Volatility Spillover Effects Between S&P500 Sectors - The special case of IT sector

Detalhes bibliográficos
Autor(a) principal: Mendonça, Eduardo José Pereira
Data de Publicação: 2023
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/150752
Resumo: Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Information Analysis and Management
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spelling Volatility Spillover Effects Between S&P500 Sectors - The special case of IT sectorVolatilitySpillover effectVAR modelDCC-GARCH modelBEKK-GARCH modelS&P 500 sectorsDissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Information Analysis and ManagementThe main objective of this dissertation is to study the volatility spillover effect between the Information Technologies sector and the other sectors of S&P 500 index. After many studies and research of volatility spillover effects between developed and emerging stock markets, between markets across different countries or even between different assets indexes it is time to make it between sectors. Deepening this question reflects the importance of this study for investors who invest in stocks of the sectors that compose this index, and therefore, at the same time, these same investors want to diversify their portfolio, thus being a protection strategy against large losses. This study involves the application of three models: VAR model, DCC-GARCH and BEKK-GARCH to help in the scope of this study, which comprises a timeline from January 2012 to December 2021. The results showed that, for instance, volatility spillover effects are more evident in the case between the Information Technologies and Industrials sectors as well as in the case between the Information Technologies and Financials sectors, demonstrating that for example, for Industrials and Financials sectors, the investors that already have stocks on companies of Information Technologies sector may have better options in stocks of companies belonging to other sectors when it comes to invest.Naranjo-Zolotov, Mijail JuanovichRUNMendonça, Eduardo José Pereira2023-01-272026-01-27T00:00:00Z2023-01-27T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/150752TID:203248651enginfo:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-05-22T18:10:14Zoai:run.unl.pt:10362/150752Portal AgregadorONGhttps://www.rcaap.pt/oai/openairemluisa.alvim@gmail.comopendoar:71602024-05-22T18:10:14Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Volatility Spillover Effects Between S&P500 Sectors - The special case of IT sector
title Volatility Spillover Effects Between S&P500 Sectors - The special case of IT sector
spellingShingle Volatility Spillover Effects Between S&P500 Sectors - The special case of IT sector
Mendonça, Eduardo José Pereira
Volatility
Spillover effect
VAR model
DCC-GARCH model
BEKK-GARCH model
S&P 500 sectors
title_short Volatility Spillover Effects Between S&P500 Sectors - The special case of IT sector
title_full Volatility Spillover Effects Between S&P500 Sectors - The special case of IT sector
title_fullStr Volatility Spillover Effects Between S&P500 Sectors - The special case of IT sector
title_full_unstemmed Volatility Spillover Effects Between S&P500 Sectors - The special case of IT sector
title_sort Volatility Spillover Effects Between S&P500 Sectors - The special case of IT sector
author Mendonça, Eduardo José Pereira
author_facet Mendonça, Eduardo José Pereira
author_role author
dc.contributor.none.fl_str_mv Naranjo-Zolotov, Mijail Juanovich
RUN
dc.contributor.author.fl_str_mv Mendonça, Eduardo José Pereira
dc.subject.por.fl_str_mv Volatility
Spillover effect
VAR model
DCC-GARCH model
BEKK-GARCH model
S&P 500 sectors
topic Volatility
Spillover effect
VAR model
DCC-GARCH model
BEKK-GARCH model
S&P 500 sectors
description Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Information Analysis and Management
publishDate 2023
dc.date.none.fl_str_mv 2023-01-27
2023-01-27T00:00:00Z
2026-01-27T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/150752
TID:203248651
url http://hdl.handle.net/10362/150752
identifier_str_mv TID:203248651
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/embargoedAccess
eu_rights_str_mv embargoedAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv mluisa.alvim@gmail.com
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