Dissertação de Mestrado, Universidade de Lisboa. Instituto Superior de Economia e Gestão.
ISSN/ISBN: Not available at this time. DOI: Not available at this time.
Note - this is a foreign language paper: POR
Abstract: This study has the purpose of applying the Benford's Law to the Portuguese stock market liquidity, between the years of 2009 and 2012, and assess whether the obtained distributions follow or not the Benford's theoretical distribution. The liquidity indicator chosen is the daily volume transactions. The results vary according to the statistical tests used in the analysis. Using the Z test it is possible to detect statistically significant deviations in the values individually, for each position of the digits. Using the chi-square test is now possible to evaluate the obtained distributions as a whole, for each position of the digits. The obtained results show that there is no significant statistical difference in the case of the first digit when compared with the Benford's theoretical distribution, while in the cases of the second, third and fourth digits there is significant statistical difference.
Bibtex:
@thesis{,
author = {Roque, Jorge Manuel Silva Gomes},
year = {2013},
institution = {Universidade de Lisboa. Instituto Superior de Economia e Gestão},
title = {Aplicação da Benford's Law à liquidez do mercado financeiro : o caso português},
url = {http://hdl.handle.net/10400.5/11385},
}
Reference Type: Thesis
Subject Area(s): Economics, Statistics