Fculdde de Econom d Unversdde de Combr Grupo de Estudos Monetáros e Fnnceros (GEMF) Av. Ds d Slv, 65 3004-52 COIMBRA, PORTUGAL gemf@fe.uc.pt http://gemf.fe.uc.pt JOSÉ A. SOARES DA FONSECA The performnce of the Europen Stock Mrkets: tme-vryng Shrpe rto pproch ESTUDOS DO GEMF N.º 6 2009 PUBLICAÇÃO CO-FINANCIADA PELA FUNDAÇÃO PARA A CIÊNCIA E TECNOLOGIA Impresso n Secção de Textos d FEUC COIMBRA 2009
The performnce of the Europen Stock Mrkets: tme-vryng Shrpe rto pproch José A. Sores d Fonsec Abstrct Ths rtcle studes the performnce of the ntonl stock mrkets of sxteen Europen countres (Austr, Belgum, Denmrk, Fnlnd, Frnce, Germny, Greece, Hollnd, Irelnd, Itly, Norwy, Portugl, Spn, Sweden Swtzerlnd nd Unted Kngdom), usng dly dt coverng the perod between 2nd Jnury 200 nd 30th My 2009. Dly expected returns, nd the condtonl voltlty of ech ndex, were clculted usng model combnng the mrket model nd n mplct long-term relton between the ndex prces. Fnlly, tme-vryng (condtonl) Shrpe rtos were clculted for ech ndex. These were used s the bss for sttstcl comprson of the performnce of the stock ndexes of ths group of countres, throughout dfferent sub perods correspondng to dfferent condtons (of expnson nd depresson) n the stock mrkets. Keywords: expected return, Shrpe rto, mrket model, condtonl voltlty JEL Clssfcton: F36, G5 Introducton Ths pece of reserch nvestgtes the dly excess expected returns from sxteen Europen stock mrkets, nd ther condtonl vrnce, n order to clculte tme-vryng Shrpe rtos, whch re used to mesure the performnce of these stock mrkets between the begnnng of 200 nd the mddle of 2009. The use of these tmevryng rtos llows comprson between performnce n dfferent condtons (of growth nd of contrcton) for ech mrket.
Smultneously, these rtos re lso used to evlute the proxmty of the performnce between these countres under dfferent mrket condtons. The stock mrkets under nlyss, represented by ther ntonl stock ndexes, re Austr, Belgum, Denmrk, Fnlnd, Frnce, Germny, Greece, Hollnd, Irelnd, Itly, Norwy, Portugl, Spn, Sweden, Swtzerlnd nd Unted Kngdom. In order to clculte dly tme-vryng Shrpe rtos for ech mrket, we estmted the dly expected return nd the condtonl voltlty of ech mrket, usng model specfed to nclude both Europen mrket model, nd n mplct long-term relton between the levels of the ntonl nd the Europen ndexes. The estmtons were crred out ssumng the hypothess tht the voltlty of the stock return follows GARCH model from whch the condtonl voltlty cn be obtned. It s the jont predctblty of the expected return nd of the condtonl voltlty tht llows the clculton of the tme vryng Shrpe rtos. The ncluson of n mplct error correcton model n the econometrc procedure enbles us to tke nto consderton methodology of fnncl ntegrton nlyss n whch co-ntegrton methods re used for the emprcl nlyss of stock mrket ntegrton. On the other hnd, the fct tht the Shrpe rtos re clculted for mrket portfolo, s s the cse n ths rtcle, they cn be defned s mrket prces of rsk, n greement wth Lelnd (999) nd Adcock (2007). Ths lso mkes the methodology used n ths rtcle close to sset prcng models. In fct, n the pproch to fnncl mrket ntegrton bsed on the sset prcng models, whch begn wth the semnl rtcle of Solnk(974), fnncl mrket ntegrton s consdered s beng verfed when the sme sset prcng model cn be ppled to group of domestc cptl mrkets. The ntl model of Solnk, whch conssted of world cptl sset prcng model contnng world mrket prce of rsk, ws lter tken further by other uthors, such s Stehle (977) Joron nd Schwrtz (986) to nclude both domestc nd world mrket prce of rsk. The hypothess of 2
mrket effcency contned n cptl sset prcng models hs cused problems n the emprcl nlyss bsed on these models, becuse t s often contrdcted by emprcl results. Ths s one of the resons why, n some more recent reserch, co-ntegrton models hve become populr n the emprcl nlyss of fnncl mrket ntegrton. Contegrton provdes tool for mesurng the nterdependence between domestc stock mrket nd n nterntonl stock mrket both n the long- nd short-terms. Addtonlly, co-ntegrton models lso tke nto ccount the nfluence exerted by lgged chnges of the vrbles over ther current chnges, whch s observed n the cses n whch mrket effcency s bsent. Frst studes on the subject of Europen stock mrket ntegrton usng the co-ntegrton pproch were publshed erly n ths decde. Rngvd (200) nd Mloud (2003) used contegrton methods s tool for evlutng the ntegrton of the Europen stock mrkets n the yers before the lunch of the sngle currency. Other studes, such s those of Ks (992), Arshnpll nd Douks (993), nd Rchrds (995) lso ppled co-ntegrton to evlute the ntegrton of non-europen stock mrkets. The econometrc method used nd the theoretcl bckground for the clculton of the tme vryng Shrpe rtos In ths reserch ech ntonl stock mrket s represented by ts ntonl MSCI (Morgn Stnley Cptl Interntonl) Index, expressed n euros, nd usng dly dt whch covers the perod between st Jnury 200 nd 3 st My 2009, nd comprses 295 observtons of ech ntonl ndex. The Europen Index (MSCI) nd the Europen Overnght Interest Averge (EONIA) re the two other vrbles used n ths reserch, lso usng dly dt nd coverng the sme perod s the others. Pror to econometrcl testng, ech ndex seres ws trnsformed gvng the bse 00 on 2nd Jnury 200 for ll the seres. 3
The logs of these new seres were consequently clculted nd used n the estmtons. The model on whch the estmton of the expected returns for ech of the ntonl ndex s bsed combnes Europen mrket model, nd the long-term relton between the ntonl ndex nd the Europen ndex. The representton of the Europen mrket model s gven by: R = + R + ε () t, Et, t, where R,t nd R E,t re the return of the ntonl portfolo nd the return of the Europen portfolo over perod t respectvely, nd ε,t s the error term, whch hs, by hypothess, zero men. Tkng the opertors of mthemtcl expecttons, the representton of the mrket model becomes: ( ) = + ( ) E R E R t t E (2) where E ( ) t R s the expected return of the domestc portfolo (ndex) over perod t, nd ( ) E R s the expected return of the Europen portfolo t E (ndex) lso over perod t. The ncluson of the long-term relton between the ntonl ndex nd the Europen ndex s bsed on the error correcton model of Engle- Grnger (987). Our tests were conducted usng the logs of the ndex prces, whch, from now on, wll be represented n ths pper by p =. Thus, the error correcton model tkes the followng form: log ( P ) ( ) Δ p = + p p + Δ p + Δ p +ε t, t e, t, 0 Et,, j t, j 2, j Et, j t, j= j= L L (3). whch mens tht the current chnge n the prce log of the ndex t perod t, Δ p t,,s explned by the lgged devton of ts vlue reltve to 4
the long-term relton wth the log of Europen ndex, nd by L lgged chnges of the prce logs of both of the domestc nd the Europen ndexes. As the chnges n the prce logs re the returns of the portfolos, the error correcton model cn tke the followng form: ( ) R = + p φ φ p + R + R +ε t, t e, t, 0 Et,, j t, j 2, j Et, j t j= j= L L (4) In the emprcl nlyss conducted n ths rtcle the hypothess tht the returns of ntonl ndex re determned by twce the nfluence of the mrket model, nd of the error correcton model, s tested. The combnton of both nfluences re gven by the followng: R =ϖ +R t, Et, L L +ϖ + ( p p ) + R + R + ε 2 e, t, 0 Et,, j t, j 2, j Et, j t j= j= (5) where ω nd ω 2 re the weghts, respectvely of the mrket model nd of the error correcton model, n the explnton of the dly return of the ntonl ndex. The followng equton ws ssgned to ths model for econometrcl estmton: L L t, = + Et, + t, + 2 Et, +, j t, j+ 2, j Et, j+εt j= j= (6) R R p p R R As Adcock (2007) notes, t s common prctce to embed the bet (mrket) model n models wth uto-regressve nd/or movng verge terms, whch lso tke n consderton the hypothess of ARCH/GARCH effects. Tht s the cse of the model tested n the present pece of reserch. The mn dvntge of ths econometrcl procedure s tht t mkes evdent, smultneously, nd through the 5
