O Impacto da Crise de 2008 na Estrutura Temporal de Correlação Condicional da BM&amp;FBovespa

Mastella, Mauro; Coster, Rodrigo

doi:10.7819/rbgn.v16i50.1534

RESUMO

Este artigo utiliza uma modelagem BEKK-MGARCH para identificar o comportamento histórico da estrutura temporal de covariância da BM&FBovespa em relação às outras bolsas do continente americano. O objetivo da pesquisa é analisar o impacto da crise de 2008 sobre a coesão da Bolsa brasileira relativamente às demais bolsas da amostra. Para isso, foram colhidas séries históricas de cinco diferentes índices bursáteis abrangendo desde o período pré-crise até 2011. Os resultados da modelagem bivariada indicam a ocorrência de um aumento da coesão entre os índices bursáteis durante o período de crise e o não retorno dessa coesão aos níveis pré-crise. Também indicam que par de índices IBOV x IPSA representa a opção mais adequada para diversificação de portfólio entre os pares analisados.

Palavras-chave:
GARCH multivariado; Correlação condicional; Volatilidade

RESUMEN

En este artículo se utiliza un modelado BEKK-MGARCH para identificar el comportamiento histórico de la estructura de covarianza temporal de la BM&FBOVESPA en relación a otros mercados del continente americano. El objetivo de la investigación es analizar el impacto de la crisis de 2008 sobre la cohesión del mercado de valores de Brasil en comparación con otras bolsas de muestra. Para ello, los datos históricos se han obtenido de cinco diferentes índices del mercado de valores que van desde el período precrisis hasta 2011. Los resultados del modelo bivariado indican la presencia de una mayor cohesión entre los índices bursátiles durante la crisis y el no retorno a la cohesión de estos niveles de precrisis. También indican que el par de índices IBOV x IPSA es la opción más adecuada para la diversificación de la cartera entre los pares analizados.

Palabras clave:
GARCH multivariante; Correlación Condicional; Volatilidad

ABSTRACT

This article uses a BEKK-MGARCH model to identify the historical behavior of the term structure of covariance of the Brazilian BM&FBovespa stock exchange when compared to other exchanges in the American continent. The purpose of this research is to analyze the impact of the 2008 crisis on the cohesion of the Brazilian stock exchange when compared to the other exchanges in the sample. To this end, historical series were collected from five different stock market indexes ranging from the pre-crisis period until 2011. The bivariate modeling results indicate the presence of increased cohesion in the stock market indexes during the crisis period and the non-return of this cohesion to pre-crisis levels. They also indicate that, among the pairs analyzed, the pair of indexes IBOV x IPSA are the most appropriate choice for portfolio diversification.

