Particularidades do mercado financeiro latino-americano

rae Revista de Administração de Empresas Rev. adm. empres. 0034-7590 2178-938X Fundação Getulio Vargas, Escola de Administração de Empresas de S.Paulo São Paulo, SP, Brazil This article investigates the risk-return relationship, the presence of asymmetric behavior in the conditional volatility and the presence of daily seasonalities in price variation and in the volatility of stock market indices. The study examines five Latin American stock market indices, in the period from January of 1994 to June of 1999. It was used the GJR-GARCH (1,1)-M model estimated by maximum likelihood.The results suggest that there is no significant relationship among conditional volatility and return. The conditional volatility exhibits an asymmetric behavior in most of the countries. The daily seasonalities in the returns were detected in Mexico, Peru and Venezuela. The conditional volatility did not show any seasonality in any of the indices studied. FINANÇAS Particularidades do mercado financeiro latino-americano Paulo Sergio CerettaI; Newton C. A. da Costa Jr.II IDoutorando em Engenharia de Produção da Universidade Federal de Santa Maria e Professor de Finanças da UFSC. E-mail: [e-mail] IIDoutor em Administração pela FGV-EAESP e Professor de Finanças da UFSC. E-mail: [e-mail] RESUMO Este artigo investiga o relacionamento risco-retorno, a presença de comportamento assimétrico na volatilidade condicionada e a de sazonalidade diária nas variações de preço e na própria volatilidade dos índices representativos dos mercados de ações. O estudo examina cinco países da América Latina, no período de janeiro de 1994 a junho de 1999. Foi utilizado o modelo GJR-GARCH (1,1)-M estimado por máxima verossimilhança. Os resultados obtidos sugerem que não há relacionamento significativo entre volatilidade condicionada e retorno. A volatilidade condicionada, por sua vez, exibe um comportamento assimétrico na maioria dos países. A sazonalidade diária nas taxas de retorno ocorre no México, Peru e Venezuela, enquanto a sazonalidade diária na volatilidade condicionada não se mostra significativa em nenhum dos cinco países. Palavras-chave: Efeito dia da semana, mercado de ações, América Latina, risco e retorno, heteroscedasticidade. ABSTRACT This article investigates the risk-return relationship, the presence of asymmetric behavior in the conditional volatility and the presence of daily seasonalities in price variation and in the volatility of stock market indices. The study examines five Latin American stock market indices, in the period from January of 1994 to June of 1999. It was used the GJR-GARCH (1,1)-M model estimated by maximum likelihood.The results suggest that there is no significant relationship among conditional volatility and return. The conditional volatility exhibits an asymmetric behavior in most of the countries. The daily seasonalities in the returns were detected in Mexico, Peru and Venezuela. 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