Tópicos para investigação futura

Como principais tópicos para investigação futura podemos enumerar os seguintes: ƒ Tentar aplicar este estudo do impacto das taxas de câmbio não só a acções como

a carteiras constituídas por obrigações, títulos do tesouro, opções e futuros; ƒ Utilizar um maior número de modelos de selecção de carteiras e estabelecer

comparação entre eles;

ƒ Realizar este estudo com diferentes prazos de cálculo das carteiras óptimas de forma a poder-se observar se estas conclusões se mantêm para diferentes prazos; ƒ Alargar o estudo do impacto das taxas de câmbio a outras moedas,

nomeadamente, de países com economias em desenvolvimento e com uma progressiva importância no comércio internacional, como são por exemplo os BRIC;

ƒ Para aumentarmos a amostra do número de carteiras óptimas a estudar poder-se- á trabalhar com dados “em janelas” com diferentes prazos, ou alternativamente, alargar o prazo da amostra.

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Tabela 6 – Análise factorial dos mercados com dados na divisa libra euros . us_eu 0.8273 -0.4310 0.2978 0.0411 uk_eu 0.8088 -0.4422 0.3256 0.0443 swi_eu 0.8104 -0.4775 0.3186 0.0138 spa_eu 0.8041 -0.4795 0.3226 0.0195 por_eu 0.7976 -0.4962 0.3292 0.0093 net_eu 0.8343 -0.0240 -0.4561 0.0953 jap_eu 0.8146 -0.0083 -0.4796 0.1063 ita_eu 0.8610 -0.1099 -0.4414 0.0517 irl_eu 0.8411 -0.0891 -0.4751 0.0589 gre_eu 0.8526 -0.1252 -0.4675 0.0389 ger_eu 0.7016 0.6156 0.1445 0.1079 fra_eu 0.6406 0.6716 0.1750 0.1079 fil_eu 0.7476 0.5808 0.2012 0.0633 bel_eu 0.7065 0.6279 0.1940 0.0690 aus_eu 0.7286 0.6116 0.2176 0.0477 Variable Factor1 Factor2 Factor3 Uniqueness Factor loadings (pattern matrix) and unique variances

LR test: independent vs. saturated: chi2(105) = 2.2e+05 Prob>chi2 = 0.0000 Factor15 0.00000 . 0.0000 1.0000 Factor14 0.00000 0.00000 0.0000 1.0000 Factor13 0.00000 0.00000 0.0000 1.0000 Factor12 0.00000 0.00000 0.0000 1.0000 Factor11 0.00000 0.00000 0.0000 1.0000 Factor10 0.00000 0.00000 0.0000 1.0000 Factor9 0.00000 0.00000 0.0000 1.0000 Factor8 0.00000 0.00000 0.0000 1.0000 Factor7 0.02961 0.02961 0.0020 1.0000 Factor6 0.15158 0.12197 0.0101 0.9980 Factor5 0.29313 0.14155 0.0195 0.9879 Factor4 0.40052 0.10739 0.0267 0.9684 Factor3 1.76264 1.36211 0.1175 0.9417 Factor2 3.05744 1.29480 0.2038 0.8242 Factor1 9.30507 6.24764 0.6203 0.6203 Factor Eigenvalue Difference Proportion Cumulative Rotation: (unrotated) Number of params = 42 Method: principal-component factors Retained factors = 3 Factor analysis/correlation Number of obs = 1564 (obs=1564)

Tabela 7 – Análise factorial dos mercados com dados na divisa dólares americanos us_usd 0.6628 0.6815 0.0961 uk_usd 0.6006 0.7388 0.0934 swi_usd 0.7057 0.6691 0.0543 spa_usd 0.6564 0.7152 0.0575 por_usd 0.6844 0.6996 0.0422 net_usd 0.9049 -0.2570 0.1150 jap_usd 0.8919 -0.2567 0.1387 ita_usd 0.9085 -0.3021 0.0833 irl_usd 0.9028 -0.2939 0.0986 gre_usd 0.9015 -0.3195 0.0852 ger_usd 0.9037 -0.1935 0.1459 fra_usd 0.9013 -0.1906 0.1514 fil_usd 0.9166 -0.2455 0.0996 bel_usd 0.9132 -0.2336 0.1114 aus_usd 0.9153 -0.2640 0.0926 Variable Factor1 Factor2 Uniqueness Factor loadings (pattern matrix) and unique variances

