Browsing by Author "Garcia, Maria Teresa"
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- Assessing Pension expenditure determinants : the case of PortugalPublication . Garcia, Maria Teresa; Silva, André Fernando Rodrigues Rocha daPension expenditure is a concern for the sustainability of public finances in the European Union. Therefore, assessing pension expenditure determinants is crucial. This study aims to disentangle the impact of demographic and economic variables, such as ageing, productivity, and unemployment, on pension expenditure. Using Portuguese time-series data, from 1975 to 2014, statistical evidence was found of co-integration between unemployed people aged between 15 and 64 years old, apparent productivity of labour, the old-age dependence index and pension expenditure as a share of gross domestic product. The use of a vector error correction model, with impulse-response functions and variance decomposition, showed that ageing has an almost insignificant impact in the long-run, when compared with unemployment and productivity.
- Asset liability management : evidence from the Banco de Portugal defined benefit pension fundPublication . Garcia, Maria Teresa; Gabriel, Liane CostaThe level of financing of pension funds and the inherent risk of default is an issue which has assumed increasing relevance, due to the difficulties that pension funds have been facing over recent years, which mainly result from changes in demographic conditions, such as the ageing of the population and increasing longevity, compounded by the 2008 financial crisis and the Great Recession. Asset Liability Management (ALM) models can be employed to optimise assets and liabilities, and at the same time minimise the risks of a fund, whereby the choice of the best model for a fund depends on the fund’s specific characteristics and riskreturn profile. This paper is mainly a theoretical study, where a literature review is first carried out both on pension plans and pension funds and also on the importance of ALM. This is followed by an analysis of the evolution of this risk management instrument and a description of the selected models is then presented. To conclude, an analysis of the application of ALM for a pension fund, the Banco de Portugal defined benefit pension fund, is carried out.
- O desempenho financeiro das empresas e o desdobramento de ações – o caso das empresas do índice S&P500Publication . Garcia, Maria Teresa; Simões, João Pedro VarguesO objetivo deste artigo é estudar a relação entre o desempenho das empresas e o desdobramento de acções (Stock Splits- SS). Duas medidas de desempenho são consideradas: a Rendibilidade dos Ativos (Return on Assets - ROA) e os Resultados (EARNINGS) de cada empresa. A análise é feita através da estimação de duas regressões lineares múltiplas, em que se pretende aferir a significância estatística dos SS na explicação das duas variáveis dependentes alternativas. As variáveis independentes e de controlo são as habitualmente consideradas como determinantes relevantes para o desempenho das empresas. A análise incidiu sobre uma amostra final de 437 empresas pertencentes ao índice S&P500, entre os anos de 2005 e 2015, com um total de 235 SS. Os resultados mostram que existe uma relação linear positiva entre a variável SS e a variável ROA a uma significância estatística de 5%, mas que não existe relação entre SS e os EARNINGS. Este resultado empírico dá assim suporte à teoria da sinalização, a qual tem como hipótese principal que os gestores decidem dividir as suas ações para sinalizarem o mercado de que as suas empresas irão ter desempenhos e resultados futuros favoráveis.
- Eficiência do mercado de capitaisPublication . Garcia, Maria Teresa
- A função poupança em Portugal : ensaio de aplicação da teoria do ciclo de vidaPublication . Silva, Carlos Pereira da; Garcia, Maria Teresa
- Markowitz efficient frontier and capital market line : evidence from the portuguese stock marketPublication . Garcia, Maria Teresa; Borrego, DanielThis paper estimates the efficient frontier and the capital market line using listed stocks of the Portuguese capital market that are part of the PSI20 index, considering two different periods - before and after the 2008 financial crisis, known as the Global Financial Crisis. The results show the impact of the 2008 financial crisis on the global minimum variance portfolio and on the market portfolio. The sensitivity analysis of the results to the inclusion or not of the year 2008 is also considered
- Measuring sentiment : the impact on financial markets volatilityPublication . Garcia, Maria Teresa; Carvalho, Carolina e Silva Correia deThis paper provides insights into the impact of sentiment factors on stock market volatility using monthly panel data from Germany, the UK and the US from 2002-2022. The main objective is to understand how the consumer confidence index, the trading volume, the put/call ratio, and the number of IPOs - components of the sentiment index used in this research - affect the volatility of the DAX 40, FTSE 100, and S&P 500 indices, respectively. The results suggest that investor sentiment has an impact on market volatility in all three indices. A higher consumer confidence index correlates with lower volatility, suggesting that positive sentiment stabilizes markets. Conversely, increased trading volume and a higher put/call ratio are associated with increased volatility, reflecting greater market activity and investor uncertainty. In addition, the number of IPOs serves as a sentiment gauge, with increased IPO activity corresponding to a more optimistic market outlook and contributing to lower volatility. Overall, the results underscore the importance of integrating sentiment measures into financial analysis and provide valuable insights for investors and policymakers seeking to understand and manage market fluctuations. This research contributes to the behavioural finance literature by elucidating the complex interplay between investor sentiment and stock market behaviour.
- Risk-taking by banks : evidence from European Union countriesPublication . Garcia, Maria Teresa; Ye, Ana JinThe aim of this paper is to study the relation between banks’ ownership structure and their risk-taking behavior. Additionally, we examine the impact of banking regulation on banks’ approach to taking risk. The empirical analysis considers a sample of listed banks from EU countries over the period of 2011 to 2016. We found that the structure of the board of directors can influence bank risk behavior but not the ownership concentration. No significant relation was found between the influence of the regulatory environment and bank risk, i.e., stricter regulation has no effect on risk taking by banks.
- A static approach to the Nelson-Siegel-Svensson model : an application for several negative yield casesPublication . Garcia, Maria Teresa; Carvalho, Vítor Hugo FerreiraThe appearance of negative bond yields presents significant challenges for the fixed income markets, which mainly concern related forecasting models. The Nelson-Siegel-Svensson model (NSS) is one of the models that is most frequently used by central banks to estimate the term structure of interest rates. The objective of this study is to evaluate the application of the NSS model to fit the yield curve of a set of 20 countries, the majority from the Eurozone, which registered negative sovereign bond yields. We conclude that the model adjusted well for all countries’ yield curves, although no changes or constraints were introduced. In addition, a comparison was carried out between market instantaneous interest rate and the interest rate for the very distant future, which the model can predict, with good results for the instantaneous interest rate. An evaluation of the possible behaviour of shared debt securities (i.e. Eurobonds) was also analysed. In conclusion, the NSS model seems to remain a valuable, easy to use, and adaptable tool, to fit negative yield curves, for monetary policy institutions and market players alike.
- The dynamic relationship between stock market indexes and foreign exchangePublication . Garcia, Maria Teresa; Rodrigues, Ana Catarina GomesThis empirical study analyses the dynamic relationship between the FTSE 100 Index and the Euro STOXX 50 Index and the USD/EUR and USD/GBP exchange rates, from January 2007 to April 2017. The Johansen co-integration tests suggest that these variables have a long-term relationship. The Granger causality test was conducted through the use of VECM equations, showing that the FTSE 100 and the Euro STOXX 50 Index both have a causal feedback relationship. A unidirectional relationship was found between the FTSE 100 Index stock prices and the USD/EUR exchange rate. The presence of a unidirectional relationship between the USD/GBP exchange rate and FTSE 100 and Euro STOXX 50 Index stock prices was also detected.