estmtes of the coeffcents, the mportnce of the Europen mrket model n the explnton of the dly returns of ech ntonl ndex, nd the nfluence exerted by the prces or the lgged returns. The hypothess tht the condtonl vrnce follows GARCH model hs lso been consdered n the tests. Thus, the estmton ws mde v mxmum lkelhood procedure. The results of the tests confrmed tht t s dequte to represent the condtonl vrnce for ll the ntonl ndexes under nlyss usng the GARCH(,)model: σ = + ε + σ (7) 2 2 2 t ε, ε t 2, ε t (where σ 2 t s the condtonl vrnce t tme t, nd ε 2 t- s the error term squred). After the estmton, the normlzed resduls (.e. the resduls dvded by the squre root of the condtonl vrnce) were tested for utocorrelton, usng Ljung-Box test, nd for ARCH, usng n F test on the coeffcents of n utoregressve model of the squred normlzed resduls: k 2 2 t bjεt j j= ε = + (8) Both the Ljung-Box test nd the ARCH test were crred out for mxmum of 24 lgs, wth spn of 4 lgs. The results of these two tests determned the choce of the number of lgs n the men equton, nd lso the type nd the order of the GARCH model of the condtonl vrnce. Accordng to the results of these tests, s wll be dscussed n more detl lter, one lg (L=) n the men equton hs been shown to be dequte n lmost ll the cses to elmnte resdul utocorrelton. The only excepton ws the cse of Sweden, n whch t ws necessry to nclude two lgs of the dependent vrble n the men equton n order to elmnte the utocorrelton of the resduls. 6
One of the prmry uses of the expected returns, E( R ) nd of the rsk, σ t,s to clculte the Shrpe rto: S ( ) E R r f = (9) σ where r f s the return of the rsk free sset. The clculton of ths rto llows comprson between the performnces of the stock mrket of country nd the stock mrkets of other countres. Lelnd (999) nd Adcock (2007) defned ths Shrpe rto, when relted to stock mrket, s the mrket prce of rsk. Both Lelnd nd Adcock bsed ther nlyss on the non condtonl CAPM, whch mples tht the mrket prce of rsk s constnt durng the perod coverng the dt used to clculte the expected return nd the rsk. As the emprcl model estmted n the present pece of reserch produces dly tme vryng expected returns E ( ) t R, nd tme-vryng mesure of rsk, the condtonl voltlty σ, t., dly tme vryng Shrpe rto, s shown by the followng expresson: S t, ( ), E R r t f t = (0) σ t, cn lso be clculted for ech ntonl ndex, (the rsk-free nterest rte used n the clculton s the Europen Overnght Interest Averge). The use of stochstc dscount fctor s tool for sset prcng forms the theoretcl bss for the economc nterpretton of the tmevryng Shrpe rto. In non-rbtrge economy wth complete mrkets ll the ssets cn be prced usng the stochstc dscount fctor (or prcng kernel) of the Hrrson nd Kreps (979) type, M t+, whch stsfes the followng condton for ny sset, or portfolo : ( ) Et Mt+ R. t+ = () where R,t+ =log(p,t+ /P,t ) 7
In greement wth the non-rbtrge condton, equton () cn lso be ppled to the rsk-free sset, whch cn, thus, be represented by the nverse of the expectton of the prcng kernel: ( ) r = E M (2) f, t t t+ Developng Equton () n ccordnce wth the rules of the expectton of the product of two rndom vrbles, nd replcng E t (M t+ ) - by r f,t, t cn be concluded tht the excess expected return of the portfolo s proportonl to ts condtonl covrnce wth the prcng kernel,.e: (, + ),, ( +,, + ) E R r = r Cov M R (3) t t f t f t t t t where Cov t s the condtonl covrnce. Dvdng equton (3) by the condtonl stndrd devton of the portfolo, σ,t, t s possble to conclude tht the condtonl Shrpe rto of the portfolo s proportonl to the condtonl correlton between the return of the portfolo nd the prcng kernel: (, ) S = r Corr M R (4) t, f, tσ M, t t t+ t, + where σ M, t s the condtonl stndrd devton of the prcng kernel, nd Corr t s the condtonl correlton between t nd portolo. As Whtelw (994, 997) underlnes, we cn ntutvely conclude tht substntl prt of the vrton of the condtonl Shrpe rto s ttrbutble to vrton n ths condtonl correlton. On the sme lnes s Whtelw, goes the emprcl evdence of Ayd nd Krysnovsky (2008), tht the use of prcng kernel methodology cn esly encompss tme-vryng mesures of performnce. Both the 8
postulte of Whtelw, nd the emprcl evdence of Ayd nd Krysnovsky show the mportnce of clcultng tme-vryng Shrpe rtos s they provde n ndrect wy of obtnng nformton regrdng the condtonl correlton between the return of mrket portfolo nd the stochstc dscount functon (or, n smlr wy, on the condtonl correlton between the return of mrket portfolo nd the vrbles ffectng the stochstc dscount functon). The fnl objectve of ths rtcle s to evlute the co-movement of the condtonl Shrpe rtos of ths group of ntonl ndexes. The use of hstorcl correlton s possble tool for ths objectve. However, t s not sutble for tkng nto ccount the possblty tht the correltons chnge over tme. Thus, t ws used the cross-sectonl dsperson mesure, proposed by Solnk nd Roullet (2000), ntlly to be ppled to stock returns, whch vres nversely wth nstntneous verge correlton, nd so provdes nformton regrdng dynmc correlton. Ths mesure, ppled n ths pper, s represented by the vrnce cross the ntonl ndex Shrpe rtos, nd ws clculted dly. Its representton, referred to ech perod t: 6 ( ) 2, CSDM = S S (5) t t t = where S t s the verge Shrpe rto over perod t. The sttstcl nlyss of the seres of the CSDM, through dfferent subsmples of the perod under nlyss, gves nformton regrdng the nter temporl evoluton of the proxmty of the performnce of the ndexes under nlyss. We cn tke the proxmty of the Shrpe rtos s n ndctor of the degree of ntegrton of the fnncl mrkets. Thus, conductng sttstcl tests on the CSDM over dfferent subsmples, we rrve t conclusons regrdng the evoluton of the ntegrton wthn the group of domestc fnncl mrkets. These tests were conducted on the seres of the CSDM referrng to these 6 countres, nd, seprtely, the sme tests were ppled to the eleven euro re countres. Snce the subsmples consdered n these tests 9
correspond to dfferent phses of the stock mrket, t ws possble to rrve t comprtve nlyss of the ntegrton of these mrkets n phses of both fnncl mrket expnson nd contrcton. The estmton of the expected returns, Shrpe rtos nd nlyss of ts evoluton The results of the estmton of the combned mrket model-error correcton model, nd the GARCH, for ech of the stock ndexes re shown n Tbles I. to I.6. Ech of these refers to one of the ntonl ndexes under study. Ech tble s composed of three seprte prts. In the frst prt, ), the results of the estmton of the men equton nd the GARCH model re represented. These nclude, for ech coeffcent, the estmte, the stndrd error, the T sttstc nd the sgnfcnce level. In the second prt, b), results (the Ch-squred test sttstc nd the sgnfcnce level) of the Ljung-Box tests on the utocorrelton of the resduls re shown. These refer to mxmum of 24 lgs wth spn of 4 lgs. In the thrd prt the tests on the resduls heteroskedstcty (ARCH ), whch consst on the F test sttstc nd (ts level of sgnfcnce) clculted through the estmton of utoregressve models of the squred resduls wth mxmum of 24 lgs nd spn of 4 lgs re gven. The results presented n these tbles show tht, n the explnton of the dly returns of mjor prt of the ntonl ndexes, the mrket model domntes the nfluence exerted by the ntonl nd the Europen ndex vlues, snce, for ll the countres, the coeffcent of the return of the Europen ndex s sgnfcntly dfferent from zero. On the other hnd, n the mjorty of the cses, the coeffcents of the ntonl nd the Europen ndex vlues re not sgnfcntly dfferent from zero. The exceptons to ths rule re the cses of Fnlnd, Frnce, Portugl nd Swtzerlnd. In these cses the sttstcs of the coeffcents of the ntonl, nd the Europen ndexes, led to the rejecton of the 0