LR test: independent vs. saturated: chi2(105) = 2.1e+05 Prob>chi2 = 0.0000 Factor15 0.00000 . 0.0000 1.0000 Factor14 0.00000 0.00000 0.0000 1.0000 Factor13 0.00000 0.00000 0.0000 1.0000 Factor12 0.00000 0.00000 0.0000 1.0000 Factor11 0.00000 0.00000 0.0000 1.0000 Factor10 0.00000 0.00000 0.0000 1.0000 Factor9 0.00000 0.00000 0.0000 1.0000 Factor8 0.00000 0.00000 0.0000 1.0000 Factor7 0.02738 0.02738 0.0018 1.0000 Factor6 0.14001 0.11263 0.0093 0.9982 Factor5 0.27988 0.13987 0.0187 0.9888 Factor4 0.38548 0.10560 0.0257 0.9702 Factor3 0.63256 0.24707 0.0422 0.9445 Factor2 3.12897 2.49641 0.2086 0.9023 Factor1 10.40572 7.27675 0.6937 0.6937 Factor Eigenvalue Difference Proportion Cumulative Rotation: (unrotated) Number of params = 29 Method: principal-component factors Retained factors = 2 Factor analysis/correlation Number of obs = 1564 (obs=1564)

Tabela 8 – Análise factorial dos mercados com dados na divisa libra esterlina . us_pound 0.4709 0.8065 0.0118 0.1276 uk_pound 0.3612 0.8241 0.0075 0.1903 swi_pound 0.4126 0.8488 0.0705 0.1043 spa_pound 0.3025 0.7969 0.0504 0.2709 por_pound 0.3484 0.8432 0.0553 0.1645 net_pound 0.7873 -0.3584 0.3919 0.0981 jap_pound 0.7907 -0.2347 0.4266 0.1378 ita_pound 0.8338 -0.1693 0.4729 0.0524 irl_pound 0.8148 -0.2000 0.4781 0.0676 gre_pound 0.8225 -0.1855 0.4982 0.0408 ger_pound 0.8174 -0.2638 -0.4480 0.0615 fra_pound 0.8119 -0.1520 -0.4858 0.0817 fil_pound 0.8745 -0.1053 -0.4238 0.0446 bel_pound 0.8522 -0.1269 -0.4556 0.0502 aus_pound 0.8635 -0.1145 -0.4538 0.0352 Variable Factor1 Factor2 Factor3 Uniqueness Factor loadings (pattern matrix) and unique variances

LR test: independent vs. saturated: chi2(105) = 1.2e+05 Prob>chi2 = 0.0000 Factor15 0.00000 . 0.0000 1.0000 Factor14 0.00000 0.00000 0.0000 1.0000 Factor13 0.00000 0.00000 0.0000 1.0000 Factor12 0.00000 0.00000 0.0000 1.0000 Factor11 0.01884 0.01884 0.0013 1.0000 Factor10 0.02548 0.00664 0.0017 0.9987 Factor9 0.07762 0.05214 0.0052 0.9970 Factor8 0.10627 0.02865 0.0071 0.9919 Factor7 0.14600 0.03973 0.0097 0.9848 Factor6 0.29960 0.15360 0.0200 0.9751 Factor5 0.37107 0.07147 0.0247 0.9551 Factor4 0.48271 0.11164 0.0322 0.9303 Factor3 2.07645 1.59373 0.1384 0.8982 Factor2 3.81586 1.73941 0.2544 0.7597 Factor1 7.58010 3.76424 0.5053 0.5053 Factor Eigenvalue Difference Proportion Cumulative Rotation: (unrotated) Number of params = 42 Method: principal-component factors Retained factors = 3 Factor analysis/correlation Number of obs = 1564 (obs=1564)

