The Impact of the 2008 Crisis on BM&FBovespa’s Term Structure of Conditional Correlations

Detalhes bibliográficos
Autor(a) principal: Mastella, Mauro
Data de Publicação: 2014
Outros Autores: Coster, Rodrigo
Tipo de documento: Artigo
Idioma: eng
por
Título da fonte: Revista Brasileira de Gestão de Negócios (Online)
Texto Completo: https://rbgn.fecap.br/RBGN/article/view/1534
Resumo: This article uses a BEKK-MGARCH model toidentify the historical behavior of the term structureof covariance of the Brazilian BM&FBovespa stockexchange when compared to other exchanges in theAmerican continent. The purpose of this researchis to analyze the impact of the 2008 crisis on thecohesion of the Brazilian stock exchange whencompared to the other exchanges in the sample. Tothis end, historical series were collected from fivedifferent stock market indexes ranging from thepre-crisis period until 2011. The bivariate modelingresults indicate the presence of increased cohesionin the stock market indexes during the crisis periodand the non-return of this cohesion to pre-crisislevels. They also indicate that, among the pairsanalyzed, the pair of indexes IBOV x IPSA are themost appropriate choice for portfolio diversification.Keyword s : Mu l t i v a r i a t e G A RCH.Conditional Correlation. Volatility.
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spelling The Impact of the 2008 Crisis on BM&FBovespa’s Term Structure of Conditional Correlationstitulo em espanholO impacto da crise de 2008 na estrutura temporal de correlação condicional da BM&FBovespaGARCH MultivariadoCorrelação CondicionalVolatilidadeThis article uses a BEKK-MGARCH model toidentify the historical behavior of the term structureof covariance of the Brazilian BM&FBovespa stockexchange when compared to other exchanges in theAmerican continent. The purpose of this researchis to analyze the impact of the 2008 crisis on thecohesion of the Brazilian stock exchange whencompared to the other exchanges in the sample. Tothis end, historical series were collected from fivedifferent stock market indexes ranging from thepre-crisis period until 2011. The bivariate modelingresults indicate the presence of increased cohesionin the stock market indexes during the crisis periodand the non-return of this cohesion to pre-crisislevels. They also indicate that, among the pairsanalyzed, the pair of indexes IBOV x IPSA are themost appropriate choice for portfolio diversification.Keyword s : Mu l t i v a r i a t e G A RCH.Conditional Correlation. Volatility.resumo em espanholEste artigo utiliza uma modelagem BEKK--MGARCH para identificar o comportamentohistórico da estrutura temporal de covariânciada BM&FBovespa em relação às outras bolsas docontinente americano. O objetivo da pesquisa éanalisar o impacto da crise de 2008 sobre a coesãoda Bolsa brasileira relativamente às demaisbolsas da amostra. Para isso, foram colhidas sérieshistóricas de cinco diferentes índices bursáteisabrangendo desde o período pré-crise até 2011.Os resultados da modelagem bivariada indicama ocorrência de um aumento da coesão entre osíndices bursáteis durante o período de crise e o nãoretorno dessa coesão aos níveis pré-crise. Tambémindicam que par de índices IBOV x IPSA representaa opção mais adequada para diversificaçãode portfólio entre os pares analisados.Palavras-chave: GARCH multivariado. Correlaçãocondicional. Volatilidade.FECAP2014-03-20info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionAvaliado por paresapplication/pdfapplication/pdfhttps://rbgn.fecap.br/RBGN/article/view/153410.7819/rbgn.v16i50.1534Review of Business Management; Vol. 16 No. 50 (2014); 110-123RBGN Revista Brasileira de Gestão de Negócios; Vol. 16 Núm. 50 (2014); 110-123RBGN - Revista Brasileira de Gestão de Negócios; v. 16 n. 50 (2014); 110-1231983-08071806-4892reponame:Revista Brasileira de Gestão de Negócios (Online)instname:Fundação Escola de Comércio Álvares Penteado (FECAP)instacron:FECAPengporhttps://rbgn.fecap.br/RBGN/article/view/1534/pdf_45https://rbgn.fecap.br/RBGN/article/view/1534/pdf_44Copyright (c) 2014 Review of Business Managementinfo:eu-repo/semantics/openAccessMastella, MauroCoster, Rodrigo2021-07-21T16:32:15Zoai:ojs.emnuvens.com.br:article/1534Revistahttp://rbgn.fecap.br/RBGN/indexhttps://rbgn.fecap.br/RBGN/oai||jmauricio@fecap.br1983-08071806-4892opendoar:2021-07-21T16:32:15Revista Brasileira de Gestão de Negócios (Online) - Fundação Escola de Comércio Álvares Penteado (FECAP)false