null hypothess tht they re not sgnfcntly dfferent from zero. Snce the coeffcents of the ndex vlues contn nformton regrdng the long-term relton between ech ntonl ndex nd the Europen ndex, t cn be tken tht, n the cse of these four countres, the return of ther ntonl stock ndexes s explned both by Europen mrket model nd by the mplct long-term relton between the ntonl ndex nd the Europen ndex. The Germn cse s peculr becuse the coeffcent of the Europen ndex level s sgnfcntly dfferent from zero, whle the opposte stuton s observed wth the coeffcent of the domestc ndex. Accordng to the results of the Ljung-Box test, shown n prt b) of Tbles I. to I.6, nd lso ccordng to the results of the ARCH test, n prt c) of those tbles, there s no utocorrelton nor ARCH effects observed n the resduls of ny of the regressons. As mentoned bove, the second prt of the tests conducted for ths rtcle nvolved the clculton of dly Shrpe rtos for ech ntonl ndex, nd ther sttstcl nlyss, both over the totl perod of nlyss, nd over dfferent subsmples. The totl perod, between st Jnury 200 nd 3st My 2009, ws broken down nto four subsmples: ) between st Jnury 200 nd 3st December 2002, 2) between st Jnury 2003 nd 3st December 2004, 3) between st Jnury 2005 nd 3st December 2006, nd 4) between st Jnury 2007 nd 3st My 2009. Durng the frst nd fourth subsmples phses of mrket contrcton were predomnnt, whle durng the second nd the thrd perods the fnncl mrkets predomnntly went through phses of growth (Ths s llustrted n Fgure, where the seres of the Europen ndex s gven). The mn sttstcs on the tmevryng Shrpe rto of ech country, reltve to the entre perod nd to the four subsmples re presented t the Tble II. In generl, the verge of the tme-vryng Shrpe rtos s postve n the subsmples durng whch the stock mrkets predomnntly experenced phses of growth. On the contrry, n the subsmples durng whch the decrese n prces ws domnnt, the verge of the condtonl Shrpe rto s
negtve. The Shrpe rto s negtve when the ndex expected return s less thn the rsk-free nterest rte. Ths stuton s not necessrly precluded by the equlbrum stuton n the stock mrket, f, s Boudoukh, Rchrdson nd Whtelw (997) found, there s nonlner relton between the equty rsk premum nd the slope of the term structure of nterest rtes. These sttstcs (men, stndrd error nd level of sgnfcnce) re complemented by test for equlty cross the subsmples. The results of ths test represented by the Ch-squred sttstcs nd the respectve level of sgnfcnce, presented together wth the other results of ech ntonl ndex, confrm tht the behvour of the Shrpe rtos ws not equl cross subsmples. The ex-post Shrpe rto,: S EP = T t= μ ( Rt, rf, t) T μ 2 (4) where t= μ = T ( Rt, rf, t) T nd T s the number of observtons, ws clculted for the whole smple, nd for the subsmples. The ex-post Shrpe rto hs, n every cse, the sme sgn s the verge condtonl Shrpe rto, s t s lso shown n Tble II. The sttstcs regrdng the seres of the cross secton dsperson mesure (CSDM) of the condtonl Shrpe rtos, between the 6 ntonl stock ndexes under nlyss, re gven n Tble III. These sttstcs were clculted for the entre perod s well s for the four subsmples referred to prevously. These sttstcs (men, stndrd error nd level of sgnfcnce) were lso complemented wth test for equlty cross the subsmples. The results of ths test, represented by the Ch-squred sttstcs nd the respectve level of sgnfcnce, re 2
lso gven n Tble III. The verge CSDM shows the lowest verge vlue n the subsmple reltng to 2003-2004, whch ws domnted by perods of growth n the stock mrkets, nd the hghest verge vlue n the lst subsmple, reltng to 2007-2009, whch mostly corresponds to the perod followng the 2007 fnncl crses. Fgure II shows the CSDM seres nd llustrtes these conclusons. The fct tht n ncrese n the CSDM ws prtculrly notble durng the perod followng the 2007 crses suggests tht there ws n ntensve ncrese n domestc bs fter the crses, whch s, qute probbly, one of the mn cuses of the reduced degree of ntegrton. The CSDM ws lso clculted for the Shrpe rtos of the eleven EMU member countres (Austr, Belgum, Fnlnd, Frnce, Germny, Greece, Hollnd, Irelnd, Itly, Portugl nd Spn) nd the sttstcl tests, whch re gven n Tble IV nd llustrted grphclly n Fgure III, led to conclusons smlr to those obtned for the complete group of sxteen countres. The verge CSDM, observed over the lst subsmple ws remrkbly hgher thn those observed over the other subsmples. Ths result cn be nterpreted s menng tht, even wthn the stock mrkets of the EMU members, the 2007 crses cused reducton n ther degree of ntegrton. Conclusons The emprcl nlyss conducted n ths rtcle shows tht tmevryng Shrpe rtos re n dequte tool for comprtve nlyss of the performnce of dfferent stock mrkets, nd lso tht they help us to hve perspectve on the dynmcs of ther ntegrton. To clculte the tme-vryng Shrpe rtos for sxteen Europen stock ndexes, the condtonl men nd the condtonl voltlty of the ndexes were estmted by model whose specfcton combned the mrket model nd the nfluence of the long-term relton between ech ntonl ndex nd the Europen ndex. The results of these estmtons showed tht the mrket model component s domnnt, obscurng the 3
nfluence of the mplct long-term relton between the ntonl nd the Europen ndex n lmost ll cses. The exceptons to ths rule were the cses of Fnlnd, Frnce, Portugl nd Swtzerlnd, n whch, there ws evdence of the explntory power of the ndex levels. The sttstcl nlyss of the condtonl Shrpe rtos showed tht they present, on verge, cler dfferences between the growth phses (durng whch hgher performnce ws observed) nd the depresson phses of the stock mrket (durng whch lower performnce domnted). Fnlly, the clculton of cross dsperson mesure, both cross the group of sxteen countres nd cross the EMU members only, showed tht the dsperson of the performnce experenced much more sgnfcnt ncrese over the perod followng the 2007 crss thn tht observed n the yers precedng t. Ths result cn be nterpreted s evdence tht the 2007 crss cused negtve brek n the process of ntegrton between the mrkets under nlyss. References Adcock. C. (2007), Mesurng portfolo performnce usng modfed mesure of rsk, Journl of Asset Mngement, Vol. 7, 388-403. Ayd, M. nd Krysnovsky, L. (2008), Portfolo performnce sensvty for vrous sset, C prcng kernels, Computers & Opertons Reserch, 35, pp 7-85. Arshnpll, B. nd Douks, J. (993), Interntonl stock mrket lnkges: Evdence from the pre- nd post-october 987 perod, Journl of Bnkng nd Fnnce, 7, pp.93-208. Boudoukh,J., Rchrdson, M. And Whtelw (997), Nonlnertes n the Relton Between the Equty Rsk Premum nd the Term Structure, Mngement Scence, 43, pp.37-385. Engle, R. nd Grnger, C. (987), Contegrton nd Error-Correcton: Representton, Estmton nd Testng, Econometrc, Nº 55, pp. 25-276. 4
