Papers by Elisabete Duarte
A técnica de seguro da carteira e o problema da volatilidade : um estudo aplicado ao índice PSI-20
Tese de doutoramento em Economia (Desenvolvimento e Politica Economica) apresentada a Fac. de Eco... more Tese de doutoramento em Economia (Desenvolvimento e Politica Economica) apresentada a Fac. de Economia de Coimbra
The Impact of Former US President Donald Trump's Tweets on Financial Markets
Springer proceedings in business and economics, 2023
European Journal of Business and Management Research
A stop-loss order is a method that can be used by investors to limit downside risk and can be exp... more A stop-loss order is a method that can be used by investors to limit downside risk and can be explained by investors’ loss aversion. Loss aversion refers to the widely studied psychological phenomenon where expected losses have a greater impact on the investors’ preferences than expected gains. The use of stop-loss rules allows for this asymmetric profile. The stop loss hypothesis, also, states that higher returns can be obtained by limiting the downside risk of long positions. A stop-loss order can be established at a percentage of the asset value that grows over time as it rises, stopping if the asset value starts to go down (trailing stop-loss order). In this work, it is used trailing stop-loss orders (with a difference to the asset market value of 3%) with long positions in financial markets. After being stopped out in a down market, the re-entry rule is to buy the asset again as soon as the market grows by at least 3%. Whenever the portfolio is sold out by applying the trailing...
A An�lise Da Volatilidade Do Indice PSI-20 Baseada Em Modelos Arch e Garch
Volatility analysis of Portuguese stock market
Volatility plays an important role in financial assets valuation in general, and on options in pa... more Volatility plays an important role in financial assets valuation in general, and on options in particular. That is the reason why there is substantial literature devoted to its specification and measurement. There are four techniques to make volatility estimation: historic volatility - the standard deviation of a stock return; implied volatility - the volatility that, in Black -Scholes option valuation formula, equates theoretical and market value of an option; deterministic volatility - which states that volatility is temporal dependent on variables that are known on the market; Stochastic volatility - here we admit that it is difficult to forecast volatility with past or present information, so volatility is treated as a none observed component of the market. In this article implicit and deterministic volatility in the Portuguese stock market index, are compared. We resort to the bisectional method to extract implicit volatility and to ARCH and GARCH family models to extract deter...
Portfolio insurance is a technique of minimizing financial risk, based on option pricing theory. ... more Portfolio insurance is a technique of minimizing financial risk, based on option pricing theory. In this method, the delta measure of an option price is used to determine the proportions in which the underlying security is combined with a risk-free asset. One important drawback in this technique is the fact that the volatility of the risk assets is often time varying, contrary to what is assumed on most of the current option pricing formulas. As a result, in periods of low volatility, portfolio insurance seems to be very efficient in capturing the gains of rising market prices, while supplies protection against falls in market prices declines. However, when the volatility is high, especially on the downside of the market prices, a divergence from the stated goals tends to occur. This result has already been detected by our research in Portuguese Finance Markets. Because volatility plays an important role in financial assets valuation in general, and in particular in options, there i...
A volatilidade desempenha um papel importante na avaliacao dos activos financeiros, dai que proli... more A volatilidade desempenha um papel importante na avaliacao dos activos financeiros, dai que proliferem na literatura estudos com vista a sua especificacao e medida. Um vasto conjunto de estudos conclui que a analise do melhor previsor da volatilidade deve ser efectuada atendendo as especificidades do mercado financeiro onde se pretende fazer a aplicacao. O objectivo do presente trabalho e, atraves de uma simulacao empirica determinar qual dos metodos de modelacao da volatilidade, a volatilidade historica e a volatilidade implicita, constitui o melhor previsor da volatilidade do indice PSI-20. No que se refere a volatilidade implicita, de forma a evitar alguns erros bastante citados na literatura, a analise da volatilidade implicita e efectuada com dados sobrepostos e nao sobrepostos. A analise da capacidade explicativa das series de volatilidade historica e implicita, efectuadas ao longo do presente trabalho, permitiram antever que nenhuma se apresenta como um estimador eficiente e ...
