, one technique will be more suitable than another.

Orientador: Ricardo de Medeiros Carneiro Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Economia Resumo: Este trabalho tem como tema os dilemas e desafios enfrentados pelas autoridades monetárias das economias centrais na condução da política monetária quando se está diante de uma bolha de ativos mobiliários ou imobiliários. Sua finalidade é apresentar os receituários prescritos pelos economistas que seguem a tradição da hipótese dos mercados eficientes e aqueles que admitem alguma manifestação de racionalidade/imperfeição no comportamento dos agentes participantes dos mercados financeiros. Para cumprir essa tarefa primeiramente será apresentado o conceito teórico de bolha de acordo com essas duas visões. Em seguida será feita uma breve descrição de como o processo de desregulamentação financeira, que ganhou força a partir da década de 1970, permitiu que as bolhas se tornassem recorrentes e intrínsecas ao sistema capitalista, bem como o modo pelo qual os ciclos de ativos afetam as principais variáveis macroeconômicas. A partir de então abre-se caminho para melhor compreender as vantagens e desvantagens de se adotar uma política monetária passiva diante das bolhas (como prefere a visão neoclássica convencional) ou pró-ativa (como defende a visão alternativa). Como ficará evidente este é um tema novo e controverso para a teoria econômica e não se tem aqui o objetivo de apresentar uma solução definitiva para os dilemas da autoridade monetária. Pretende-se tão somente mapear as diferentes visões a respeito do tema. Por fim há ainda um último capítulo onde se faz uma breve análise da bolha de ações (e a conseqüente bolha de imóveis) que a economia norte-americana experimentou do final da década de 1990 Abstract: The subject of this work are the trade-offs and challenges faced by Central Banks of the developed countries in the conduction of the monetary policy in the occurrence of a stock or real state bubble. In this thesis are presented the opinions of economists that believe in the random walk theory and in the efficient market hypothesis, and of those that assume some irrationality in the behavior of financial markets in respect of how Central Banks should use the monetary policy in the occurrence of bubbles. First it is showed the theoretic bubble concept under these two viewpoints. After that, the second chapter shows a short analysis of how the financial deregulation since 1970 has allowed bubbles to be more frequent and to have enough power to affect macroeconomic variables. The third chapter shows the advantages and disadvantages of adopting an either passive or active monetary policy to combat bubbles. This is a controversial subject to the economic theory and the purpose of this thesis is not to present a definitive solution for these challenges. The pretension here is solely identify the existing visions on this subject. Finally, the last chapter presents a short analysis of the ¿internet¿ bubble in the United States during the second half of the nineties Mestrado Teoria Econômica Mestre em Ciências Econômicas

We study the international propagation of financial conditions from the United States to global financial markets. The impact is highly heterogeneous alongside the quantiles of the distribution of the two major funding sources, credit and equity. Indeed, it is greater on the lower quantiles, which means that analogous to vulnerable growth episodes, examined by the past literature, there exist as well vulnerable funding periods of a global scale, originated from financial weakness in the US. These episodes are related to downside risk in terms of credit creation and firms’ market value around the world. Our estimates differentiate between first and second moment (i.e. uncertainty) shocks to financial conditions. This distinction proves to be relevant as it uncovers a complex propagation of shocks via different economic channels. On the one hand, credit growth largely responds to first moment shocks of US financial conditions four quarters after their occurrence, which is consistent with a credit view explanation of the transmission. On the other hand, stock markets react more sensitively and rapidly (mainly within a quarter) to second moment shocks, which can be theoretically associated with a portfolio channel underlying the shocks spread. We also document a heterogeneous impact across countries. In the case of credit growth this heterogeneity is better explained by the size or depth of the markets, while in the case of stock markets, the explanation is rooted on the strength of the financial connectedness with the US.