Hrrson, M. nd Kreps, D. (979), Mrtngles nd Arbtrge n Multperod Secutty Mrkets, Journl of Economc Theory, 20, 38-408. Joron, P. nd Schwrtz, E. (986), Integrton versus Segmentton n the Cndn Stock Mrket, The Journl of Fnnce, Vol. XLI, Nº3, pp.603-66. Ks, K. (992) Common stochstc trends n nterntonl stocks mrkets, Journl of Monetry Economcs, 29, pp 95-24. Lelnd, H. (999) Beyond Men-Vrnce: Performnce Mesurement n Nonsymmetrcl World, Fnncl Anlysts Journl, Jn-Feb.pp. 27-36. Mloud, A. (2003), Interdépendnces entre Plces Fnncères Européennes: une Anlyse en terme de Contégrton et de Cuslté, document de recherche, ATER en Fnnce, Unversté de Rennes. Rngvd, J. (200), Incresng convergence mong Europen stock mrkets? A recursve common stochstc trends nlyss, Economcs Letters, 7, pp.383-389. Rchrds, A. (995), Co movements n ntonl stock mrkets returns: Evdence of predctblty, but not co ntegrton, Journl of Monetry Economcs, 36, pp. 63-654. Stehle, R. (977), An Emprcl Test of the Alterntve Hypothess of Ntonl nd Interntonl Prcng of Rsky Assets, The Journl of Fnnce, Vol. XXXII, Nº2, pp.493-502 Solnk, B. (974), An Equlbrum Model of Interntonl Cptl Mrket, Journl of Economc Theory, Nº 8, pp. 500-524. Solnk, B. nd Roulet, J. (2000), Dsperson s Cross-Sectonl Correlton, Fnncl Anlysts Journl, Jnury-Februry, pp. 54-6 Whtelw, R. (994), Tme Vrtons nd Covrtons n the Expectton nd Voltlty of Stock Mrket Returns, Journl of Fnnce, 49, pp. 55-54. Whtelw, R. (997), Tme-Vryng Shrpe Rtos Mrket Tmng, Workng Pper Unversty of New York. 5
Tble I.: Estmton of the condtonl men return nd condtonl voltlty Austr ) Coeffcents of the condtonl men nd condtonl voltlty Coeff Estmte Std Error T-Stt Sgnf 0.00572730 0.0038320.5095000 0.330978 0.5360000 0.02330000 22.85267000 0.00000000 0.00062654 0.00057490.08983000 0.27578804 2 0.00039888 0.0025950 0.3669000 0.7547554 0.0400000 0.0250000 0.64892000 0.563890 2 0.08460000 0.0230000 3.65682000 0.00025536 GARCH(,) ε 0.0000079 0.00000048 3.78000 0.00020630,ε 0.08800000 0.0250000 7.057000 0.00000000 2,ε 0.89690000 0.0440000 62.44657000 0.00000000 b)the Ljung-Box Qu- Squred Test for Serl Correlton n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level LB(4) 0.769 0.94923 LB(8) 5.35 0.74537 LB(2) 9.6957 0.64264 LB(6) 5.6285 0.4797 LB(20) 7.852 0.5974 LB(24) 8.5478 0.77565 c)f Test of no ARCH vs. ARCH n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level ARCH(4) 0.7593 0.95084 ARCH(8) 0.6435 0.7453 ARCH(2) 0.878 0.63292 ARCH(6) 0.98474 0.47057 ARCH(20) 0.89672 0.5970 ARCH(24) 0.78294 0.76233 6
Tble I.2: Estmton of the condtonl men return nd condtonl voltlty Belgum ) Coeffcents of the condtonl men nd condtonl voltlty Coeff Estmte Std Error T-Stt Sgnf 0.00695860 0.00273020 2.54876000 0.008076 0.8080000 0.0400000 57.7465000 0.00000000 0.0005720 0.0028820 0.82062000 0.486309 2 0.00043997 0.007400 0.25284000 0.80038934 0.040000 0.02600000 0.44087000 0.65930594 2 0.030000 0.02450000.27273000 0.203267 GARCH(.) ε 0.00000063 0.0000003 4.65277000 0.00000328,ε 0.0990000 0.0240000 7.4099000 0.00000000 2,ε 0.90240000 0.060000 77.68092000 0.00000000 b)the Ljung-Box Qu- Squred Test for Serl Correlton n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level LB(4) 3.6698 0.452536 LB(8) 6.03 0.645766 LB(2) 7.7285 0.805969 LB(6) 8.9035 0.97332 LB(20) 3.2755 0.86525 LB(24) 7.6332 0.82043 c)f-test of no ARCH vs. ARCH n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level ARCH(4) 0.88339 0.47298 ARCH(8) 0.72242 0.6790 ARCH(2) 0.6790 0.823 ARCH(6) 0.53542 0.92979 ARCH(20) 0.64304 0.88263 ARCH(24) 0.72967 0.8258 7
Tble I.3: Estmton of the condtonl men return nd condtonl voltlty Denmrk ) Coeffcents of the condtonl men nd condtonl voltlty Coeff Estmte Std Error T-Stt Sgnf 0.0072060 0.00369990 0.46505000 0.6489909 0.66620000 0.0530000 43.43320000 0.00000000 0.00085770 0.00420 0.76978000 0.44436 2 0.0040400 0.007470 0.80365000 0.425996 0.03980000 0.0230000.86475000 0.062266 2 0.330000 0.02070000 5.48065000 0.00000004 GARCH(.) ε 0.00000078 0.00000037 2.0445000 0.0353392,ε 0.0570000 0.0250000 4.3850000 0.00003496 2,ε 0.93930000 0.0520000 6.7397000 0.00000000 b)the Ljung-Box Qu- Squred Test for Serl Correlton n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level LB(4).7903 0.774259 LB(8) 6.8255 0.03979 LB(2) 9.028 0.08829 LB(6) 23.965 0.09344 LB(20) 28.0496 0.0823 LB(24) 3.722 0.48879 c)f-test of no ARCH vs. ARCH n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level ARCH(4) 0.4449 0.77868 ARCH(8) 2.425 0.0347 ARCH(2).66286 0.06883 ARCH(6).45648 0.07 ARCH(20).37645 0.2258 ARCH(24).2237 0.2037 8
Tble I.4: Estmton of the condtonl men return nd condtonl voltlty Fnlnd )Coeffcents of the condtonl men nd condtonl voltlty Coeff Estmte Std Error T-Stt Sgnf 0.00933624 0.005704.63503000 0.020432.340330 0.0243894 52.89595000 0.00000000 0.00769559 0.00242934 3.6777000 0.00536 2 0.00887745 0.00285477 3.0969000 0.0087282 0.035098 0.02347229.34243000 0.7945794 2 0.00008580 0.0338762 0.00253000 0.99797906 GARCH(.) ε 0.00000020 0.00000007 3.05245000 0.00226983,ε 0.00422 0.005380 7.7956000 0.00000000 2,ε 0.98740983 0.0046830 672.48744000 0.00000000 b)the Ljung-Box Qu- Squred Test for Serl Correlton n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level LB(4) 7.476 0.2969 LB(8) 2.906 0.42899 LB(2) 9.956 0.068007 LB(6) 24.0749 0.08788 LB(20) 29.6503 0.075723 LB(24) 3.5268 0.3967 c)f-test of no ARCH vs. ARCH n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level ARCH(4).7003 0.4500 ARCH(8).46346 0.6546 ARCH(2).6444 0.07326 ARCH(6).5508 0.07425 ARCH(20).58776 0.047 ARCH(24).34646 0.29 9
Tble I.5: Estmton of the condtonl men return nd condtonl voltlty Frnce )Coeffcents of the condtonl men nd condtonl voltlty Coeff Estmte Std Error T-Stt Sgnf 0.0000098 0.003694 0.73096000 0.46480359.0663835 0.0069328 53.3243000 0.00000000 0.0077263 0.00322549 2.39534000 0.0660499 2 0.0074974 0.00322533 2.32279000 0.0209070 0.237878 0.024502 5.3320000 0.00000028 2 0.2880290 0.0264559 4.86859000 0.000002 GARCH(.) ε 0.0000005 0.00000009 5.37402000 0.00000008,ε 0.0598230 0.0050350 5.69554000 0.0000000 2,ε 0.90478290 0.0472628 6.44000000 0.00000000 b)the Ljung-Box Qu- Squred Test for Serl Correlton n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level LB(4) 3.2829 0.5639 LB(8) 2.4467 0.32359 LB(2) 8.6877 0.096348 LB(6) 20.2947 0.20724 LB(20) 2.9339 0.34406 LB(24) 23.336 0.592 c)f-test of no ARCH vs. ARCH n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level ARCH(4) 0.82933 0.50634 ARCH(8).5755 0.2705 ARCH(2).57844 0.09090 ARCH(6).24878 0.22234 ARCH(20).0762 0.36796 ARCH(24) 0.95080 0.53074 20
Tble I.6: Estmton of the condtonl men return nd condtonl voltlty Germny )Coeffcents of the condtonl men nd condtonl voltlty Coeff Estmte Std Error T-Stt Sgnf 0.005076 0.00223699 2.28305000 0.02242723.05635938 0.0098466 96.6674000 0.00000000 0.00220653 0.003970.58549000 0.285399 2 0.00338574 0.0066885 2.02878000 0.04248052 0.05396259 0.02687695 2.00776000 0.04466827 2 0.05453255 0.03055587.78468000 0.0743274 GARCH(.) ε 0.00000086 0.00000029 2.98633000 0.00282344,ε 0.0000027 0.00000020 6.407000 0.00000000 2,ε 0.484245 0.0850584 8.0057000 0.00000000 b)the Ljung-Box Qu- Squred Test for Serl Correlton n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level LB(4) 0.99390 0.9072 LB(8) 4.70020 0.78909 LB(2) 7.33020 0.83504 LB(6) 5.4220 0.49403 LB(20) 20.22740 0.44379 LB(24) 2.63970 0.60076 c)f-test of no ARCH vs. ARCH n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level ARCH(4) 0.24290 0.9403 ARCH(8) 0.56294 0.80892 ARCH(2) 0.59432 0.84845 ARCH(6) 0.94838 0.5222 ARCH(20) 0.92997 0.5484 ARCH(24) 0.857 0.72543 2
Tble I.7: Estmton of the condtonl men return nd condtonl voltlty Greece )Coeffcents of the condtonl men nd condtonl voltlty Coeff Estmte Std Error T-Stt Sgnf 0.004960 0.00606720 0.24585000 0.80579530 0.58040000 0.02000000 29.00457000 0.00000000 0.006850 0.006930 0.99529000 0.3959535 2 0.0024340 0.00286500 0.7482000 0.45438976 0.03890000 0.0240000.874000 0.069547 2 0.07920000 0.02320000 3.4642000 0.00063449 GARCH(.) ε 0.0000023 0.00000074 2.86752000 0.0043709,ε 0.0900000 0.0640000 5.55704000 0.00000003 2,ε 0.8980000 0.0780000 50.4349000 0.00000000 b)the Ljung-Box Qu- Squred Test for Serl Correlton n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level LB(4).4560 0.886972 LB(8).94670 0.982603 LB(2) 2.43920 0.998374 LB(6).99000 0.74467 LB(20) 5.54660 0.744323 LB(24) 6.04580 0.88646 c)f-test of no ARCH vs. ARCH n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level ARCH(4) 0.2766 0.8932 ARCH(8) 0.22604 0.98629 ARCH(2) 0.8073 0.99909 ARCH(6) 0.73093 0.76428 ARCH(20) 0.70246 0.82733 ARCH(24) 0.59406 0.93999 22
