| Name: | Description: | Size: | Format: | |
|---|---|---|---|---|
| 1.31 MB | Adobe PDF |
Advisor(s)
Abstract(s)
Neste trabalho é analisado o impacto da recente crise
financeira global no comovimento dos mercados bolsistas
emergentes, recorrendo à variável volatilidade condicionada. Com
este objetivo, foram analisados vinte mercados, no período
compreendido entre maio de 2002 e dezembro de 2013. Para
estimar a volatilidade dos mercados, recorreu-se ao modelo
exponencial de heterocedasticidade condicionada (EGARCH).
Partindo da variável volatilidade condicionada, foi aplicado o teste
de valores extremos e a análise de componentes principais, de
modo a perceber a influência da crise financeira no
comportamento da volatilidade, no curto prazo e no longo prazo,
respetivamente. Os resultados permitem concluir que, em
consequência da emergência da crise, os mercados bolsistas
passaram a reportar comportamentos mais próximos, para os dois
horizontes temporais, o que limitou as possibilidades de
diversificação à disposição dos investidores.
This study examines the effects of the global financial crisis on the volatility of emerging stock markets. With this goal, twenty emerging stock markets have been analysed, in the period between May 2002 and December 2013. In order to estimate market volatility, the EGARCH model was implemented. In order to analyse volatility behaviour and the influence of the global financial crisis, both in the short and long-term, the extreme values test and the principal component analysis were applied. Conclusions revealed that the stock market volatility showed similar behaviours for the two time horizons, and the global financial crisis represented a key role in strengthening and deepening these similar behaviours, limiting a possible diversification strategy.
This study examines the effects of the global financial crisis on the volatility of emerging stock markets. With this goal, twenty emerging stock markets have been analysed, in the period between May 2002 and December 2013. In order to estimate market volatility, the EGARCH model was implemented. In order to analyse volatility behaviour and the influence of the global financial crisis, both in the short and long-term, the extreme values test and the principal component analysis were applied. Conclusions revealed that the stock market volatility showed similar behaviours for the two time horizons, and the global financial crisis represented a key role in strengthening and deepening these similar behaviours, limiting a possible diversification strategy.
Description
Keywords
mercados bolsistas emergentes volatilidade valores extremos componentes principais emerging stock markets volatility extreme values principal component analysis
Citation
Gabriel, Vítor Manuel de Sousa & Saraiva, Helena Isabel Barroso (2016) Comovimentos na Volatilidade de Mercados Bolsistas Emergentes: Efeitos da Crise Financeira Global. Millenium, 50 (jan/jun). Pp. 49-68.