This paper simultaneously examines day-of-the-week, turn-of-the-month and pre- and post-holidays ... more This paper simultaneously examines day-of-the-week, turn-of-the-month and pre- and post-holidays calendar effects in traded and non-traded daily period returns in a group of broad-index exchange traded funds (ETFs) that track the major US stock indices (S&P 500, DJIA 30, NASDAQ 100 and Russel 2000 index). Bai and Perron (1998, 2003)’s method is employed to examine stability of the significant calendar effects over time and across ETFs. Results exhibit a high instability of the significant calendar effects over the various regimes up until 2001. From 2001 onwards and until the end of 2013, only a single regime across all ETFs is identified. In this last regime, results point to the disappearance of the previous significant effects across the US equity ETFs group. Unstable observed effects could have been motivated by market-specific conditions in such short time periods. The disappearance of these effects from 2001 onwards are consistent with the nature of this asset class: these ETFs are broadly diversified portfolios with diversification of private information, with higher liquidity and lower transactions cost, which is likely to reduce potential calendar effects.
Revista Brasileira de Administração Científica, Nov 30, 2016
Este estudo objetiva avaliar alguns dos principais fatores que influenciam na producao e nos merc... more Este estudo objetiva avaliar alguns dos principais fatores que influenciam na producao e nos mercados de arroz, feijao, milho e trigo, a partir do impacto da integracao internacional das cadeias produtivas. Exigencias supranacionais, associada ao aumento na demanda e qualidade dos alimentos, pressionam o setor produtivo no Brasil, Estados Unidos, Argentina e em alguns paises europeus, como Alemanha, Franca, Espanha, Holanda, Italia e Portugal, expressivos produtores, consumidores, exportadores e/ou importadores destas commodities. Sob estes aspectos, torna-se oportuno conhecer alguns dos principais condicionantes, bem como, provaveis impactos sobre a agricultura, setor chave para a seguridade alimentar. A ferramenta empregada consiste em um Painel de Dados, no sentido de identificar quais categorias sao responsaveis pelas alteracoes na oferta nestes mercados. Os resultados apontam para a necessidade de politicas moderadas de ajuste de câmbio, incentivo as exportacoes e ao consumo, pois tratam-se dos fatores mais importantes no que se refere a impactos sobre a producao. Ha uma correlacao favoravel destes fatores para com as economias em questao, sendo que variacoes positivas tendem a estimular os setores produtivos avaliados.
DOAJ (DOAJ: Directory of Open Access Journals), Dec 1, 2018
The present study aimed to analyse the transmission of price between cattle, corn and soybeans ma... more The present study aimed to analyse the transmission of price between cattle, corn and soybeans markets in Mato Grosso, Brazil, in the period January/2012 to December/2015, based on a time series analysis. The application of unit root tests (Augmented Dickey-Fuller - ADF) showed evidence that the series are non-stationary in levels but are stationery in first differences. The Johansen cointegration test showed evidence in favour of the existence of a long-term relationship between prices on the spot markets of live cattle, soybeans and corn in Mato Grosso. The VECM-Vector Error Correction Model showed that SELIC rate only impacts on soybean prices and that Ibovespa Index does not significantly affects the price of corn. The variance decomposition of forecast errors showed that the soy market suffers the greatest influence among the other markets, and particularly the corn one. The impulse response analysis, IRF, showed that in general beef's price responds negatively to shocks on corn and soybean prices while corn and soybeans react positive and reciprocally..
espanolEn este articulo se considera las estrategias de reduccion de la pobreza desde una perspec... more espanolEn este articulo se considera las estrategias de reduccion de la pobreza desde una perspectiva del mercado laboral tomando como referencia los viveros de empresa. De esta forma se quiere lograr el desplazamiento de la economia y los trabajadores de economias informales a formales. En este sentido, el papel del Estado en la economia informal es importante, sobre todo en los aspectos negativos y “positivos” que ello genera. Es indudable que no todos los integrantes y sectores de la economia informal transitan hacia la adherencia asociativa y organizacion de cooperativas, pero una parte de ello si lo han realizado con un exito importante. La puesta en marcha de los viveros de empresa debe de repercutir en el bienestar social de los individuos, ya no solo en la parte economico sino sobre todo en la social EnglishIn this report, the poverty reduction strategy is considered from a labour market perspective with the reference of business incubators centers. That´s considered the way of change from an informal economy to a formal one. In this respect, the role of the state in the informal economy is important, mainly in the negative and “positive” results. There´s no doubt that not all the entities and sectors involved at informal economy pass through the social economy (cooperatives), but some of them have done it with merit. The starting up of business incubators must impact in the social wellbeing, not only in the economical sector but the social
The present paper pretends to deeply study the economic relations among the Latin European countr... more The present paper pretends to deeply study the economic relations among the Latin European countries; with this in mind it uses an econometric methodology based in two main pillars: the VAR models and the Granger causality, to identify, with the first one. the laces that inter-relate the stock exchanges of these countries, and with the second one, if there are one or more stock exchanges that can be classified as motor of the economies; it aims, too, to detect which of the stock exchanges are the more vulnerable or invulnerable.