Tble I.8: Estmton of the condtonl men return nd condtonl voltlty Hollnd )Coeffcents of the condtonl men nd condtonl voltlty Coeff Estmte Std Error T-Stt Sgnf 0.00326882 0.00223329.46368000 0.4328207.0445467 0.0046889 96.9086000 0.00000000 0.0022960 0.0056692.46530000 0.428398 2 0.00295345 0.0067595.76225000 0.07802640 0.02834799 0.0227554.24578000 0.228438 2 0.04265660 0.0252877.68685000 0.096399 GARCH(.) ε 0.00000074 0.0000004 5.2097000 0.00000030,ε 0.06577327 0.000772 6.53049000 0.00000000 2,ε 0.90972542 0.0304535 69.73559000 0.00000000 b) The Ljung-Box Qu- Squred Test for Serl Correlton n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level LB(4) 2.5942 0.62786 LB(8) 5.467 0.70728 LB(2) 7.52 0.8234 LB(6) 8.3952 0.93622 LB(20) 9.9656 0.96879 LB(24).8580 0.9846 c) F Test of no ARCH vs. ARCH n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level ARCH(4) 0.65203 0.62545 ARCH(8) 0.69795 0.69370 ARCH(2) 0.6800 0.82862 ARCH(6) 0.545 0.9429 ARCH(20) 0.48298 0.97363 ARCH(24) 0.474 0.98580 23
Tble I.9: Estmton of the condtonl men return nd condtonl voltlty Irelnd )Coeffcents of the condtonl men nd condtonl voltlty Coeff Estmte Std Error T-Stt Sgnf 0,00425530 0,0042840 0,99329000 0,32056772 0,72050000 0,02000000 36,0862000 0,00000000 0,00005093 0,0097820 0,02575000 0,97946004 2 0,00089682 0,0024460 0,36663000 0,7389358 0,02300000 0,02340000 0,98343000 0,32539356 2 0,08790000 0,02500000 3,5527000 0,0004393 GARCH(.) ε 0,00000286 0,00000073 3,9252000 0,0000934,ε 0,060000 0,0680000 6,03300000 0,00000000 2,ε 0,88280000 0,0890000 46,79823000 0,00000000 b)the Ljung-Box Qu- Squred Test for Serl Correlton n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level LB(4) 2,05830 0,72504 LB(8) 5,6380 0,68769 LB(2),02800 0,52652 LB(6),7890 0,76309 LB(20) 9,33420 0,5002 LB(24) 20,78360 0,6546 c)f-test of no ARCH vs. ARCH n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level ARCH(4) 0.536 0.72608 ARCH(8) 0.69798 0.69367 ARCH(2) 0.9040 0.54206 ARCH(6) 0.73634 0.75847 ARCH(20) 0.96306 0.50526 ARCH(24) 0.85399 0.66785 24
Tble I.0: Estmton of the condtonl men return nd condtonl voltlty Itly ) Coeffcents of the condtonl men nd condtonl voltlty Coeff Estmte Std Error T-Stt Sgnf 0.0043680 0.0027330.98627000 0.04700354 0.85660000 0.00944520 90.69043000 0.00000000 0.0064880 0.0059250.03540000 0.30048237 2 0.00064822 0.0050790 0.42987000 0.66728930 0.00820200 0.02460000 0.3338000 0.73899502 2 0.0085660 0.02330000 0.3660000 0.743557 GARCH(.) ε 0.0000005 0.0000004 3.55426000 0.00037904,ε 0.06730000 0.0230000 5.48509000 0.00000004 2,ε 0.9680000 0.050000 60.59405000 0.00000000 b) The Ljung Box Qu Squred Test for Serl Correlton n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level LB(4) 2.05600 0.72547 LB(8) 3.78790 0.87573 LB(2).84640 0.45809 LB(6) 3.4740 0.6695 LB(20) 7.380 0.63223 LB(24) 22.62880 0.5479 c) F Test of no ARCH vs. ARCH n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level ARCH(4) 0.5344 0.72587 ARCH(8) 0.46606 0.88059 ARCH(2) 0.96535 0.47997 ARCH(6) 0.78063 0.70930 ARCH(20) 0.84209 0.66293 ARCH(24) 0.89974 0.60338 25
Tble I.: Estmton of the condtonl men return nd condtonl voltlty Norwy ) Coeffcents of the condtonl men nd condtonl voltlty Coeff Estmte Std Error T-Stt Sgnf 0,005860 0,0048940 0,32335000 0,74643383 0,72240000 0,02260000 3,95025000 0,00000000 0,00054342 0,0008550 0,63550000 0,52509976 2 0,002790 0,0066580 0,67708000 0,49835206 0,04000000 0,02240000,78293000 0,0745980 2 0,630000 0,02590000 6,23939000 0,00000000 GARCH(.) ε 0,00000330 0,00000092 3,57426000 0,0003522,ε 0,08650000 0,0320000 6,5487000 0,00000000 2,ε 0,89480000 0,0650000 54,37460000 0,00000000 b)the Ljung-Box Qu- Squred Test for Serl Correlton n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level LB(4),7220 0,88265 LB(8) 4,73520 0,78547 LB(2) 5,47820 0,94007 LB(6) 8,260 0,94544 LB(20) 3,76690 0,842 LB(24) 6,40680 0,87284 c)f-test of no ARCH vs. ARCH n Normlzed Resduls (number of lgs wthn prenthess Test Sttstc Sgnfcnce Level ARCH(4) 0.2909 0.8840 ARCH(8) 0.60072 0.77798 ARCH(2) 0.4703 0.93232 ARCH(6) 0.53773 0.92843 ARCH(20) 0.70383 0.82593 ARCH(24) 0.70734 0.84883 26
Tble I.2: Estmton of the condtonl men return nd condtonl voltlty Portugl ) Coeffcents of the condtonl men nd condtonl voltlty Coeff Estmte Std Error T-Stt Sgnf 0.0032690 0.00290070.245000 0.2607987 0.49900000 0.0320000 37.7432000 0.00000000 0.00760090 0.002420 3.5228000 0.0062002 2 0.00848250 0.00258540 3.28088000 0.0003486 0.06280000 0.0260000 2.90420000 0.0036887 2 0.02220000 0.0680000.3226000 0.86529 GARCH(.) ε 0.0000005 0.00000022 2.3273000 0.02024730,ε 0.05880000 0.0060000 5.54828000 0.00000003 2,ε 0.93520000 0.020000 76.99398000 0.00000000 b) The Ljung Box Qu Squred Test for Serl Correlton n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level LB(4) 3.86790 0.4249 LB(8) 0.7830 0.25274 LB(2) 3.670 0.3570 LB(6) 24.28640 0.08343 LB(20) 32.60080 0.03730 LB(24) 34.7090 0.07295 c) F Test of no ARCH vs. ARCH n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level ARCH(4) 0.94552 0.43652 ARCH(8).33206 0.22262 ARCH(2).2704 0.33284 ARCH(6).45472 0.0782 ARCH(20).52030 0.06484 ARCH(24).36660 0.09 27
Tble I.3: Estmton of the condtonl men return nd condtonl voltlty Spn ) Coeffcents of the condtonl men nd condtonl voltlty Coeff Estmte Std Error T-Stt Sgnf 0.006230 0.00239600 0.48509000 0.6276464 0.95980000 0.000000 86.9478000 0.00000000 0.00340 0.0002760.08347000 0.2786033 2 0.00096242 0.0027760 0.75330000 0.452704 0.04890000 0.02590000.88592000 0.05930604 2 0.05720000 0.02650000 2.5454000 0.039793 GARCH(.) ε 0.00000045 0.0000002 3.65950000 0.00025270,ε 0.05730000 0.0050000 5.4743000 0.00000004 2,ε 0.93200000 0.090000 78.52230000 0.00000000 b) The Ljung Box Qu Squred Test for Serl Correlton n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level LB(4) 3.90480 0.4904 LB(8) 0.0820 0.25937 LB(2) 5.24790 0.2286 LB(6) 9.00 0.26809 LB(20) 26.76900 0.489 LB(24) 28.77460 0.22873 c)f-test of no ARCH vs. ARCH n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level ARCH(4) 0.96857 0.4235 ARCH(8).26886 0.25525 ARCH(2).27292 0.22770 ARCH(6).563 0.30058 ARCH(20).28409 0.785 ARCH(24).4269 0.28660 28
Tble I.4: Estmton of the condtonl men return nd condtonl voltlty Sweden ) Coeffcents of the condtonl men nd condtonl voltlty Coeff Estmte Std Error T-Stt Sgnf 0.002538 0.00493473 0.24629000 0.80545686.693257 0.0782879 62.64770000 0.00000000 0.0050755 0.00223429 2.2765000 0.0230792 2 0.0054422 0.003505.74675000 0.08067997, 0.033529 0.02209709.477000 0.5643382,2 0.020785 0.027387.6546000 0.09809527 2 0.0050070 0.029220 3.43933000 0.0005836 GARCH(.) ε 0.00000065 0.00000027 2.35483000 0.085325,ε 0.03230886 0.00850062 3.80077000 0.0004425 2,ε 0.9604602 0.0066594 90.0493000 0.00000000 b) The Ljung Box Qu Squred Test for Serl Correlton n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level LB(4) 6.604 0.585 LB(8) 3.8824 0.08488 LB(2) 7.8977 0.883 LB(6) 2.749 0.548 LB(20) 27.2499 0.2838 LB(24) 29.0949 0.2658 c) F Test of no ARCH vs. ARCH n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level ARCH(4).6583 0.5700 ARCH(8).90722 0.05490 ARCH(2).65973 0.06955 ARCH(6).43682 0.530 ARCH(20).4323 0.09652 ARCH(24).22683 0.20568 29