We analyse spatial dependence between the risks of stock markets. An alternative definition of neighbour is used and is based on a proposed exogenous criterion obtained with a dynamic Google Trends Uncertainty Index (GTUI) designed specifically for this analysis. We show the impact of systemic risk on spatial dependence related to the most significant financial crises from 2005: the Lehman Brothers bankruptcy, the sub-prime mortgage crisis, the European debt crisis, Brexit and the COVID-19 pandemic, which also affected the financial markets. The risks are measured using the monthly variance or volatility and the monthly Value-at-Risk (VaR) of the filtered losses associated with the analysed indices. Given that the analysed risk measures follow non-normal distributions and the number of neighbours changes over time, we carry out a simulation study to check how these characteristics affect the results of global and local inference using Moran’s I statistic. Lastly, we analyse the global spatial dependence between the risks of 46 stock markets and we study the local spatial dependence for 10 benchmark stock markets worldwide.

This study aimed to predict the short-term of confirmed cases of covid-19 and IBEX in Spain by using SutteARIMA method. Confirmed data of Covid-19 in Spanish was obtained from Worldometer and Spain Stock Market data (IBEX 35) was data obtained from Yahoo Finance. Data started from 12 February 2020-09 April 2020 (the date on Covid-19 was detected in Spain). The data from 12 February 2020-02 April 2020 using to fitting with data from 03 April 2020 - 09 April 2020. Based on the fitting data, we can conducted short-term forecast for 3 future period (10 April 2020 - 12 April 2020 for Covid-19 and 14 April 2020 - 16 April 2020 for IBEX). In this study, the SutteARIMA method will be used. For the evaluation of the forecasting methods, we applied forecasting accuracy measures, mean absolute percentage error (MAPE). Based on the results of ARIMA and SutteARIMA forecasting methods, it can be concluded that the SutteARIMA method is more suitable than ARIMA to calculate the daily forecasts of confirmed cases of Covid-19 and IBEX in Spain. The MAPE value of 0.036 (smaller than 0.03 compared to MAPE value of ARIMA) for confirmed cases of Covid-19 in Spain and was in the amount of 0.026 for IBEX stock. At the end of the analysis, this study used the SutteARIMA method, this study calculated daily forecasts of confirmed cases of Covid-19 in Spain from 10 April 2020 until 12 April 2020 i.e. 158925; 164390; and 169969 and Spain Stock Market from 14 April 2020 until 16 April 2020 i.e. 7000.61; 6930.61; and 6860.62.

We explore international risk synchronization in global stock markets over the last two decades. To this end, we construct global indices of risk synchronization based on individual estimations of market risk and their aggregation via spatial correlations. We then use these indices to analyze the effects of several financial crises on market risk synchronization. Our results reveal different risk-profile dynamics for mature and emerging markets. Contrary to general reports, we also find that not all financial crises induce a higher level of synchronization among markets, at least in relative terms. Indeed, some crises had the opposite effect, that is, a decoupling of market risk.

[eng] This dissertation discusses the accumulation and unwinding of financial imbalances in stock markets and credit aggregates in advanced economies since the interwar years until the present. The project is framed within the literature that arose with the Great Financial Crisis (2007-09) and that, against the mainstream consensus at the time, posits the existence of a financial cycle best characterised by the joint evolution of asset prices and credit. As a theoretical framework, we build on the open macroeconomy trilemma which indicates that policymakers can choose two out of three desirable and competing goals: fixed exchange rates, free capital flows, and autonomous monetary policy. We construct exchange rate and capital control regimes, for twelve advanced economies, from several sources to identify whether the behaviour of the boom-bust cycle in asset prices and credit growth and the drivers of financial instability are contingent on changing institutional conditions. Additionally, we test for the existence of a global financial cycle, proxied by the United States, which may be driving the evolution of both dependent variables. In the first part of the dissertation which covers the literature review (chapter 1) and the data and methodology (chapter 2), we tackle the issue of measuring financial imbalances. To shift from the usual framework of financial crises towards the study of financial stability, we develop a new indicator for expansions and contractions in financial time series: the Local Bull Bear Indicator (LBBI). This technique, which constitutes the main methodological contribution of the dissertation, identifies above or below trend risk-adjusted returns, expressed as standard deviations. It allows for the identification of expansions and contractions to different time horizons, according to the persistence of shocks. As a data contribution, we offer a dating and characterisation of boom and bust phases in stock markets and credit aggregates, to different time horizons, for all the countries in the database. Regarding the empirical findings, the second part of the dissertation presents panel data evidence using a panel corrected standard errors model (PCSE) for stocks (chapter 3) and credit (chapter 4). First, regarding the literature on global financial integration, we find evidence of a global financial cycle proxied by the US stock market and credit aggregates. Secondly, we find that the relationship between the dependent variables and a selection of control variables and trilemma-associated covariates is contingent on the way in which countries resolve the macroeconomic trilemma at different times. Finally, regarding financial stability, we find that beyond price stability, the variables that drive LBBIs are contingent on the way countries resolve the macroeconomic trilemma at different moments in history. The third part of the dissertation presents time-series evidence for two case studies on the United Kingdom. Chapter 5 discusses whether the evolution of the stock market is contingent on domestic policy or trilemma regimes and finds that the usual story of global financial integration following a U-shape with peaks during the gold standard and the present-day inflation targeting regime requires nuance. The long-run co-movement between the stock market in the UK and the global cycle seems to peak in periods of heightened systemic risk such as the Second World War and the two oil shocks (1973, 1978). Finally, Chapter 6 finds that there is a financial cycle in the UK and that the causal relationship between stocks and credit for the UK is both time-varying and contingent on the regulatory framework in place. As the financial system becomes unregulated, credit growth seems to drive the behaviour in asset prices, allowing us to conclude, preliminarily, that while price stability is important, policymakers should include the evolution of credit aggregates in their policymaking function.

