Modelagem de tendências e ciclos comuns dos índices setoriais da BMF e BOVESPA

Abstract

This work aims to analyze the sectorial index of BMF &Bovespa in an unprecedented way analysing the chances of integration and financial contagion using the methodology of trends and common cycles; correlating them, if possible, with the facts and economic theories. The co-integration test and the common cycles test confirm the existence of an equilibrium relation among the variables in both long and short term. The existence of these relation supports the application of Granger causality test to identify which variables can react with each other and in which directions it occurs. This information is particularly important in stock markets analysis when mounting strategies for asset allocation. Tests results enabled the theoretical correlation between statistics, facts and economic theory.