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Advisor(s)
Abstract(s)
Este estudo analisa as consequências da recente crise
financeira global nas ligações entre mercados bolsistas
internacionais. Para tal, foram selecionados índices
representativos de doze mercados, desenvolvidos e
emergentes, e foi escolhido um lapso de tempo compreendido
entre a crise das empresas tecnológicas e a crise global. Com o
objetivo de verificar do eventual reforço das ligações
internacionais entre mercados, recorre-se à métrica
Value-at-Risk, baseada na teoria de valores extremos, e a
testes aos coeficientes de correlação, de modo a perceber se os
coeficientes registados no subperíodo Crise Financeira Global
diferem dos registados nos subperíodos precedentes.
Foram identificadas evidências de que no último
subperíodo as ligações entre os mercados sofreram um
aumento com significância estatística, denunciando a
ocorrência de um fenómeno de contágio internacional.
The present study evaluates the impact of global financial crisis on international stock markets linkages. For this purpose, twelve stock market indices were selected, representing European and non-European markets, encompassing both developed and emerging markets, from Dot-Com crisis to global financial crisis. To investigate the occurrence of contagion effect, Value-at-Risk based on extreme value theory was considered, and also correlation coefficients were tested for statistical significance, to understand if linkages during the Global Financial Crisis sub-period differ from previous sub-periods. The results indicate a clear evidence that during the last sub-period international stock market linkages have been increasing, confirming evidence of international contagion.
The present study evaluates the impact of global financial crisis on international stock markets linkages. For this purpose, twelve stock market indices were selected, representing European and non-European markets, encompassing both developed and emerging markets, from Dot-Com crisis to global financial crisis. To investigate the occurrence of contagion effect, Value-at-Risk based on extreme value theory was considered, and also correlation coefficients were tested for statistical significance, to understand if linkages during the Global Financial Crisis sub-period differ from previous sub-periods. The results indicate a clear evidence that during the last sub-period international stock market linkages have been increasing, confirming evidence of international contagion.
Description
Keywords
crise financeira global mercados bolsistas internacionais, Value at Risk, teoria de valores extremos Value at Risk teoria de valores extremos efeito de contágio global financial crisis international stock markets Value at Risk extreme value theory contagion effect
Citation
Gabriel, Vítor Manuel de Sousa & Saraiva, Helena Isabel Barroso (2015). Contágio Bolsista Internacional: Uma Análise Baseada na Teoria de Valores Extremos. Millenium, 48 (jan/jun). Pp. 31-47.