Tble I.5: Estmton of the condtonl men return nd condtonl voltlty Swtzerlnd ) Coeffcents of the condtonl men nd condtonl voltlty Coeff Estmte Std Error T-Stt Sgnf 0,00576680 0,00253750 2,27267000 0,0230469 0,75950000 0,0090000 69,69342000 0,00000000 0,0068450 0,0027280 3,4867000 0,006403 2 0,00564370 0,00202370 2,78884000 0,00528964 0,07540000 0,02300000 3,28208000 0,0003043 2 0,09690000 0,0200000 4,62025000 0,00000383 GARCH(.) ε 0,00000086 0,00000029 2,98633000 0,00282344,ε 0,0890000 0,0620000 5,05588000 0,00000043 2,ε 0,8960000 0,0240000 4,96684000 0,00000000 b) The Ljung Box Qu Squred Test for Serl Correlton n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level LB(4) 7,0595 0,3278 LB(8) 2,9620 0,37 LB(2) 6,2472 0,807 LB(6) 20,970 0,7966 LB(20) 23,3852 0,27028 LB(24) 26,00 0,353 c)f-test of no ARCH vs. ARCH n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level ARCH(4).7359 0.393 ARCH(8).58688 0.235 ARCH(2).3269 0.9872 ARCH(6).2235 0.24278 ARCH(20).04627 0.40237 ARCH(24) 0.9708 0.5022 30
Tble I.6: Estmton of the condtonl men return nd condtonl voltlty Unted Kngdom ) Coeffcents of the condtonl men nd condtonl voltlty Coeff Estmte Std Error T-Stt Sgnf 0.00288720 0.0023280.24837000 0.289393 0.98020000 0.0084430 6.4927000 0.00000000 0.0023040 0.0092380.9768000 0.2304055 2 0.0062940 0.0060230.0692000 0.3099275 0.70000 0.02560000 4.36337000 0.000028 2 0.0830000 0.02650000 3.486000 0.0067879 GARCH(.) ε 0.00000026 0.00000009 2.7898000 0.00540280,ε 0.07090000 0.0590000 4.47269000 0.00000772 2,ε 0.9980000 0.0720000 53.52706000 0.00000000 b) The Ljung Box Qu Squred Test for Serl Correlton n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level LB(4) 6.950 0.8530 LB(8) 9.40680 0.3095 LB(2) 3.83480 0.338 LB(6) 22.880 0.3722 LB(20) 24.63580 0.2572 LB(24) 29.06040 0.2787 c) F Test of no ARCH vs. ARCH n Normlzed Resduls (number of lgs wthn prenthess) Test Sttstc Sgnfcnce Level ARCH(4).50043 0.9942 ARCH(8).08780 0.36849 ARCH(2).02096 0.4269 ARCH(6).24674 0.22382 ARCH(20).3522 0.30478 ARCH(24).2395 0.30708 3
Tble II Sttstcs on the Shrpe rtos Sttstcs on the Condtonl Shrpe Rto AUSTRIA SUB-SAMPLE MEAN STD ERROR SIG LEVEL 200-2009 0.06304 0.6574 0.0000 200-2002 0.0826 0.82904 0.6642 2003-2004 0.3459 0.65486 0.00000 2005-2006 0.664 0.49503 0.00000 2007-2009 -0.00830 0.60436 0.73086 Test for equlty cross the subsmples: Ch-Squred(4)= 3.675877 wth Sgnfcnce Level 0.0084047 BELGIUM SUB-SAMPLE MEAN STD ERROR SIG LEVEL 200-2009 0.046.3764 0.569 200-2002 -0.0882.45462 0.2006 2003-2004 0.643.3084 0.0053 2005-2006 0.4597.32747 0.0246 2007-2009 -0.04782.39329 0.39008 Test for equlty cross the subsmples: Ch-Squred(4)= 38.73376 wth Sgnfcnce Level 0.00000008 DENMARK SUB-SAMPLE MEAN STD ERROR SIG LEVEL 200-2009 0.02383 0.93667 0.23355 200-2002 -0.04979.0034 0.25923 2003-2004 0.07672 0.90266 0.05338 2005-2006 0.25 0.69497 0.00005 2007-2009 -0.04758.06525 0.26346 Test for equlty cross the subsmples: Ch-Squred(4)= 8.384682 wth Sgnfcnce Level 0.0003775 FINLAND SUB-SAMPLE MEAN STD ERROR SIG LEVEL 200-2009 -0.03852.9238 0.3049 200-2002 -0.278 0.85449 0.00279 2003-2004 -0.0208 0.77649 0.7236 2005-2006 0.3342 0.97435 0.0089 2007-2009 -0.460.7470 0.03605 Test for equlty cross the subsmples: Ch-Squred(4)= 3.95794 wth Sgnfcnce Level 0.0000095 FRANCE SUB-SAMPLE MEAN STD ERROR SIG LEVEL 200-2009 -0.05269 3.62067 0.49560 200-2002 -0.24666 3.63305 0.2290 2003-2004 0.5747 2.8363 0.20577 2005-2006 0.20669 2.77706 0.09026 2007-2009 -0.29340 4.65362 0.46 Test for equlty cross the subsmples: Ch-Squred(4)= 77.228993 wth Sgnfcnce Level 0.00000000 GERMANY SUB-SAMPLE MEAN STD ERROR SIG LEVEL 200-2009 -0.02929 2.29488 0.5503 200-2002 -0.2987 2.02937 0.0399 2003-2004 0.0620.63600 0.38823 2005-2006 0.25650 2.09466 0.00542 2007-2009 -0.894 3.0034 0.500 Test for equlty cross the subsmples: Ch-Squred(4)= 96.548386 wth Sgnfcnce Level 0.00000000 GREECE SUB-SAMPLE MEAN STD ERROR SIG LEVEL 200-2009 0.0200 0.63696 0.2276 200-2002 -0.0445 0.76038 0.66556 2003-2004 0.06599 0.56957 0.00855 2005-2006 0.0723 0.46660 0.00054 2007-2009 -0.03276 0.6920 0.23602 Test for equlty cross the subsmples: Ch-Squred(4)= 9.044960 wth Sgnfcnce Level 0.05998547 Ex Post Shrpe Rto -0.00057-0.0780 0.5236 0.09525-0.06620-0.02934-0.05760 0.0553 0.08493-0.08765-0.00252-0.07739 0.06995 0.367-0.0335-0.0259-0.05277-0.0385 0.0589-0.03560-0.02079-0.0659 0.02334 0.07833-0.04736-0.0750-0.07744 0.0397 0.07662-0.04063-0.02004-0.0970 0.09052 0.07690-0.0576 32
Tble II (Cont.) Sttstcs on the Condtonl Shrpe Rto HOLLAND SUB-SAMPLE MEAN STD ERROR SIG LEVEL 200-2009 -0.05062 2.27754 0.29804 200-2002 -0.2636 2.37994 0.0200 2003-2004 0.0752.99905 0.8486 2005-2006 0.8879.89466 0.02348 2007-2009 -0.3985 2.65073 0.8660 Test for equlty cross the subsmples: Ch-Squred(4)= 03.285507 wth Sgnfcnce Level 0.00000000 IRELAND SUB-SAMPLE MEAN STD ERROR SIG LEVEL 200-2009 -0.00260 0.80509 0.87998 200-2002 -0.09786.00975 0.02784 2003-2004 0.05263 0.78326 0.2645 2005-2006 0.08096 0.70307 0.00890 2007-2009 -0.04395 0.6948 0.307 Test for equlty cross the subsmples: Ch-Squred(4)= 7.774 wth Sgnfcnce Level 0.0078993 ITALY SUB-SAMPLE MEAN STD ERROR SIG LEVEL 200-2009 -0.04409.97730 0.29649 200-2002 -0.7488 2.0053 0.04769 2003-2004 0.0647.80998 0.4968 2005-2006 0.0045.6425 0.6343 2007-2009 -0.5432 2.30454 0.09383 Test for equlty cross the subsmples: Ch-Squred(4)= 66.33349 wth Sgnfcnce Level 0.00000000 NORWAY SUB-SAMPLE MEAN STD ERROR SIG LEVEL 200-2009 0.0406 0.75575 0.093 200-2002 -0.0872.04438 0.68348 2003-2004 0.0884 0.7227 0.000 2005-2006 0.036 0.45790 0.00000 2007-2009 -0.00082 0.6954 0.9766 Test for equlty cross the subsmples: Ch-Squred(4)= 9.938038 wth Sgnfcnce Level 0.0448445 PORTUGAL SUB-SAMPLE MEAN STD ERROR SIG LEVEL 200-2009 0.0098 0.78909 0.58599 200-2002 -0.0085 0.87996 0.7793 2003-2004 0.0373 0.6525 0.6380 2005-2006 0.279 0.68606 0.00003 2007-2009 -0.0796 0.87795 0.02340 Test for equlty cross the subsmples: Ch-Squred(4)= 6.49283 wth Sgnfcnce Level 0.0025059 SPAIN SUB-SAMPLE MEAN STD ERROR SIG LEVEL 200-2009 0.0099.93966 0.8096 200-2002 -0.057.7507 0.6997 2003-2004 0.323.77975 0.4783 2005-2006 0.8583.84095 0.0274 2007-2009 -0.3306 2.25869 0.4037 Test for equlty cross the subsmples: Ch-Squred(4)= 63.853824 wth Sgnfcnce Level 0.00000000 SWEDEN SUB-SAMPLE MEAN STD ERROR SIG LEVEL 200-2009 0.0004.49984 0.97399 200-2002 -0.0220.35527 0.7297 2003-2004 0.09744.30724 0.09008 2005-2006 0.09306.7084 0.07048 2007-2009 -0.4374.9359 0.0637 Test for equlty cross the subsmples: Ch-Squred(4)= 36.57652 wth Sgnfcnce Level 0.00000022 Ex Post Shrpe Rto -0.02696-0.0660-0.00258 0.0837-0.05270-0.03749-0.06677 0.06489 0.0565-0.08985-0.02853-0.06897 0.04635 0.0600-0.06485-0.0009-0.05524 0.0767 0.06745-0.0323-0.02596-0.09535 0.0597 0.09672-0.06269-0.00566-0.0520 0.05396 0.0293-0.037-0.0487-0.0639 0.06066 0.0707-0.04283 33
Tble II (Cont.) Sttstcs on the Condtonl Shrpe Rto SWITZERLAND SUB-SAMPLE MEAN STD ERROR SIG LEVEL 200-2009 -0.02269.5752 0.5002 200-2002 -0.2652.6464 0.08084 2003-2004 0.0948.3249 0.06034 2005-2006 0.0763.23927 0.8807 2007-2009 -0.3252.90896 0.0824 Test for equlty cross the subsmples: Ch-Squred(4)= 46.794663 wth Sgnfcnce Level 0.00000000 UNITED KINGDOM SUB-SAMPLE MEAN STD ERROR SIG LEVEL 200-2009 -0.06877 2.77699 0.24627 200-2002 -0.26357 2.93487 0.0446 2003-2004 0.08375 2.48447 0.44288 2005-2006 0.496 2.2876 0.2872 2007-2009 -0.9824 3.28943 0.349 Test for equlty cross the subsmples: Ch-Squred(4)= 7.2023 wth Sgnfcnce Level 0.00000000 Ex Post Shrpe Rto -0.0979-0.06672 0.039 0.0564-0.05500-0.02548-0.06066 0.0602 0.0653-0.05242 34
