Microestrutura do Mercado Brasileiro de Ações - Bookswagon
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Microestrutura do Mercado Brasileiro de Ações

Microestrutura do Mercado Brasileiro de Ações


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About the Book

A pesquisa em microestrutura de mercado tem suas próprias técnicas, que foram desenvolvidas para o uso dos dados da NYSE. Como esta área de pesquisa considera as regras específicas de mercado, as diferenças nos mecanismos de negociação da NYSE, em relação à Bovespa, podem tornar inadequadas para estudo no mercado brasileiro as técnicas desenvolvidas para o mercado americano. Assim sendo, as técnicas existentes precisam ser testadas e, se for o caso, novas técnicas ou adaptações precisam ser sugeridas. Esta tese, em seu primeiro ensaio, avalia o desempenho da técnica do tick test na identificação de uma transação como compra ou venda a fim de orientar os futuros pesquisadores que se propuserem a estudar a microestrutura do mercado de ações brasileiro. O segundo ensaio mede a probabilidade de ocorrência de transações baseadas em informação (PIN) das ações listadas nos diferentes nívei de governança da Bovespa. Os resultados confirmam a hipótese de que níveis mais altos de governança apresentam menor PIN. Adicionalmente, classes de listagens mais líquidas apresentaram PIN menor do que as menos líquidas devido, sobretudo, à maior presença de investidores não-informados.


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Product Details
  • ISBN-13: 9783841712288
  • Publisher: Novas Edicoes Academicas
  • Binding: Paperback
  • Language: Portuguese
  • Returnable: N
  • Spine Width: 5 mm
  • Width: 152 mm
  • ISBN-10: 3841712282
  • Publisher Date: 11 Nov 2015
  • Height: 229 mm
  • No of Pages: 76
  • Series Title: Portuguese
  • Weight: 172 gr


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