João C. A. Teixeira

The Daily Returns of the Portuguese Stock Index: A Distributional Characterization

This paper compares the fitting of the normal, generalized hyperbolic, normal inverse Gaussian and Student t distributions to the daily returns of the Portuguese Stock Index PSI-20 over the period 1992-2013. We find that the distribution of the actual returns of the PSI-20 exhibits much higher kurtosis and extreme values as compared to the normal distribution. Overall, the best fit is provided by the Student t and the generalized hyperbolic distributions. This pattern also applies to the tail behavior, as the density of the Student t distribution exhibits fatter tails then the density of the other distributions, followed by the density of the generalized hyperbolic distribution. Finally, we find that the normal inverse Gaussian and the normal distributions have the lowest fitting quality to the actual daily returns of the Portuguese stock index.

Customer Mobility in the Portuguese Financial System

This paper investigates the level of customer mobility in the Portuguese financial system based on new survey data. We find that customers deal, on average, with more than one bank, and own several financial products. The results show that 46.9 per cent of customers had never switched bank in the past and 92.4 per cent have no intention to switch in the next 24 months. We find that customer mobility is influenced by factors related with their social and economic condition and their level of financial activity. These same factors have an impact on the choice of the reasons for not switching bank in the future. Finally, we observe that these reasons have not only a financial nature but also a psychological nature, revealing the existence of important switching costs in the Portuguese financial system.