Tble III Sttstcs on the Cross Secton Dsperson Mesure between the Condtonl Shrpe Rtos of the 6 stock ndexes SUB-SAMPLE MEAN STD ERROR SIG LEVEL 200-2009 0.809.8744 0.00000 200-2002 0.7453.20997 0.00000 2003-2004 0.5040 0.8653 0.00000 2005-2006 0.557.3388 0.00000 2007-2009.368 2.92020 0.00000 Test for equlty cross the subsmples: Ch-Squred(4)= 295.674687 wth Sgnfcnce Level 0.00000000 Tble IV Sttstcs on the Cross Secton Dsperson Mesure between the Condtonl Shrpe Rtos of the EMU members stock ndexes SUB-SAMPLE MEAN STD ERROR SIG LEVEL 200-2009 0.90064 2.35 0.00000 200-2002 0.8303.35733 0.00000 2003-2004 0.54376 0.8734 0.00000 2005-2006 0.5547.48043 0.00000 2007-2009.55949 3.3590 0.00000 Test for equlty cross the subsmples: Ch-Squred(4)= 44.279744 wth Sgnfcnce Level 0.00000000 35
36
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ESTUDOS DO G.E.M.F. (Avlble on-lne t http://gemf.fe.uc.pt) 2009-6 The performnce of the Europen Stock Mrkets: tme-vryng Shrpe rto pproch - José A. Sores d Fonsec 2009-5 Exchnge Rte Men Reverson wthn Trget Zone: Evdence from Country on the Perphery of the ERM - Antóno Portugl Durte, João Sous Andrde & Adelde Durte 2009-4 The Extent of Collectve Brgnng nd Workplce Representton: Trnstons between Sttes nd ther Determnnts. A Comprtve Anlyss of Germny nd Gret Brtn - John T. Addson, Alex Bryson, Pulno Texer, André Phnke & Lutz Bellmnn 2009-3 How well the blnce-of- pyments constrnt pproch explns the Portuguese growth performnce. Emprcl evdence for the 965-2008 perod - Mcel Antunes & Els Soukzs 2009-2 Atypcl Work: Who Gets It, nd Where Does It Led? Some U.S. Evdence Usng the NLSY79 - John T. Addson, Chd Cott & Chrstopher J. Surfeld 2009- The PIGS, does the Group Exst? An emprcl mcroeconomc nlyss bsed on the Okun Lw - João Sous Andrde 2009-0 A Polítc Monetár do BCE. Um estrtég orgnl pr estbldde nomnl - João Sous Andrde 2009-09 Wge Dsperson n Prtlly Unonzed Lbor Force - John T. Addson, Rlph W. Bley & W. Stnley Sebert 2009-08 Employment nd exchnge rtes: the role of openness nd technology - Fernndo Alexndre, Pedro Bção, João Cerejer & Mguel Portel 2009-07 Chnnels of trnsmsson of nequlty to growth: A survey of the theory nd evdence from Portuguese perspectve - Adelde Durte & Mrt Smões 2009-06 No Deep Pockets: Some stylzed results on frms' fnncl constrnts - Flpe Slv & Crlos Crrer 2009-05 Aggregte nd sector-specfc exchnge rte ndexes for the Portuguese economy - Fernndo Alexndre, Pedro Bção, João Cerejer & Mguel Portel 2009-04 Rent Seekng t Plnt Level: An Applcton of the Crd-De L Rc Tenure Model to Workers n Germn Works Councls - John T. Addson, Pulno Texer & Thoms Zwck 2009-03 Unobserved Worker Ablty, Frm Heterogenety, nd the Returns to Schoolng nd Trnng - An Sof Lopes & Pulno Texer 2009-02 Worker Drectors: A Germn Product tht Ddn t Export? - John T. Addson & Clus Schnbel 2009-0 Fscl nd Monetry Polces n Keynesn Stock-flow Consstent Model - Edwn Le Heron 2008-08 Unform Prce Mrket nd Behvour Pttern: Wht does the Ibern Electrcty Mrket Pont Out - Vítor Mrques, Isbel Sores & Adelno Fortunto 2008-07 The prtl djustment fctors of FTSE 00 stock ndex nd stock ndex futures: The nformtonl mpct of electronc trdng systems - Helder M. C. V. Sebstão 2008-06 Wter Losses nd Hydrogrphcl Regons Influence on the Cost Structure of the Portuguese Wter Industry - Rt Mrtns, Fernndo Coelho& Adelno Fortunto
Estudos do GEMF 2008-05 The Shdow of Deth: Anlysng the Pre-Ext Productvty of Portuguese Mnufcturng Frms - Crlos Crrer & Pulno Texer 2008-04 A Note on the Determnnts nd Consequences of Outsourcng Usng Germn Dt - John T. Addson, Lutz Bellmnn, André Phnke & Pulno Texer 2008-03 Exchnge Rte nd Interest Rte Voltlty n Trget Zone: The Portuguese Cse - Antóno Portugl Durte, João Sous Andrde & Adelde Durte 2008-02 Tylor-type rules versus optml polcy n Mrkov-swtchng economy - Fernndo Alexndre, Pedro Bção & Vsco Gbrel 2008-0 Entry nd ext s source of ggregte productvty growth n two lterntve technologcl regmes - Crlos Crrer & Pulno Texer 2007-09 Optml monetry polcy wth regme-swtchng exchnge rte n forwrd-lookng model - Fernndo Alexndre, Pedro Bção & John Drffll 2007-08 Estrutur económc, ntensdde energétc e emssões de CO 2 : Um bordgem Input-Output - Luís Cruz & Edurdo Brt 2007-07 The Stblty nd Growth Pct, Fscl Polcy Insttutons, nd Stblzton n Europe - Crlos Fonsec Mrnhero 2007-06 The Consumpton-Welth Rto Under Asymmetrc Adjustment - Vsco J. Gbrel, Fernndo Alexndre & Pedro Bção 2007-05 Europen Integrton nd Externl Sustnblty of the Europen Unon An pplcton of the thess of Feldsten-Horok - João Sous Andrde 2007-04 Um Aplcção d Le de Okun em Portugl - João Sous Andrde 2007-03 Educton nd growth: n ndustry-level nlyss of the Portuguese mnufcturng sector - Mrt Smões & Adelde Durte 2007-02 Levels of educton, growth nd polcy complementrtes - Mrt Smões & Adelde Durte 2007-0 Internl nd Externl Restructurng over the Cycle: A Frm-Bsed Anlyss of Gross Flows nd Productvty Growth n Portugl - Crlos Crrer & Pulno Texer 2006-09 Cost Structure of the Portuguese Wter Industry: Cubc Cost Functon Applcton - Rt Mrtns, Adelno Fortunto & Fernndo Coelho 2006-08 The Impct of Works Councls on Wges - John T. Addson, Pulno Texer & Thoms Zwck 2006-07 Rcrdn Equvlence, Twn Defcts, nd the Feldsten-Horok puzzle n Egypt - Crlos Fonsec Mrnhero 2006-06 L ntégrton des mrchés fnncers - José Sores d Fonsec 2006-05 The Integrton of Europen Stock Mrkets nd Mrket Tmng - José Sores d Fonsec 2006-04 Mobldde do Cptl e Sustentbldde Extern um plcção d tese de F-H Portugl (90-2004) - João Sous Andrde 2006-03 Works Councls, Lbor Productvty nd Plnt Heterogenety: Frst Evdence from Quntle Regressons - Jochm Wgner, Thorsten Schnk, Clus Schnbel & John T. Addson 2006-02 Does the Qulty of Industrl Reltons Mtter for the Mcroeconomy? A Cross-Country Anlyss Usng Strkes Dt - John T. Addson & Pulno Texer
Estudos do GEMF 2006-0 Monte Crlo Estmton of Project Voltlty for Rel Optons Anlyss - Pedro Mnuel Cortesão Godnho 2005-7 On the Stblty of the Welth Effect - Fernndo Alexndre, Pedro Bção & Vsco J. Gbrel 2005-6 Buldng Blocks n the Economcs of Mndtes - John T. Addson, C. R. Brrett & W. S. Sebert 2005-5 Horzontl Dfferentton nd the survvl of Trn nd Coch modes n medum rnge pssenger trnsport, welfre nlyss comprsng economes of scope nd scle - Adelno Fortunto & Dnel Murt 2005-4 Atypcl Work nd Compenston - John T. Addson & Chrstopher J. Surfeld 2005-3 The Demnd for Lbor: An Anlyss Usng Mtched Employer-Employee Dt from the Germn LIAB. Wll the Hgh Unsklled Worker Own-Wge Elstcty Plese Stnd Up? - John T. Addson, Lutz Bellmnn, Thorsten Schnk & Pulno Texer 2005-2 Works Councls n the Producton Process - John T. Addson, Thorsten Schnk, Clus Schnbel & Jochm Wgnerd 2005- Second Order Flter Dstrbuton Approxmtons for Fnncl Tme Seres wth Extreme Outlers - J. Q. Smth & Antóno A. F. Sntos 2005-0 Frm Growth nd Persstence of Chnce: Evdence from Portuguese Mcrodt - Blndn Olver & Adelno Fortunto 2005-09 Resdentl wter demnd under block rtes Portuguese cse study - Rt Mrtns & Adelno Fortunto 2005-08 Poltco-Economc Cuses of Lbor Regulton n the Unted Sttes: Allnces nd Rsng Rvls Costs (nd Sometmes Lowerng One s Own) - John T. Addson 2005-07 Frm Growth nd Lqudty Constrnts: A Dynmc Anlyss - Blndn Olver & Adelno Fortunto 2005-06 The Effect of Works Councls on Employment Chnge - John T. Addson & Pulno Texer 2005-05 Le Rôle de l Consommton Publque dns l Crossnce: le cs de l'unon Européenne - João Sous Andrde, Mr Adelde Slv Durte & Clude Berthomeu 2005-04 The Dynmcs of the Growth of Frms: Evdence from the Servces Sector - Blndn Olver & Adelno Fortunto 2005-03 The Determnnts of Frm Performnce: Unons, Works Councls, nd Employee Involvement/Hgh Performnce Work Prctces - John T. Addson 2005-02 Hs the Stblty nd Growth Pct stblsed? Evdence from pnel of 2 Europen countres nd some mplctons for the reform of the Pct - Crlos Fonsec Mrnhero 2005-0 Sustnblty of Portuguese Fscl Polcy n Hstorcl Perspectve - Crlos Fonsec Mrnhero 2004-03 Humn cptl, mechnsms of technologcl dffuson nd the role of technologcl shocks n the speed of dffuson. Evdence from pnel of Medterrnen countres - Mr Adelde Durte & Mrt Smões