Keywords:
Multivariate GARCH; Conditional Correlation; Volatility

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REFERÊNCIAS

BOLLERSLEV, T. Glossary to ARCH (GARCH). Sept. 2008. CREATES Research Papers 2008-49.
BOLLERSLEV, T.; WOOLDRIDGE, J. M. Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances. Econometric Reviews, Philadelphia, v. 11, n. 2, p. 143-172, 1992.
BORLAND, L. Statistical signatures in times of panic: markets as a self-organizing system. 2009. Disponível em: <Disponível em: http://arxiv.org/abs/0908.0111 >. Acesso em: 03 jan. 2013.
» http://arxiv.org/abs/0908.0111
BOUAZIZ, M. C.; SELMI, N.; BOUJELBENE, Y. Contagion effect of the subprime financial crisis: evidence of DCC multivariate GARCH models. European Journal of Economics, Finance & Administrative Sciences, [S.l], n. 44, p. 66, Jan. 2012.
ENDERS, W. Applied econometric time series. Hoboken, NJ: John Wiley and Sons, 2009.
ENGLE, R. F. Autoregressive conditional heteroscedasticity with estimates of the variance of the United Kingdom inflation. Econometrica, Oxford, v. 50, n. 4. p. 987-1007, July 1982.
ENGLE, R. F. Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics, Alexandria, v. 20, n. 3, p. 339-350, July 2002.
ENGLE, R. F.; KRONER, K. F. Multivariate simultaneous generalized arch. Econometric Theory, Cambridge, v. 11, n. 1. p. 122-150, Mar. 1995.
ERB, C. B.; HARVEY, C. R.; VISKANTA, T. E. Forecasting international equity correlations. Financial Analysts Journal, Charllottesville, v. 50, n. 6, p. 32-45, Nov./Dec. 1994.
FENN, D. J. et al. Temporal evolution of financial market correlations. Physical Review E, New York, v. 84, n. 2, p. 1-15, Aug. 2011.
FRANK, N.; HESSE, H. Financial spillovers to emerging markets during the global financial crisis, Czech Journal of Economics and Finance, Prague, v. 59, n. 6, p. 507-521, Dec. 2009.
HANSEN, P. R.; LUNDE, A. A forecast comparison of volatility models: does anything beat a GARCH(1,1)? Journal of Applied Econometrics, Chicester, v. 20, n. 7, p. 873- 889, Dec. 2005.
KIM, B. H.; KIM, H. Spillover effects of the US financial crisis on financial markets in emerging Asian countries. Apr. 2011. Auburn Economics Working Paper Series, with number auwp2011-04.
LAURENT, S.; BAUWENS, L.; ROMBOUTS, J. V. K. Multivariate GARCH models: a survey. Journal of Applied Econometrics, Chicester, v. 21, n. 1, p. 79-89, Jan./Feb. 2006.
LIN, Y.; CHEN, Y. Study on time varying conditional correlations of stock market returns based on multivariate GARCH model. Advanced Management Science (ICAMS), 2010 IEEE International Conference, July 2010. Disponível em: <Disponível em: http://ieeexplore.ieee.org/xpl/login.jsp?tp=&arnumber=5553092&url=http%3A%2F%2Fieeexplore.ieee.org%2Fxpls%2Fabs_all.jsp%3Farnumber%3D5553092 >. Acesso em: 03 jan. 2013.
» http://ieeexplore.ieee.org/xpl/login.jsp?tp=&arnumber=5553092&url=http%3A%2F%2Fieeexplore.ieee.org%2Fxpls%2Fabs_all.jsp%3Farnumber%3D5553092
LONGIN, F.; SOLNIK, B. Is the correlation in international equity returns constant: 1960-1990. Journal of International Money and Finance, Oxford, v. 14, n. 1, p. 3-26, 1995.
MOLDOVAN, I.; MEDREGA, C. Correlation of international stock markets before and during the subprime crisis. The Romanian Economic Journal, [S. l.], v. 14, n. 40, p. 173-193, June 2011.
PEROBELLI, F. F. C.; VIDAL, T. L.; SECURATO, J. R. Avaliando o efeito contágio entre economias durante crises financeiras. Estudos Econômicos, São Paulo, v. 43, n. 3, p. 557-594, jul./set. 2013.
SANDOVAL JÚNIOR, Leonidas; FRANCA, I. P. Correlation of financial markets in times of crisis. Physica A, Amsterdam, v. 391, n. 1-2, p. 187-208, Jan. 2012.

2
Processo de avaliação: Double Blind Review

Datas de Publicação

Publicação nesta coleção
Jan-Mar 2014

Histórico

Recebido
17 Jan 2013
Aceito
21 Fev 2014

Este é um artigo publicado em acesso aberto sob uma licença Creative Commons

[1] BOLLERSLEV, T. Glossary to ARCH (GARCH). Sept. 2008. CREATES Research Papers 2008-49.

[2] BOLLERSLEV, T.; WOOLDRIDGE, J. M. Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances. Econometric Reviews, Philadelphia, v. 11, n. 2, p. 143-172, 1992.