This paper simultaneously examines day-of-the-week, turn-of-the-month and pre- and post-holidays ... more This paper simultaneously examines day-of-the-week, turn-of-the-month and pre- and post-holidays calendar effects in traded and non-traded daily period returns in a group of broad-index exchange traded funds (ETFs) that track the major US stock indices (S&P 500, DJIA 30, NASDAQ 100 and Russel 2000 index). Bai and Perron (1998, 2003)’s method is employed to examine stability of the significant calendar effects over time and across ETFs. Results exhibit a high instability of the significant calendar effects over the various regimes up until 2001. From 2001 onwards and until the end of 2013, only a single regime across all ETFs is identified. In this last regime, results point to the disappearance of the previous significant effects across the US equity ETFs group. Unstable observed effects could have been motivated by market-specific conditions in such short time periods. The disappearance of these effects from 2001 onwards are consistent with the nature of this asset class: these ETFs are broadly diversified portfolios with diversification of private information, with higher liquidity and lower transactions cost, which is likely to reduce potential calendar effects.
Revista Brasileira de Administração Científica, Nov 30, 2016
Este estudo objetiva avaliar alguns dos principais fatores que influenciam na producao e nos merc... more Este estudo objetiva avaliar alguns dos principais fatores que influenciam na producao e nos mercados de arroz, feijao, milho e trigo, a partir do impacto da integracao internacional das cadeias produtivas. Exigencias supranacionais, associada ao aumento na demanda e qualidade dos alimentos, pressionam o setor produtivo no Brasil, Estados Unidos, Argentina e em alguns paises europeus, como Alemanha, Franca, Espanha, Holanda, Italia e Portugal, expressivos produtores, consumidores, exportadores e/ou importadores destas commodities. Sob estes aspectos, torna-se oportuno conhecer alguns dos principais condicionantes, bem como, provaveis impactos sobre a agricultura, setor chave para a seguridade alimentar. A ferramenta empregada consiste em um Painel de Dados, no sentido de identificar quais categorias sao responsaveis pelas alteracoes na oferta nestes mercados. Os resultados apontam para a necessidade de politicas moderadas de ajuste de câmbio, incentivo as exportacoes e ao consumo, pois tratam-se dos fatores mais importantes no que se refere a impactos sobre a producao. Ha uma correlacao favoravel destes fatores para com as economias em questao, sendo que variacoes positivas tendem a estimular os setores produtivos avaliados.
DOAJ (DOAJ: Directory of Open Access Journals), Dec 1, 2018
The present study aimed to analyse the transmission of price between cattle, corn and soybeans ma... more The present study aimed to analyse the transmission of price between cattle, corn and soybeans markets in Mato Grosso, Brazil, in the period January/2012 to December/2015, based on a time series analysis. The application of unit root tests (Augmented Dickey-Fuller - ADF) showed evidence that the series are non-stationary in levels but are stationery in first differences. The Johansen cointegration test showed evidence in favour of the existence of a long-term relationship between prices on the spot markets of live cattle, soybeans and corn in Mato Grosso. The VECM-Vector Error Correction Model showed that SELIC rate only impacts on soybean prices and that Ibovespa Index does not significantly affects the price of corn. The variance decomposition of forecast errors showed that the soy market suffers the greatest influence among the other markets, and particularly the corn one. The impulse response analysis, IRF, showed that in general beef's price responds negatively to shocks on corn and soybean prices while corn and soybeans react positive and reciprocally..
espanolEn este articulo se considera las estrategias de reduccion de la pobreza desde una perspec... more espanolEn este articulo se considera las estrategias de reduccion de la pobreza desde una perspectiva del mercado laboral tomando como referencia los viveros de empresa. De esta forma se quiere lograr el desplazamiento de la economia y los trabajadores de economias informales a formales. En este sentido, el papel del Estado en la economia informal es importante, sobre todo en los aspectos negativos y “positivos” que ello genera. Es indudable que no todos los integrantes y sectores de la economia informal transitan hacia la adherencia asociativa y organizacion de cooperativas, pero una parte de ello si lo han realizado con un exito importante. La puesta en marcha de los viveros de empresa debe de repercutir en el bienestar social de los individuos, ya no solo en la parte economico sino sobre todo en la social EnglishIn this report, the poverty reduction strategy is considered from a labour market perspective with the reference of business incubators centers. That´s considered the way of change from an informal economy to a formal one. In this respect, the role of the state in the informal economy is important, mainly in the negative and “positive” results. There´s no doubt that not all the entities and sectors involved at informal economy pass through the social economy (cooperatives), but some of them have done it with merit. The starting up of business incubators must impact in the social wellbeing, not only in the economical sector but the social
The present paper pretends to deeply study the economic relations among the Latin European countr... more The present paper pretends to deeply study the economic relations among the Latin European countries; with this in mind it uses an econometric methodology based in two main pillars: the VAR models and the Granger causality, to identify, with the first one. the laces that inter-relate the stock exchanges of these countries, and with the second one, if there are one or more stock exchanges that can be classified as motor of the economies; it aims, too, to detect which of the stock exchanges are the more vulnerable or invulnerable.
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Papers by José Ramos Pires Manso