The impact of the 2008 and 2010 financial crises on international stock markets : contagion and long memory

Nesta tese estudamos os efeitos de contágio financeiro e de memória longa causados pelas crises financeiras de 2008 e 2010 em alguns mercados acionistas internacionais. A tese é composta por três ensaios interligados. No Ensaio 1, recorremos à teoria das cópulas para testar a existência de contágio e revelar os canais “investor induced” de transmissão da crise de 2008 aos mercados da Bélgica, França, Holanda e Portugal (grupo NYSE Euronext). Concluímos que existe contágio nestes mercados, que o canal “portfolio rebalancing” é o mecanismo mais importante de transmissão da crise, e que o fenómeno “flight to quality” está presente nos mercados. No Ensaio 2, usando novamente modelos de cópulas, avaliamos os efeitos de contágio provocados pelo mercado acionista grego nos mercados do grupo NYSE Euronext, no contexto da crise de 2010. Os resultados obtidos sugerem que durante a crise de 2010 apenas o mercado português foi objeto de contágio; além disso, conclui-se que os efeitos de contágio provocados pela crise de 2008 são claramente superiores aos efeitos provocados pela crise de 2010. No Ensaio 3, abordamos o tema da memória longa através do estudo do expoente de Hurst dos mercados acionistas da Bélgica, E.U.A., França, Grécia, Holanda, Japão, Reino Unido e Portugal. Verificamos que as propriedades de memória longa dos mercados foram afetadas pelas crises, especialmente a de 2008 – que aumentou a memória longa dos mercados e tornou-os mais persistentes. Finalmente, usando cópulas mais uma vez, verificamos que as crises provocaram, em geral, um aumento na correlação entre os expoentes de Hurst locais dos mercados foco das crises (E.U.A. e Grécia) e os expoentes de Hurst locais dos outros mercados da amostra, sugerindo que o expoente de Hurst pode ser utilizado para detetar efeitos de contágio financeiro. Em síntese, os resultados desta tese sugerem que comparativamente com períodos de acalmia, os períodos de crises financeiras tendem a provocar ineficiência nos mercados acionistas e a conduzi-los na direção da persistência e do contágio financeiro.

Long-term memory in financial prices: evidence from the Dutch stock market returns

Prepared for presentation at the Portuguese Finance Network International Conference 2014, Vilamoura, Portugal, June 18-20

Gestão do stock da bandoteca do centro de processamento de dados do BPA - Banco Português do Atlântico

O programa que nos propusemos fazer destina-se à informatização do stock de bandas da bandoteca do Centro Informático do BPA.

Leis de potência em economia e finanças

Nesta dissertação aborda-se a aplicação de Leis de Potência (LPs), também designadas de Leis de Pareto ou Leis de Zipf, a dados económicos. As LPs são distribuições estatísticas amplamente usadas na compreensão de sistemas naturais e artificiais. O aparecimento das LPs deve-se a Vilfredo Pareto que, no século XIX, publicou o manual de economia política,“Cours d’Economie Politique”. Nesse manual refere que grande parte da economia mundial segue uma LP, em que 20% da população reúne 80% da riqueza do país. Esta propriedade carateriza uma variável que segue uma distribuição de Pareto (ou LP). Desde então, as LPs foram aplicadas a outros fenómenos, nomeadamente a ocorrência de palavras em textos, os sobrenomes das pessoas, a variação dos rendimentos pessoais ou de empresas, o número de vítimas de inundações ou tremores de terra, os acessos a sítios da internet, etc. Neste trabalho, é estudado um conjunto de dados relativos às fortunas particulares ou coletivas de pessoas ou organizações. Mais concretamente são analisados dados recolhidos sobre as fortunas das mulheres mais ricas do mundo, dos homens mais ricos no ramo da tecnologia, das famílias mais ricas, das 20 mulheres mais ricas da América, dos 400 homens mais ricos da América, dos homens mais ricos do mundo, dos estabelecimentos mais ricos do mundo, das empresas mais ricas do mundo e dos países mais ricos do mundo, bem como o valor de algumas empresas no mercado de ações. Os resultados obtidos revelam uma boa aproximação de parte desses dados a uma LP simples e uma boa aproximação pelos restantes dados a uma LP dupla. Observa-se, assim, diferenciação na forma de crescimento das fortunas nos diferentes casos estudados. Como trabalho futuro, procurar-se-á analisar estes e outros dados, utilizando outras distribuições estatísticas, como a exponencial ou a lognormal, que possuem comportamentos semelhantes à LP, com o intuito de serem comparados os resultados. Um outro aspeto interessante será o de encontrar a explicação analítica para as vantagens da aproximação de dados económicos por uma LP simples vs por uma LP dupla.

Differentiation of pathogenic and non-pathogenic leptospires by means of the polymerase chain reaction

A polymerase chain reaction was carried out to detect pathogenic leptospires isolated from animals and humans in Argentina. A double set of primers (G1/G2, B64-I/B64-II), described before, were used to amplify by PCR a DNA fragment from serogroups belonging to Leptospira interrogans but did not allow to detect saprophytic strains isolated from soil and water (L. biflexa). This fact represents an advantage since it makes possible the differentiation of pathogenic from non-pathogenic leptospires in cultures. The sensitivity of this assay has been determined, allowing to detect just only 10 leptospires in the reaction tube. Those sets of primers generated either a 285 bp or 360 bp fragment, depending on the pathogenic strain

Strain differentiation of Trichophyton rubrum by random amplification of polymorphic DNA (RAPD)

Trichophyton rubrum is an important cause of dermatomycoses. Molecular strain typing methods have recently been developed to address questions about epidemiology and source of relapse following treatment. This report describes the application of RAPD for molecular strain differentiation of this fungus utilizing the primers 1- (5'-d[GGTGCGGGAA]-3') and 6- (5'-d[CCCGTCAGCA]-3'). A total of five RAPD patterns were observed among 10 strains of T. rubrum, with each of the primers used. We conclude that RAPD analysis using primers 1 and 6 can be used in epidemiological studies.