Treballs Finals del Grau d'Economia, Facultat d'Economia i Empresa, Universitat de Barcelona, Curs: 2017-2018 , Tutor: Jordi Suriñach Caralt, (cat) En aquest treball s'analitzarà l'efectivitat de les següents tècniques d'inversió en borsa: Anàlisi Tècnica, Anàlisi Fonamental i Inversió per Model Lògit. Aquest últim serà un nou mètode creat mitjançant la combinació amb tècniques economètriques dels dos anteriors amb l'esperança de millorar els seus resultats. Es consideraran diferents períodes d'inversió: curt termini (setmana i mes) i llarg termini (un any). I es tractarà de concloure quina estratègia d'inversió és millor per cadascun d'ells. Les estratègies d'inversió vindran acompanyades dels fonaments teòrics que hi ha darrera de cada teoria i la manera que te cadascuna de considerar una inversió., (eng) In this assignment, the effectiveness of the following stock investment techniques will be analyzed: Technical Analysis, Fundamental Analysis and Investment by Logit Model. The last one will be a new method created by combining the two previous ones using econometric techniques. We're going to look to improve their benefits this way. Different periods of investment will be considered: short term (week and month) and long term (one year). This way we can establish which method is most effective for each of them. The investment strategies will be accompanied by the theoretical foundations behind each theory and the way in which each one of them considers an investment.

Treballs Finals del Grau de d'Administració i Direcció d'Empreses, Facultat d'Economia i Empresa, Universitat de Barcelona, Curs: 2016-2017 , Tutor: Isabel Serra Mochales, (spa) Identificar, cuantificar y minimizar el riesgo de pérdida sujeto a un proyecto de inversión constituye un objetivo común en el mercado bursátil. Disponer de medidas homogéneas que cuantifiquen el riesgo resulta indispensable para la toma de decisiones en la gestión de dichas inversiones. El presente trabajo tiene por objetivo la medición y cuantificación del riesgo de pérdida en una cartera de acciones. Asimismo, se realiza una revisión de la literatura sobre las técnicas y herramientas utilizadas para medir el riesgo financiero, así como se estudian en detalle ciertas distribuciones de probabilidad que suelen asumirse para medir el riesgo. Para lograr este objetivo, se utiliza el método del valor en riesgo (Value at Risk, en inglés) utilizando dos aproximaciones. La primera, de forma no paramétrica utilizando la distribución empírica de pérdidas y beneficios de los datos históricos, y la segunda, de forma paramétrica, suponiendo por un lado una distribución normal y por otro una t-student. Por último, se detallan las diferencias entre las distintas estrategias y sus consecuencias., (eng) Identifying, quantifying and minimizing the risk of loss subject to an investment project is a common goal in the stock market. Having homogeneous measures that quantify risk is essential for decision-making in the management of such investments. The objective of this paper is to measure and quantify the risk of loss in a portfolio of financial assets. Also, a review of the literature on the techniques and tools used to measure financial risk is done, as well as the different probability distributions that are usually assumed for stock returns. To achieve this goal, the Value at Risk method is implemented using two approaches. The first, non-parametrically using the empirical profit and loss distribution of historical data, and the second, parametrically, assuming on the one hand a normal distribution and on the other a tstudent. Finally, the differences between the different approaches and their consequences are detailed.