dc.title.none.fl_str_mv The Impact of the 2008 Crisis on BM&FBovespa’s Term Structure of Conditional Correlations
titulo em espanhol
O impacto da crise de 2008 na estrutura temporal de correlação condicional da BM&FBovespa
title The Impact of the 2008 Crisis on BM&FBovespa’s Term Structure of Conditional Correlations
spellingShingle The Impact of the 2008 Crisis on BM&FBovespa’s Term Structure of Conditional Correlations
Mastella, Mauro
GARCH Multivariado
Correlação Condicional
Volatilidade
title_short The Impact of the 2008 Crisis on BM&FBovespa’s Term Structure of Conditional Correlations
title_full The Impact of the 2008 Crisis on BM&FBovespa’s Term Structure of Conditional Correlations
title_fullStr The Impact of the 2008 Crisis on BM&FBovespa’s Term Structure of Conditional Correlations
title_full_unstemmed The Impact of the 2008 Crisis on BM&FBovespa’s Term Structure of Conditional Correlations
title_sort The Impact of the 2008 Crisis on BM&FBovespa’s Term Structure of Conditional Correlations
author Mastella, Mauro
author_facet Mastella, Mauro
Coster, Rodrigo
author_role author
author2 Coster, Rodrigo
author2_role author
dc.contributor.author.fl_str_mv Mastella, Mauro
Coster, Rodrigo
dc.subject.por.fl_str_mv GARCH Multivariado
Correlação Condicional
Volatilidade
topic GARCH Multivariado
Correlação Condicional
Volatilidade
description This article uses a BEKK-MGARCH model toidentify the historical behavior of the term structureof covariance of the Brazilian BM&FBovespa stockexchange when compared to other exchanges in theAmerican continent. The purpose of this researchis to analyze the impact of the 2008 crisis on thecohesion of the Brazilian stock exchange whencompared to the other exchanges in the sample. Tothis end, historical series were collected from fivedifferent stock market indexes ranging from thepre-crisis period until 2011. The bivariate modelingresults indicate the presence of increased cohesionin the stock market indexes during the crisis periodand the non-return of this cohesion to pre-crisislevels. They also indicate that, among the pairsanalyzed, the pair of indexes IBOV x IPSA are themost appropriate choice for portfolio diversification.Keyword s : Mu l t i v a r i a t e G A RCH.Conditional Correlation. Volatility.
publishDate 2014
dc.date.none.fl_str_mv 2014-03-20
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Avaliado por pares
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://rbgn.fecap.br/RBGN/article/view/1534
10.7819/rbgn.v16i50.1534
url https://rbgn.fecap.br/RBGN/article/view/1534
identifier_str_mv 10.7819/rbgn.v16i50.1534
dc.language.iso.fl_str_mv eng
por
language eng
por
dc.relation.none.fl_str_mv https://rbgn.fecap.br/RBGN/article/view/1534/pdf_45
https://rbgn.fecap.br/RBGN/article/view/1534/pdf_44
dc.rights.driver.fl_str_mv Copyright (c) 2014 Review of Business Management
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2014 Review of Business Management
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv FECAP
publisher.none.fl_str_mv FECAP
dc.source.none.fl_str_mv Review of Business Management; Vol. 16 No. 50 (2014); 110-123
RBGN Revista Brasileira de Gestão de Negócios; Vol. 16 Núm. 50 (2014); 110-123
RBGN - Revista Brasileira de Gestão de Negócios; v. 16 n. 50 (2014); 110-123
1983-0807
1806-4892
reponame:Revista Brasileira de Gestão de Negócios (Online)
instname:Fundação Escola de Comércio Álvares Penteado (FECAP)
instacron:FECAP
instname_str Fundação Escola de Comércio Álvares Penteado (FECAP)
instacron_str FECAP
institution FECAP
reponame_str Revista Brasileira de Gestão de Negócios (Online)
collection Revista Brasileira de Gestão de Negócios (Online)
repository.name.fl_str_mv Revista Brasileira de Gestão de Negócios (Online) - Fundação Escola de Comércio Álvares Penteado (FECAP)
repository.mail.fl_str_mv ||jmauricio@fecap.br
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