Multidimensional Scaling Analysis of Stock Market Indexes

This paper applies multidimensional scaling techniques and Fourier transform for visualizing possible time-varying correlations between 25 stock market values. The method is useful for observing clusters of stock markets with similar behavior.

Stock photography: entre memória e esquecimento

Dissertação apresentada para cumprimento dos requisitos necessários à obtenção do grau de Mestre em Ciências da Comunicação, especialização em Comunicação e Artes

Comparison among tomato juice agar with other three media for differentiation of Candida dubliniensis from Candida albicans

The purpose of the present study is to compare the tomato juice agar, a well known medium employed to observe ascospore formation, with niger seed agar, casein agar and sunflower seed agar, applied to a differentiation between C. dubliniensis and C. albicans. After 48 hours of incubation at 30 ºC all 26 (100%) C. dubliniensis isolates tested produced chlamydospores on tomato juice agar as well as in the other three media evaluated. However, when we inoculated all media with C. albicans, the absence of chlamydospores became resulting in the following percents: tomato juice agar (92.47%), niger seed agar (96.7%), casein agar (91.39%), and sunflower seed agar (96.7%). These results indicate that tomato juice agar is another medium which can also be used in the first phenotypic differentiation between C. dubliniensis and C. albicans.

Uncertainty on a Bertrand duopoly with product differentiation

The conclusions of the Bertrand model of competition are substantially altered by the presence of either differentiated goods or asymmetric information about rival’s production costs. In this paper, we consider a Bertrand competition, with differentiated goods. Furthermore, we suppose that each firm has two different technologies, and uses one of them according to a certain probability distribution. The use of either one or the other technology affects the unitary production cost. We show that this game has exactly one Bayesian Nash equilibrium. We do ex-ante and ex-post analyses of firms’ profits and market prices. We prove that the expected profit of each firm increases with the variance of its production costs. We also show that the expected price of each good increases with both expected production costs, being the effect of the expected production costs of the rival dominated by the effect of the own expected production costs.

Aplicação da metodologia DMAIC na redução do stock de bens alimentares. Caso de estudo na Nestlé

Dissertação para obtenção do Grau de Mestre em Engenharia e Gestão Industrial

Differentiation of Candida dubliniensis from Candida albicans with the use of killer toxins

The aim of this study was to report the ability of killer toxins, previously used as biotyping techniques, as a new tool to differentiate C. albicans from C. dubliniensis. The susceptibility of C. albicans and C. dubliniensis to killer toxins ranged from 33.9 to 93.3% and from 6.67 to 93.3%, respectively.

MULTIPLEX SYBR® GREEN-REAL TIME PCR (qPCR) ASSAY FOR THE DETECTION AND DIFFERENTIATION OF Bartonella henselae AND Bartonella clarridgeiae IN CATS

A novel SYBR® green-real time polymerase chain reaction (qPCR) was developed to detect two Bartonellaspecies, B. henselae and B. clarridgeiae, directly from blood samples. The test was used in blood samples obtained from cats living in animal shelters in Southern Brazil. Results were compared with those obtained by conventional PCR targeting Bartonella spp. Among the 47 samples analyzed, eight were positive using the conventional PCR and 12 were positive using qPCR. Importantly, the new qPCR detected the presence of both B. henselae and B. clarridgeiae in two samples. The results show that the qPCR described here may be a reliable tool for the screening and differentiation of two important Bartonella species.

DIFFERENTIATION BETWEEN Nocardia spp. AND Mycobacterium spp.: CRITICAL ASPECTS FOR BACTERIOLOGICAL DIAGNOSIS

New methodologies were developed for the identification of Nocardia but the initial diagnosis still requires a fast and accurate method, mainly due to the similarity to Mycobacterium, both clinical and bacteriologically. Growth on Löwenstein-Jensen (LJ) medium, presence of acid-fast bacilli through Ziehl-Neelsen staining, and colony morphology can be confusing aspects between Nocardia and Mycobacterium. This study describes the occurrence of Nocardia spp. in a mycobacterial-reference laboratory, observing the main difficulties in differentiating Nocardia spp. from Mycobacterium spp., and correlating isolates with nocardiosis cases. Laboratory records for the period between 2008 and 2012 were analyzed, and the isolates identified as Nocardia sp. or as non-acid-fast filamentous bacilli were selected. Epidemiological and bacteriological data were analyzed as well. Thirty-three isolates identified as Nocardia sp. and 22 as non-acid-fast bacilli were selected for this study, and represented 0.12% of isolates during the study period. The presumptive identification was based on macroscopic and microscopic morphology, resistance to lysozyme and restriction profiles using the PRA-hsp65 method. Nocardia spp. can grow on media for mycobacteria isolation (LJ and BBL MGIT™) and microscopy and colony morphology are very similar to some mycobacteria species. Seventeen patients (54.8%) were reported and treated for tuberculosis, but presented signs and symptoms of nocardiosis. It was concluded that the occurrence of Nocardia sp. during the study period was 0.12%. Isolates with characteristics of filamentous bacilli, forming aerial hyphae, with colonies that may be pigmented, rough and without the BstEII digestion pattern in PRA-hsp65 method are suggestive of Nocardia spp. For a mycobacterial routine laboratory, a flow for the presumptive identification of Nocardia is essential, allowing the use of more accurate techniques for the correct identification, proper treatment and better quality of life for patients.

Effect of European Sovereign debt crisis on banks’ stock market performances: application to Portuguese data

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