We examine the valuation performance of Discounted Free Cash Flow Model (DFCF) at the Macedonian Stock Exchange (MSE) in order to determine if this model offer significant level of accuracy and relevancy for stock values determination. We find that stock values calculated with DCF model are very close to average market prices which suggests that market prices oscillate near their fundamental values. We can conclude that DFCF models are useful tools for the companies’ enterprise values calculation on long term. The analysis of our results derived from stock valuation with DFCF model as well as comparison with average market stock prices suggest that discounted cash flow model is relatively reliable valuation tool that have to be used for stocks analyses at MSE.

The main objective of this paper is to study whether the introduction of the euro had an impact on the degree of integration of European Government bond markets. We adopt the CAPM-based model of Bekaert and Harvey (1995) to compare, from the beginning of Monetary Union until June 2008, the differences in the relative importance of two sources of systemic risk (world and Eurozone risk) on Government bond returns, in the two groups of countries (EMU and non-EMU) in EU-15. Our empirical evidence suggests that the impact of the introduction of the euro on the degree of integration of European Government bond markets was important. The markets of the countries that share a monetary policy are less vulnerable to the influence of world risk factors, and more vulnerable to EMU risk factors. However, euro markets are only partially integrated, since they are still segmented and present differences in market liquidity or default risk. For their part, the countries that decided to stay out of the Monetary Union present a higher vulnerability to external risk factors. JEL Classification: E44, F36, G15

A new family of distortion risk measures—GlueVaR—is proposed in Belles-Sampera et al. (2014) to procure a risk assessment lying between those provided by common quantile-based risk measures. GlueVaR measures may be expressed as a combination of these standard risk measures. We show here that this relationship may be used to obtain approximations of GlueVaR measures for general skewed distribution functions using the Cornish–Fisher expansion. A subfamily of GlueVaR measures satisfies the tail-subadditivity property. An example of risk measurement based on real insurance claim data is presented, where implications of tail-subadditivity in the aggregation of risks are illustrated.

Con el presente trabajo se propone una aproximación al análisis técnico en la construcción de un portafolio de inversión de composición inmobiliaria y bursátil desde la teoría de portafolios eficientes de Harry Markowitz, abordando conceptos valuatorios e incidencias en el mercado de inmuebles de la ciudad de Medellín, su área metropolitana y oriente cercano, así como en el mercado de capitales de Colombia, como complemento analítico fundamental para la asignación de recursos en un marco de diversificación, reflejado en la suavización de la volatilidad propia de la renta variable y de la iliquidez inherente al mercado de bienes raíces

Actualmente la Bolsa de Valores de Colombia adelanta un proyecto para dar vía libre a las ventas en corto de acciones en el mercado de capitales colombiano, a través de un instrumento conocido como transferencia temporal de valores (TTV) -- A partir de un análisis econométrico y del estudio de prácticas en otros mercados, el objetivo de este documento es examinar el esquema bajo el cual operarían las ventas en corto y proponer mejoras para facilitar la implementación de un mecanismo eficiente y de amplia acogida, cuya puesta en marcha contribuiría a la profundización y eficiencia del mercado de capitales y a una mayor participación de los agentes

En aquest article es conceptualitza la confusió en termes d'incertesa, considerant posteriorment com intervé en el procés de formació de creences i en la presa de decisions d'inversió i distingint tres tipus d'estratègies inversores, la diversificació, la concentració en empreses confiant en el pla empresarial i en la capacitat de gestió i, finalment, el seguidisme, referent a l'estratègia basada en confiar en tercers (rumors, notícies, experts, gurus ...). D'acord amb aquesta anàlisi, s'estableix la influència de la informació i la confusió en formació de les bombolles financeres i s'il·lustra amb l'exemple de la bombolla immobiliària i el crac borsari de 2008 a Espanya., This article conceptualises the confusion in terms of uncertainty, given subsequently as involved in the formation of beliefs and making investment decisions, distinguishing three types of investing strategies: diversification, concentration of companies relying on the business plan and management skills and finally, then for an strategy based on a trusted third parties (rumours, news, experts, gurus,¿). According to this analysis, establishing the influence of the information and confusion in formation of financial bubbles, and illustrated with the example of the housing bubble and the stock-marked crash of 2008 in Spain.