Tabela 9 – Análise factorial dos mercados com dados na divisa francos suíços . us_sf 0.8977 -0.1682 0.1659 uk_sf 0.8801 -0.1467 0.2039 swi_sf 0.9137 -0.2433 0.1061 spa_sf 0.9078 -0.1994 0.1362 por_sf 0.9120 -0.2536 0.1040 net_sf 0.7061 0.5967 0.1454 jap_sf 0.6358 0.6789 0.1349 ita_sf 0.7711 0.5627 0.0889 irl_sf 0.7060 0.6432 0.0879 gre_sf 0.7489 0.6072 0.0704 ger_sf 0.8954 -0.2540 0.1337 fra_sf 0.8950 -0.2457 0.1386 fil_sf 0.8951 -0.3168 0.0984 bel_sf 0.8995 -0.2860 0.1090 aus_sf 0.8909 -0.3286 0.0983 Variable Factor1 Factor2 Uniqueness Factor loadings (pattern matrix) and unique variances

LR test: independent vs. saturated: chi2(105) = 2.1e+05 Prob>chi2 = 0.0000 Factor15 0.00000 . 0.0000 1.0000 Factor14 0.00000 0.00000 0.0000 1.0000 Factor13 0.00000 0.00000 0.0000 1.0000 Factor12 0.00000 0.00000 0.0000 1.0000 Factor11 0.00000 0.00000 0.0000 1.0000 Factor10 0.00000 0.00000 0.0000 1.0000 Factor9 0.00000 0.00000 0.0000 1.0000 Factor8 0.00000 0.00000 0.0000 1.0000 Factor7 0.03732 0.03732 0.0025 1.0000 Factor6 0.18424 0.14692 0.0123 0.9975 Factor5 0.36033 0.17609 0.0240 0.9852 Factor4 0.48804 0.12771 0.0325 0.9612 Factor3 0.75148 0.26345 0.0501 0.9287 Factor2 2.54404 1.79255 0.1696 0.8786 Factor1 10.63455 8.09051 0.7090 0.7090 Factor Eigenvalue Difference Proportion Cumulative Rotation: (unrotated) Number of params = 29 Method: principal-component factors Retained factors = 2 Factor analysis/correlation Number of obs = 1564 (obs=1564)

Tabela 10 – Análise factorial dos mercados com dados na divisa ienes . us_yen 0.7263 0.5974 -0.0156 0.1154 uk_yen 0.7033 0.6067 0.0949 0.1284 swi_yen 0.7152 0.6766 -0.0319 0.0298 spa_yen 0.6775 0.6918 0.1510 0.0396 por_yen 0.7013 0.6942 0.0092 0.0262 net_yen 0.8524 -0.2388 -0.3596 0.0871 jap_yen 0.8183 -0.3717 -0.3063 0.0985 ita_yen 0.8912 -0.1423 -0.3867 0.0360 irl_yen 0.9127 -0.2073 -0.2421 0.0653 gre_yen 0.8967 -0.1652 -0.3660 0.0347 ger_yen 0.8471 -0.3326 0.2394 0.1145 fra_yen 0.7649 -0.4589 0.3616 0.0736 fil_yen 0.9112 -0.2404 0.2342 0.0570 bel_yen 0.8306 -0.2889 0.4315 0.0405 aus_yen 0.8937 -0.2643 0.2893 0.0478 Variable Factor1 Factor2 Factor3 Uniqueness Factor loadings (pattern matrix) and unique variances

LR test: independent vs. saturated: chi2(105) = 2.0e+05 Prob>chi2 = 0.0000 Factor15 0.00000 . 0.0000 1.0000 Factor14 0.00000 0.00000 0.0000 1.0000 Factor13 0.00000 0.00000 0.0000 1.0000 Factor12 0.00000 0.00000 0.0000 1.0000 Factor11 0.00000 0.00000 0.0000 1.0000 Factor10 0.00000 0.00000 0.0000 1.0000 Factor9 0.00000 0.00000 0.0000 1.0000 Factor8 0.00000 0.00000 0.0000 1.0000 Factor7 0.03668 0.03668 0.0024 1.0000 Factor6 0.15689 0.12021 0.0105 0.9976 Factor5 0.33587 0.17898 0.0224 0.9871 Factor4 0.46497 0.12909 0.0310 0.9647 Factor3 1.11119 0.64622 0.0741 0.9337 Factor2 2.96116 1.84998 0.1974 0.8596 Factor1 9.93323 6.97207 0.6622 0.6622 Factor Eigenvalue Difference Proportion Cumulative Rotation: (unrotated) Number of params = 42 Method: principal-component factors Retained factors = 3 Factor analysis/correlation Number of obs = 1564 (obs=1564)