This paper details efforts at developing and estimating a Vector Autoregressive (VAR) econometric model representative of the financial statements of a firm. Although the model can be generalized to represent the financial statements of any firm, this work was carried out as a case study, where...

We investigate the empirical relationship between stock returns, return volatility and trading volume using data from the Brazilian stock market (Bovespa). Our sample contains stock return and trading volume data from a theoretical portfolio including stocks participating in the Bovespa Index...

This article examines the existence of lead-lag effects between the U.S. stock market, represented by NYSE and the Brazilian stock market, represented by Bovespa, i.e., whether upward and downward price movements in the NYSE are followed, on average, by similar movements in Bovespa, which would...

The study aims at simulating and forecasting a company's stock returns and prices by a fundamentalist analysis process based on a Vector Error Correction with Exogenous Variables (VECX) econometric model. To achieve this, we selected relevant fundamentalist indicators and specified a model...

This paper reports the development and estimation of a Vector Autoregressive (VAR) econometric model representing the financial statements of a firm. Although the model can be generalized to represent the financial statements of any firm, this work was carried out as a case study, where the...

We investigate the empirical relationship between stock returns, return volatility and trading volume in the Brazilian stock market (Bovespa). Our sample contains stock return and trading volume data from a theoretical portfolio including stocks participating in the Bovespa Index (Ibovespa)...