Bolhas racionais nos setores da b3 e eleição para presidente do Brasil de 2022
Autor(a) principal: | |
---|---|
Data de Publicação: | 2023 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Repositório Institucional da UFSCAR |
Texto Completo: | https://repositorio.ufscar.br/handle/ufscar/18286 |
Resumo: | A presidential election process can generate rational expectations of a ‘risk premium’ among investors, with a speculative bias due to political uncertainty, allowing for the occurrence of explosive behavior in stock prices. In this study, stock prices were used at 5-minute intraday intervals to identify and date episodes of rational bubbles (explosive dynamics) in the sectors of B3 (Brazilian Stock Exchange and Over-the-Counter Market) throughout the Brazilian electoral process of 2022: comprising between the 5th business day after the start of electoral propaganda (08/23/2022) until the 15th business day after the second round (11/18/2022), totaling 60 trading sessions. To this end, the Generalized Supremum Augmented Dickey-Fuller test was applied in a panel configuration (Panel GSADF), with each B3 sector being a data panel. The following question was sought to be answered: during the Brazilian electoral period of 2022, were there rational bubbles in the B3 sectors? With the Panel GSADF test methodology, it was possible to detect multiple bubble episodes in the Oil, Gas and Biofuel (2 episodes), Health (2 episodes) and Information Technology (5 episodes) sectors. November 16th presented bubble episodes in these three sectors, with the Health sector having the longest explosive behavior. The studies and results presented in this work may be useful for theoretical and empirical researchers, economic authorities and private sector agents in order to become aware of mechanisms to identify bubbles in financial markets and measure their extensions. |
id |
SCAR_7df855b25c583f687ec33c783bd7220e |
---|---|
oai_identifier_str |
oai:repositorio.ufscar.br:ufscar/18286 |
network_acronym_str |
SCAR |
network_name_str |
Repositório Institucional da UFSCAR |
repository_id_str |
4322 |
spelling |
Ribeiro, Tomás NogueiraSilva Júnior, Geraldo Edmundohttp://lattes.cnpq.br/5138808982229139https://lattes.cnpq.br/4144979322737745https://orcid.org/0009-0000-5684-3566https://orcid.org/0000-0002-7110-468925cc7cfc-2482-4707-b127-b500ee57a1f22023-07-18T18:33:12Z2023-07-18T18:33:12Z2023-05-19RIBEIRO, Tomás Nogueira. Bolhas racionais nos setores da b3 e eleição para presidente do Brasil de 2022. 2023. Dissertação (Mestrado em Economia) – Universidade Federal de São Carlos, Sorocaba, 2023. Disponível em: https://repositorio.ufscar.br/handle/ufscar/18286.https://repositorio.ufscar.br/handle/ufscar/18286A presidential election process can generate rational expectations of a ‘risk premium’ among investors, with a speculative bias due to political uncertainty, allowing for the occurrence of explosive behavior in stock prices. In this study, stock prices were used at 5-minute intraday intervals to identify and date episodes of rational bubbles (explosive dynamics) in the sectors of B3 (Brazilian Stock Exchange and Over-the-Counter Market) throughout the Brazilian electoral process of 2022: comprising between the 5th business day after the start of electoral propaganda (08/23/2022) until the 15th business day after the second round (11/18/2022), totaling 60 trading sessions. To this end, the Generalized Supremum Augmented Dickey-Fuller test was applied in a panel configuration (Panel GSADF), with each B3 sector being a data panel. The following question was sought to be answered: during the Brazilian electoral period of 2022, were there rational bubbles in the B3 sectors? With the Panel GSADF test methodology, it was possible to detect multiple bubble episodes in the Oil, Gas and Biofuel (2 episodes), Health (2 episodes) and Information Technology (5 episodes) sectors. November 16th presented bubble episodes in these three sectors, with the Health sector having the longest explosive behavior. The studies and results presented in this work may be useful for theoretical and empirical researchers, economic authorities and private sector agents in order to become aware of mechanisms to identify bubbles in financial markets and measure their extensions.Um processo eleitoral presidencial pode gerar expectativas racionais de ‘prêmio de risco’ entre os investidores, com um viés especulativo por causa da incerteza política, dando margem para ocorrência de comportamento explosivo