[3] BORLAND, L. Statistical signatures in times of panic: markets as a self-organizing system. 2009. Disponível em: <Disponível em: http://arxiv.org/abs/0908.0111 >. Acesso em: 03 jan. 2013.
» http://arxiv.org/abs/0908.0111

[4] BOUAZIZ, M. C.; SELMI, N.; BOUJELBENE, Y. Contagion effect of the subprime financial crisis: evidence of DCC multivariate GARCH models. European Journal of Economics, Finance & Administrative Sciences, [S.l], n. 44, p. 66, Jan. 2012.

[5] ENDERS, W. Applied econometric time series. Hoboken, NJ: John Wiley and Sons, 2009.

[6] ENGLE, R. F. Autoregressive conditional heteroscedasticity with estimates of the variance of the United Kingdom inflation. Econometrica, Oxford, v. 50, n. 4. p. 987-1007, July 1982.

[7] ENGLE, R. F. Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models. Journal of Business and Economic Statistics, Alexandria, v. 20, n. 3, p. 339-350, July 2002.

[8] ENGLE, R. F.; KRONER, K. F. Multivariate simultaneous generalized arch. Econometric Theory, Cambridge, v. 11, n. 1. p. 122-150, Mar. 1995.

[9] ERB, C. B.; HARVEY, C. R.; VISKANTA, T. E. Forecasting international equity correlations. Financial Analysts Journal, Charllottesville, v. 50, n. 6, p. 32-45, Nov./Dec. 1994.

[10] FENN, D. J. et al. Temporal evolution of financial market correlations. Physical Review E, New York, v. 84, n. 2, p. 1-15, Aug. 2011.

[11] FRANK, N.; HESSE, H. Financial spillovers to emerging markets during the global financial crisis, Czech Journal of Economics and Finance, Prague, v. 59, n. 6, p. 507-521, Dec. 2009.

[12] HANSEN, P. R.; LUNDE, A. A forecast comparison of volatility models: does anything beat a GARCH(1,1)? Journal of Applied Econometrics, Chicester, v. 20, n. 7, p. 873- 889, Dec. 2005.

[13] KIM, B. H.; KIM, H. Spillover effects of the US financial crisis on financial markets in emerging Asian countries. Apr. 2011. Auburn Economics Working Paper Series, with number auwp2011-04.

[14] LAURENT, S.; BAUWENS, L.; ROMBOUTS, J. V. K. Multivariate GARCH models: a survey. Journal of Applied Econometrics, Chicester, v. 21, n. 1, p. 79-89, Jan./Feb. 2006.

[15] LIN, Y.; CHEN, Y. Study on time varying conditional correlations of stock market returns based on multivariate GARCH model. Advanced Management Science (ICAMS), 2010 IEEE International Conference, July 2010. Disponível em: <Disponível em: http://ieeexplore.ieee.org/xpl/login.jsp?tp=&arnumber=5553092&url=http%3A%2F%2Fieeexplore.ieee.org%2Fxpls%2Fabs_all.jsp%3Farnumber%3D5553092 >. Acesso em: 03 jan. 2013.
» http://ieeexplore.ieee.org/xpl/login.jsp?tp=&arnumber=5553092&url=http%3A%2F%2Fieeexplore.ieee.org%2Fxpls%2Fabs_all.jsp%3Farnumber%3D5553092

[16] LONGIN, F.; SOLNIK, B. Is the correlation in international equity returns constant: 1960-1990. Journal of International Money and Finance, Oxford, v. 14, n. 1, p. 3-26, 1995.

[17] MOLDOVAN, I.; MEDREGA, C. Correlation of international stock markets before and during the subprime crisis. The Romanian Economic Journal, [S. l.], v. 14, n. 40, p. 173-193, June 2011.

[18] PEROBELLI, F. F. C.; VIDAL, T. L.; SECURATO, J. R. Avaliando o efeito contágio entre economias durante crises financeiras. Estudos Econômicos, São Paulo, v. 43, n. 3, p. 557-594, jul./set. 2013.

[19] SANDOVAL JÚNIOR, Leonidas; FRANCA, I. P. Correlation of financial markets in times of crisis. Physica A, Amsterdam, v. 391, n. 1-2, p. 187-208, Jan. 2012.

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