Estudos do GEMF 2004-02 Wht Hve We Lerned About The Employment Effects of Severnce Py? Further Itertons of Lzer et l. - John T. Addson & Pulno Texer 2004-0 How the Gold Stndrd Functoned n Portugl: n nlyss of some mcroeconomc spects - Antóno Portugl Durte & João Sous Andrde 2003-07 Testng Gbrt s Lw: Emprcl Evdence from Pnel of Portuguese Mnufcturng Frms - Blndn Olver & Adelno Fortunto 2003-06 Régmes Monétres et Théore Quntttve du Produt Nomnl u Portugl (854-998) - João Sous Andrde 2003-05 Cuss do Atrso n Estblzção d Inflção: Abordgem Teórc e Empírc - Vítor Cstro 2003-04 The Effects of Households nd Frms Borrowng Constrnts on Economc Growth - Mr d Conceção Cost Perer 2003-03 Second Order Flter Dstrbuton Approxmtons for Fnncl Tme Seres wth Extreme Outlers - J. Q. Smth & Antóno A. F. Sntos 2003-02 Output Smoothng n EMU nd OECD: Cn We Forego Government Contrbuton? A rsk shrng pproch - Crlos Fonsec Mrnhero 2003-0 Um modelo VAR pr um Avlção Mcroeconómc de Efetos d Integrção Europe d Econom Portugues - João Sous Andrde 2002-08 Dscrmnton des fcteurs potentels de crossnce et type de convergence de l économe portugse dns l UE à trvers l spécfcton de l foncton de producton mcroéconomque. Une étude pplquée de données de pnel et de séres temporelles - Mrt Smões & Mr Adelde Durte 2002-07 Prvtston n Portugl: employee owners or just hppy employees? -Luís Mour Rmos & Rt Mrtns 2002-06 The Portuguese Money Mrket: An nlyss of the dly sesson - Fátm Teres Sol Murt 2002-05 As teors de cclo polítcos e o cso português - Rodrgo Mrtns 2002-04 Fundos de cções nterncons: um vlção de desempenho - Nuno M. Slv 2002-03 The consstency of optml polcy rules n stochstc rtonl expecttons models - Dvd Bckus & John Drffll 2002-02 The term structure of the spreds between Portuguese nd Germn nterest rtes durng stge II of EMU - José Sores d Fonsec 2002-0 O processo desnflconst português: nálse de lguns custos e benefícos - Antóno Portugl Durte 200-4 Equty prces nd monetry polcy: n overvew wth n explortory model - Fernndo Alexndre & Pedro Bção
Estudos do GEMF 200-3 A convergênc ds txs de juro portuguess pr os níves europeus durnte segund metde d décd de novent - José Sores d Fonsec 200-2 Le rôle de l nvestssement dns l éducton sur l crossnce selon dfférentes spécfctons du cptl humn. - Adelde Durte & Mrt Smões 200- Rcrdn Equvlence: An Emprcl Applcton to the Portuguese Economy - Crlos Fonsec Mrnhero 200-0 A Especfcção d Função de Produção Mcro-Económc em Estudos de Crescmento Económco. - Mr Adelde Durte e Mrt Smões 200-09 Efcác d Análse Técnc no Mercdo Acconst Português - Nuno Slv 200-08 The Rsk Premums n the Portuguese Tresury Blls Interest Rtes: Estmton by contegrton method - José Sores d Fonsec 200-07 Prncps fctores de crescmento d econom portugues no espço europeu - Mr Adelde Durte e Mrt Smões 200-06 Inflton Trgetng nd Exchnge Rte Co-ordnton - Fernndo Alexndre, John Drffll e Fbo Spgnolo 200-05 Lbour Mrket Trnston n Portugl, Spn, nd Polnd: A Comprtve Perspectve - Pulno Texer 200-04 Prdde do Poder de Compr e ds Txs de Juro: Um estudo plcdo três píses d UEM - Antóno Portugl Durte 200-03 Technology, Employment nd Wges - John T. Addson & Pulno Texer 200-02 Humn cptl nvestment through educton nd economc growth. A pnel dt nlyss bsed on group of Ltn Amercn countres - Mr Adelde Durte & Mrt Smões 200-0 Rsk Premums n the Porutguese Tresury Blls Interest Rtes from 990 to 998. An ARCH-M Approch - José Sores d Fonsec 2000-08 Identfcção de Vectores de Contegrção: Análse de Alguns Exemplos - Pedro Mguel Avelno Bção 2000-07 Imunzção e M-qudrdo: Que relção? - Jorge Cunh 2000-06 Efcênc Informconl nos Futuros Lsbor 3M - Nuno M. Slv 2000-05 Estmton of Defult Probbltes Usng Incomplete Contrcts Dt - J. Sntos Slv & J. Murter 2000-04 Un Esse d'applcton de l Théore Quntttve de l Monne à l économe portugse, 854-998 - João Sous Andrde
Estudos do GEMF 2000-03 Le Tux de Chômge Nturel comme un Indcteur de Poltque Economque? Une pplcton à l économe portugse - Adelde Durte & João Sous Andrde 2000-02 L Convergence Réelle Selon l Théore de l Crossnce: Quelles Explctons pour l'unon Européenne? - Mrt Crstn Nunes Smões 2000-0 Polítc de Estblzção e Independênc dos Bncos Centrs - João Sous Andrde 999-09 Not sobre Estmção de Vectores de Contegrção com os Progrms CATS n RATS, PCFIML e EVIEWS - Pedro Mguel Avelno Bção 999-08 A Abertur do Mercdo de Telecomuncções Celulres o Tercero Operdor: Um Decsão Rconl? - Crlos Crrer 999-07 Is Portugl Relly so Arterosclerotc? Results from Cross-Country Anlyss of Lbour Adjustment - John T. Addson & Pulno Texer 999-06 The Effect of Dsmssls Protecton on Employment: More on Vexed Theme - John T. Addson, Pulno Texer e Jen-Luc Grosso 999-05 A Cobertur Estátc e Dnâmc trvés do Contrto de Futuros PSI-20. Estmção ds Rácos e Efcác Ex Post e Ex Ante - Helder Mguel C. V. Sebstão 999-04 Moblzção de Poupnç, Fnncmento e Internconlzção de Crters - João Sous Andrde 999-03 Nturl Resources nd Envronment - Adelde Durte 999-02 L'Anlyse Postve de l Poltque Monétre - Chstn Aubn 999-0 Economs de Escl e de Gm nos Hospts Públcos Portugueses: Um Aplcção d Função de Custo Vrável Trnslog - Crlos Crrer 998- Equlíbro Monetáro no Longo e Curto Przos - Um Aplcção à Econom Portugues - João Sous Andrde 998-0 Algums Observções Sobre o Método d Econom - João Sous Andrde 998-09 Mudnç Tecnológc n Indústr Trnsformdor: Que Tpo de Vés Afnl? - Pulno Texer 998-08 Portfolo Insurnce nd Bond Mngement n Vscek's Term Structure of Interest Rtes - José Alberto Sores d Fonsec 998-07 Fnncl Innovton nd Money Demnd n Portugl: A Prelmnry Study - Pedro Mguel Avelno Bção 998-06 The Stblty Pct nd Portuguese Fscl Polcy: the Applcton of VAR Model - Crlos Fonsec Mrnhero 998-05 A Moed Únc e o Processo de Dfusão d Bse Monetár - José Alberto Sores d Fonsec
Estudos do GEMF 998-04 L Structure pr Termes et l Voltlté des Tux d'ntérêt LISBOR - José Alberto Sores d Fonsec 998-03 Regrs de Comportmento e Reforms Monetárs no Novo SMI - João Sous Andrde 998-02 Um Estudo d Flexbldde dos Sláros: o Cso Espnhol e Português - Adelde Durte e João Sous Andrde 998-0 Moed Únc e Internconlzção: Apresentção do Tem - João Sous Andrde 997-09 Inovção e Aplcções Fnncers em Portugl - Pedro Mguel Avelno Bção 997-08 Estudo do Efeto Lqudez Aplcdo à Econom Portugues - João Sous Andrde 997-07 An Introducton to Condtonl Expecttons nd Sttonrty - Ru Mnuel de Almed 997-06 Defnção de Moed e Efeto Berluscon - João Sous Andrde 997-05 A Estmção do Rsco n Escolh dos Portfólos: Um Vsão Selectv - Antóno Alberto Ferrer dos Sntos 997-04 A Prevsão Não Prmétrc de Txs de Rentbldde - Pedro Mnuel Cortesão Godnho 997-03 Propreddes Assmptótcs de Densddes - Ru Mnuel de Almed 997-02 Co-Integrton nd VAR Anlyss of the Term Structure of Interest Rtes: n emprcl study of the Portuguese money nd bond mrkets -João Sous Andrde & José Sores d Fonsec 997-0 Reprtção e Cptlzção. Dus Modlddes Complementres de Fnncmento ds Reforms - Mr Clr Murter 996-08 A Crse e o Ressurgmento do Sstem Monetáro Europeu - Lus Mnuel de Agur Ds 996-07 Housng Shortge nd Housng Investment n Portugl Prelmnry Vew - Vítor Neves 996-06 Housng, Mortgge Fnnce nd the Brtsh Economy - Kenneth Gbb & Nle Istephn 996-05 The Socl Polcy of The Europen Communty, Reportng Informton to Employees, U.K. perspectve: Hstorcl Anlyss nd Prognoss - Ken Shckleton 996-04 O Teorem d Equvlênc Rcrdn: plcção à econom portugues - Crlos Fonsec Mrnhero 996-03 O Teorem d Equvlênc Rcrdn: dscussão teórc - Crlos Fonsec Mrnhero 996-02 As txs de juro no MMI e Restrção ds Reservs Obrgtórs dos Bncos - Fátm Assunção Sol e José Alberto Sores d Fonsec 996-0 Um Análse de Curto Przo do Consumo, do Produto e dos Sláros - João Sous Andrde