nos preços de ações. No presente trabalho foram utilizados preços de ações, em intervalos intradiário de 5 minutos, para identificar e datar episódios de bolhas racionais (dinâmica explosiva) nos setores da B3 (Bolsa de Valores do Brasil e Mercado de Balcão) ao longo do processo eleitoral brasileiro de 2022: compreendido entre o 5º dia útil após o início da propaganda eleitoral (23/08/2022) até o 15º dia útil após o segundo turno (18/11/2022), totalizando 60 pregões. Para tanto, foi aplicado o teste Generalized Supremum Augmented Dickey-Fuller em configuração de painel (Painel GSADF), sendo cada setor da B3 um painel de dados. Buscou-se responder a seguinte pergunta: no período eleitoral brasileiro de 2022, houve bolhas racionais nos setores da B3? Com a metodologia do teste Pinel GSADF foi possível detectar múltiplos episódios de bolhas nos setores de Petróleo, Gás e Biocombustível (2 episódios), de Saúde (2 episódios) e de Tecnologia da Informação (5 episódios). O dia 16 de novembro apresentou episódios de bolhas nesses três setores, sendo no setor Saúde o comportamento explosivo de maior duração. Os estudos e resultados apresentados neste trabalho podem ser úteis para pesquisadores teóricos e empíricos, autoridades econômicas e agentes do setor privado no sentido de tomar conhecimento de mecanismos para identificar bolhas nos mercados financeiros e medir suas extensões.porUniversidade Federal de São CarlosCâmpus SorocabaPrograma de Pós-Graduação em Economia - PPGEc-SoUFSCarAttribution-NonCommercial-NoDerivs 3.0 Brazilhttp://creativecommons.org/licenses/by-nc-nd/3.0/br/info:eu-repo/semantics/openAccessPainel GSADFExuberBolhas RacionaisGSADF PanelRational BubblesCIENCIAS SOCIAIS APLICADAS::ECONOMIACIENCIAS SOCIAIS APLICADAS::ECONOMIA::METODOS QUANTITATIVOS EM ECONOMIABolhas racionais nos setores da b3 e eleição para presidente do Brasil de 2022Rational bubbles in the b3 sectors and the 2022 brazilian presidential electioninfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesis6006001188d533-aca3-4d93-9f1d-2fbfc4b37878reponame:Repositório Institucional da UFSCARinstname:Universidade Federal de São Carlos (UFSCAR)instacron:UFSCARORIGINALDissertacao-RIBEIRO_N_T-PPGEc-So-UFSCar.pdfDissertacao-RIBEIRO_N_T-PPGEc-So-UFSCar.pdfDissertação de Mestrado - RIBEIRO, N. T.application/pdf1306839https://repositorio.ufscar.br/bitstream/ufscar/18286/1/Dissertacao-RIBEIRO_N_T-PPGEc-So-UFSCar.pdf7bd059c5126fa5401a53360cbc729bcfMD51CC-LICENSElicense_rdflicense_rdfapplication/rdf+xml; charset=utf-8810https://repositorio.ufscar.br/bitstream/ufscar/18286/2/license_rdff337d95da1fce0a22c77480e5e9a7aecMD52TEXTDissertacao-RIBEIRO_N_T-PPGEc-So-UFSCar.pdf.txtDissertacao-RIBEIRO_N_T-PPGEc-So-UFSCar.pdf.txtExtracted texttext/plain97504https://repositorio.ufscar.br/bitstream/ufscar/18286/3/Dissertacao-RIBEIRO_N_T-PPGEc-So-UFSCar.pdf.txtada64594b78cefa1d7b0a27f1b2b5ff4MD53ufscar/182862024-05-14 18:26:38.255oai:repositorio.ufscar.br:ufscar/18286Repositório InstitucionalPUBhttps://repositorio.ufscar.br/oai/requestopendoar:43222024-05-14T18:26:38Repositório Institucional da UFSCAR - Universidade Federal de São Carlos (UFSCAR)false |
dc.title.por.fl_str_mv |
Bolhas racionais nos setores da b3 e eleição para presidente do Brasil de 2022 |
dc.title.alternative.eng.fl_str_mv |
Rational bubbles in the b3 sectors and the 2022 brazilian presidential election |
title |
Bolhas racionais nos setores da b3 e eleição para presidente do Brasil de 2022 |
spellingShingle |
Bolhas racionais nos setores da b3 e eleição para presidente do Brasil de 2022 Ribeiro, Tomás Nogueira Painel GSADF Exuber Bolhas Racionais GSADF Panel Rational Bubbles CIENCIAS SOCIAIS APLICADAS::ECONOMIA CIENCIAS SOCIAIS APLICADAS::ECONOMIA::METODOS QUANTITATIVOS EM ECONOMIA |
title_short |
Bolhas racionais nos setores da b3 e eleição para presidente do Brasil de 2022 |
title_full |
Bolhas racionais nos setores da b3 e eleição para presidente do Brasil de 2022 |
title_fullStr |
Bolhas racionais nos setores da b3 e eleição para presidente do Brasil de 2022 |
title_full_unstemmed |
Bolhas racionais nos setores da b3 e eleição para presidente do Brasil de 2022 |
title_sort |
Bolhas racionais nos setores da b3 e eleição para presidente do Brasil de 2022 |
author |
Ribeiro, Tomás Nogueira |
author_facet |
Ribeiro, Tomás Nogueira |
author_role |
author |
dc.contributor.authorlattes.por.fl_str_mv |
https://lattes.cnpq.br/4144979322737745 |
dc.contributor.authororcid.por.fl_str_mv |
https://orcid.org/0009-0000-5684-3566 |