Objetivos: A liquidez desempenha um papel crucial no bom funcionamento dos mercados financeiros e... more Objetivos: A liquidez desempenha um papel crucial no bom funcionamento dos mercados financeiros e, ao longo dos anos, tem-se assistido a uma preocupacao das empresas em maximizar os niveis de liquidez das suas acoes. Os stocks splits tem sido um dos veiculos utilizados para atingir este objetivo, pelo que o presente trabalho visa estudar o comportamento da liquidez das acoes de empresas europeias que realizaram stock splits . Metodologia: Para testar o efeito na liquidez resultante dos 69 stock splits realizados por 68 empresas pertencentes ao STOXX Europe 600, entre 2010 e 2016, utilizou-se a metodologia de estudo de evento, com recurso a testes estatisticos nao parametricos e a tres medidas de liquidez: racio de turnover , LMx de Liu (2006) e ILLIQ de Amihud (2002). Resultados: Embora nao seja possivel concluir de forma inequivoca sobre os efeitos do stock split nos niveis de liquidez com uma janela de evento de um mes, os resultados obtidos sugerem que a liquidez aumenta nos 12 m...
According to the stock market efficiency theory, it is not possible to consistently beat the mark... more According to the stock market efficiency theory, it is not possible to consistently beat the market. However, technical analysis is more and more spread as an efficient way to achieve abnormal returns. In fact there is evidence that momentum investing strategies provide abnormal returns in different stock markets, Jegadeesh, N. and Titman, S. (1993), George, T. and Hwang, C. (2004) and Du, D. (2009). In this work we study if like other markets, the Portuguese stock market also allows to obtain abnormal returns, using a strategy that consists in picking stocks according to their past performance. Our work confirms the results of Soares, J. and Serra, A. (2005) and Pereira, P. (2009), showing that an investor can get abnormal returns investing in momentum portfolios. The Portuguese stock market evidences momentum returns in short term, exhibiting reversal in long term.
Comparative analysis of financial systems of Ukraine and Portugal
Proceedings of The 5th International Virtual Scientific Conference, 2016
Portfolio insurance is a technique of minimizing financial risk, based on option pricing theory. ... more Portfolio insurance is a technique of minimizing financial risk, based on option pricing theory. In this method, the delta measure of an option price is used to determine the proportions in which the underlying security is combined with a risk-free asset. One important drawback in this technique is the fact that the volatility of the risk assets is often time varying, contrary to what is assumed on most of the current option pricing formulas. As a result, in periods of low volatility, portfolio insurance seems to be very efficient in capturing the gains of rising market prices, while supplies protection against falls in market prices declines. However, when the volatility is high, especially on the downside of the market prices, a divergence from the stated goals tends to occur. This result has already been detected by our research in Portuguese Finance Markets. Because volatility plays an important role in financial assets valuation in general, and in particular in options, there i...
A Análise Da Volatilidade Do Índice PSI-20 Baseada Em Modelos Arch e Garch
Portuguese Journal of Management Studies, 2003
A volatilidade desempenha um papel importante na avaliação dos activos financeiros, daí que proli... more A volatilidade desempenha um papel importante na avaliação dos activos financeiros, daí que proliferem na literatura estudos com vista à sua especificação e medida. Existem várias técnicas para a estimação da volatilidade sendo. a volatilidade determinística uma das mais utilizadas. Este tipo de estimação admite que a volatilidade apresenta uma dependência temporal de variáveis conhecidas no mercado. O presente artigo testa a hipótese de existência de volatilidade determinística no índice PSI-20. Para esse fim recorre-se a modelos da família ARCH e GARCH, que elevado número de estudos revelam ser bastante adequados à análise das séries de preços de activos financeiros.
Portfolio insurance is a technique of minimizing financial risk, based on option pricing theory. ... more Portfolio insurance is a technique of minimizing financial risk, based on option pricing theory. In this method, the delta measure of an option price is used to determine the proportions in which the underlying security is combined with a risk-free asset. One important drawback in this technique is the fact that the volatility of the risk assets is often time varying, contrary to what is assumed on most of the current option pricing formulas. As a result, in periods of low volatility, portfolio insurance seems to be very efficient in capturing the gains of rising market prices, while supplies protection against falls in market prices declines. However, when the volatility is high, especially on the downside of the market prices, a divergence from the stated goals tends to occur. This result has already been detected by our research in Portuguese Finance Markets. Because volatility plays an important role in financial assets valuation in general, and in particular in options, there is substantial literature devoted to its specification and measurement. In order to treat this problem in the Portuguese case, we selected three methods of volatility estimation: historic volatility-the standard deviation of a stock return; implied volatility-the volatility that, in Black-Scholes option valuation formula, equates theoretical and market value of an option; deterministic volatility-which states that volatility is time dependent on variables that are known on the market In this article we test the effect of using alternatively, historic, implied and deterministic volatility in portfolio insurance on the Portuguese Finance Market. The purpose of this work is to show the importance of rigorous treatment of volatility to obtain the best results in portfolio insurance.
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Papers by Elisabete Duarte