tailieunhanh - THE DYNAMIC RELATIONSHIP BETWEEN STOCK PRICES AND EXCHANGE RATES: EVIDENCE FOR BRAZIL

For . data, we limit our presentation to two return window specifications. The first specification, illustrated in Panel B of Appendix 1, compares mean daily returns occurring during one calendar week centered on the new moon date (new moon date +/- three calendar days) vs. the mean daily returns occurring during the calendar week centered on the full moon date (full moon date +/- three calendar days). Thus, since the lunar month has a length of about days, the first specification uses only about half of all available daily returns. The second specification uses all available. | ISSN 1518-3548 BANCO CENTRAL DO BRASIL Working Paper Series A The Dynamic Relationship between Stock Prices and Exchange Rates evidence for Brazil Benjamin M. Tabak November 2006 Working Paper Series ISSN 1518-3548 CGC 0001-05 Brasília N. 124 Nov 2006 P. 1-37 Working Paper Series Edited by Research Department Depep - E-mail workingpaper@ Editor Benjamin Miranda Tabak - E-mail Editorial Assistent Jane Sofia Moita - E-mail Head of Research Department Carlos Hamilton Vasconcelos Araujo - E-mail The Banco Central do Brasil Working Papers are all evaluated in double blind referee process. Reproduction is permitted only if source is stated as follows Working Paper n. 124. Authorized by Afonso Sant Anna Bevilaqua Deputy Governor of Economic Policy. General Control of Publications Banco Central do Brasil Secre Surel Dimep SBS - Quadra 3 - Bloco B - Edifício-Sede - Ml Caixa Postal 70074-900 Brasilia - DF - Brazil Phones 5561 3414-3710 and 3414-3567 Fax 5561 3414-3626 E-mail editor@ The views expressed in this work are those of the authors and do not necessarily reflect those of the Banco Central or its members. Although these Working Papers often represent preliminary work citation of source is required when used or reproduced. As opiniões expressas neste trabalho são exclusivamente do s autor es e não refletem necessariamente a visão do Banco Central do Brasil. Ainda que este artigo represente trabalho preliminar citagão da fonte é requerida mesmo quando reproduzido parcialmente. Consumer Complaints and Public Enquiries Center Address Secre Surel Diate Edificio-Sede - 2 subsolo SBS - Quadra 3 - Zona Central 70074-900 Brasilia - DF - Brazil Fax 5561 3414-2553 Internet http .