Trabalho Final de Mestrado
| Ano Lectivo: | 2018/2019 |
|---|---|
| Aluno: | CHI NAM YAU (49539) |
| Mestrado: | Economia Monetária e Financeira |
| Tipo: | Dissertação |
| Título do Trabalho Final de Mestrado: | Economically justified equity investment strategies capable of withstanding growing interest rate environment |
| Sub Título: | |
| Comentário: | - |
| Instituição: | - |
| Homologação: | Dia 04/11/2019 às 20:18 por NUNO JOÃO DE OLIVEIRA VALÉRIO |
Resumo
N/A (Português)
This thesis proposes an approach for selection of stocks that could serve as a natural hedge for fixed income portfolios to minimize rising interest rate risk. The developed approach is applied to the case of US equity markets. Based on macroeconomic analysis, vector autoregressive model and Granger causality tests, and financial analysis, it is concluded that US financial sector is the optimal choice among all sectors that have strong correlations with interest rates. The thesis? results could be useful for interest rate risk management of the investment portfolios under the growing interest rate environment, in particular, and for investment industry professionals. (Inglês)
Palavras-chave
Título, Taxa de juro, vector autoregressive model, Granger causality test (Português)
Stock returns, interest and inflation rates, interest rate risk, vector autoregressive model, Granger causality test (Inglês)
Resumo Alargado
O Resumo Alargado ainda não foi submetido.
Data da Prova Pública
| Data da Prova Pública: | 18-11-2019 10:30 |
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