La tesis consta de tres partes. La primera se inicia partiendo de una visión global del sector financiero de la economia y en ella se estudia la evolución de que el mismo ha sido objeto para centrar nuestro tema de estudio: los mercados de valores en general y los "segundos mercados" en particular. Con la iniciativa de su creación se consigue el eslabón necesario para disponer de un sistema financiero capaz de responder adecuadamente a todas las necesidades sentidas de manera eficiente y sin incurrir en agravios comparativos. En España, también se han organizado este tipo de mercados, pero la experiencia demuestra que, hoy por hoy, no son excesivamente exitosos. Para averiguar las causas de esta situación, la segunda parte de la tesis aborda un estudio empírico realizado en base a una población de empresas de tamaño diverso ubicadas en Cataluña cuyo denominador común es la no participación en el mercado de valores y además en base a aquellas empresas que ya están cotizando en el segundo mercado de valores de la Bolsa de Barcelona, sin restricciones de territorialidad; los resultados obtenidos dan paso a la tercera parte del estudios y demuestran que, en primer lugar, no se conoce suficientemente bien el mercado de valores; en consecuencia, existe cierto recelo por parte de las empresas en valorar sus ventajas, y en segundo lugar, el "segundo mercado" es un perfecto desconocido, no tanto para los expertos financieros, pero sí para los potenciales inversores. Por todo ello se sugiere una campaña de información y realizar algunos ajustes de tipo fiscal que permitan potenciar su ulterior desarrollo.

The high penetration of the Internet and e-commerce in Spain during recent years has increased companies' interest in this medium for advertising planning. In this context Google offers a great advertising inventory and perfectly segmented content pages. This work is concerned with the optimization of online advertising investments based on pay-per-click campaigns. Our main goal is to rank and select different alternative keyword sets aimed at maximizing the awareness of and traffic to a company's website. The keyword selection problem with online advertising purposes is clearly a multiple-criteria decision-making problem additionally characterized by the imprecise, ambiguous and uncertain nature of the available data. To address this problem, we propose a technique for order of preference by similarity to ideal solution (TOPSIS)-based approach, which allows us to rank the alternative keyword sets, taking into account the fuzzy nature of the available data. The TOPSIS is based on the concept that the chosen alternative should have the shortest distance from the positive ideal solution and the longest distance from the negative ideal solution. In this work, due to the characteristics of the studied problem, we propose the use of an asymmetric distance, allowing us to work with ideal solutions that differ from the maximum or the minimum. The suitability of the proposed model is illustrated with an empirical case of a stock exchange broker's advertising investment problem aimed at generating awareness about the brand and increasing the traffic to the corporative website.

A new family of distortion risk measures -GlueVaR- is proposed in Belles- Sampera et al. -2013- to procure a risk assessment lying between those provided by common quantile-based risk measures. GlueVaR risk measures may be expressed as a combination of these standard risk measures. We show here that this relationship may be used to obtain approximations of GlueVaR measures for general skewed distribution functions using the Cornish-Fisher expansion. A subfamily of GlueVaR measures satisfies the tail-subadditivity property. An example of risk measurement based on real insurance claim data is presented, where implications of tail-subadditivity in the aggregation of risks are illustrated.

Este artículo examina empíricamente el grado de conocimiento y participación de los ciudadanos de Barranquilla en el mercado bursátil colombiano . Para ello, se encuestaron 800 individuos distribuidos en las cinco localidades de la ciudad. Utilizando un modelo logit, se estimaron los factores que explican el estado del conocimiento del mercado bursátil así como las variables que influyen en la probabilidad de inversión en la bolsa de valores . Se encuentra que el rango de ingresos determina en mayor medida el nivel de conocimiento e inversión en el mercado bursátil respecto al resto de variables . Finalmente , se confirma que se trata de un mercado de características muy específicas , en el cual participan principalmente aquellos inversionistas con mayor conocimiento de las inversiones que ponen en marcha.