Utilize este identificador para referenciar este registo: http://hdl.handle.net/10362/53053
Título: Uncovered equity parity
Outros títulos: an empirical analysis for the Brazilian financial market
Autor: Zapp, Jan-Frederik
Orientador: Silva, André
Sampaio, Joelson
Palavras-chave: Exchange rate dynamics
Capital flows
Portfolio rebalancing
Return-chasing
Data de Defesa: 6-Jun-2018
Resumo: This paper analyzes if the uncovered equity parity conditions, established by Hau and Rey (2006), hold for Brazil or if divergent capital flow dynamics are observable. The paper applies a vector autoregressive model, capturing the interdependencies between local equity returns, capital flows, and currency returns. Contrary to Hau and Rey (2006), I find a positive relation between local equity returns and currency returns caused by the positive impact of local equity return shocks on foreign net capital flows. The results are in line with previous findings from emerging markets in Asia (Fuertes et al. (2017)).
URI: http://hdl.handle.net/10362/53053
Designação: A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics
Aparece nas colecções:NSBE: Nova SBE - MA Dissertations

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