dc.contributor.advisor1orcid.por.fl_str_mv |
https://orcid.org/0000-0002-7110-4689 |
dc.contributor.author.fl_str_mv |
Ribeiro, Tomás Nogueira |
dc.contributor.advisor1.fl_str_mv |
Silva Júnior, Geraldo Edmundo |
dc.contributor.advisor1Lattes.fl_str_mv |
http://lattes.cnpq.br/5138808982229139 |
dc.contributor.authorID.fl_str_mv |
25cc7cfc-2482-4707-b127-b500ee57a1f2 |
contributor_str_mv |
Silva Júnior, Geraldo Edmundo |
dc.subject.por.fl_str_mv |
Painel GSADF Exuber Bolhas Racionais |
topic |
Painel GSADF Exuber Bolhas Racionais GSADF Panel Rational Bubbles CIENCIAS SOCIAIS APLICADAS::ECONOMIA CIENCIAS SOCIAIS APLICADAS::ECONOMIA::METODOS QUANTITATIVOS EM ECONOMIA |
dc.subject.eng.fl_str_mv |
GSADF Panel Rational Bubbles |
dc.subject.cnpq.fl_str_mv |
CIENCIAS SOCIAIS APLICADAS::ECONOMIA CIENCIAS SOCIAIS APLICADAS::ECONOMIA::METODOS QUANTITATIVOS EM ECONOMIA |
description |
A presidential election process can generate rational expectations of a ‘risk premium’ among investors, with a speculative bias due to political uncertainty, allowing for the occurrence of explosive behavior in stock prices. In this study, stock prices were used at 5-minute intraday intervals to identify and date episodes of rational bubbles (explosive dynamics) in the sectors of B3 (Brazilian Stock Exchange and Over-the-Counter Market) throughout the Brazilian electoral process of 2022: comprising between the 5th business day after the start of electoral propaganda (08/23/2022) until the 15th business day after the second round (11/18/2022), totaling 60 trading sessions. To this end, the Generalized Supremum Augmented Dickey-Fuller test was applied in a panel configuration (Panel GSADF), with each B3 sector being a data panel. The following question was sought to be answered: during the Brazilian electoral period of 2022, were there rational bubbles in the B3 sectors? With the Panel GSADF test methodology, it was possible to detect multiple bubble episodes in the Oil, Gas and Biofuel (2 episodes), Health (2 episodes) and Information Technology (5 episodes) sectors. November 16th presented bubble episodes in these three sectors, with the Health sector having the longest explosive behavior. The studies and results presented in this work may be useful for theoretical and empirical researchers, economic authorities and private sector agents in order to become aware of mechanisms to identify bubbles in financial markets and measure their extensions. |
publishDate |
2023 |
dc.date.accessioned.fl_str_mv |
2023-07-18T18:33:12Z |
dc.date.available.fl_str_mv |
2023-07-18T18:33:12Z |
dc.date.issued.fl_str_mv |
2023-05-19 |
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.citation.fl_str_mv |
RIBEIRO, Tomás Nogueira. Bolhas racionais nos setores da b3 e eleição para presidente do Brasil de 2022. 2023. Dissertação (Mestrado em Economia) – Universidade Federal de São Carlos, Sorocaba, 2023. Disponível em: https://repositorio.ufscar.br/handle/ufscar/18286. |
dc.identifier.uri.fl_str_mv |
https://repositorio.ufscar.br/handle/ufscar/18286 |
identifier_str_mv |
RIBEIRO, Tomás Nogueira. Bolhas racionais nos setores da b3 e eleição para presidente do Brasil de 2022. 2023. Dissertação (Mestrado em Economia) – Universidade Federal de São Carlos, Sorocaba, 2023. Disponível em: https://repositorio.ufscar.br/handle/ufscar/18286. |
url |
https://repositorio.ufscar.br/handle/ufscar/18286 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.confidence.fl_str_mv |
600 600 |
dc.relation.authority.fl_str_mv |
1188d533-aca3-4d93-9f1d-2fbfc4b37878 |
dc.rights.driver.fl_str_mv |
Attribution-NonCommercial-NoDerivs 3.0 Brazil http://creativecommons.org/licenses/by-nc-nd/3.0/br/ info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Attribution-NonCommercial-NoDerivs 3.0 Brazil http://creativecommons.org/licenses/by-nc-nd/3.0/br/ |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Universidade Federal de São Carlos Câmpus Sorocaba |
dc.publisher.program.fl_str_mv |
Programa de Pós-Graduação em Economia - PPGEc-So |
dc.publisher.initials.fl_str_mv |
UFSCar |
publisher.none.fl_str_mv |
Universidade Federal de São Carlos Câmpus Sorocaba |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional da UFSCAR instname:Universidade Federal de São Carlos (UFSCAR) instacron:UFSCAR |
instname_str |
Universidade Federal de São Carlos (UFSCAR) |
instacron_str |
UFSCAR |
institution |
UFSCAR |
reponame_str |
Repositório Institucional da UFSCAR |
collection |
Repositório Institucional da UFSCAR |
bitstream.url.fl_str_mv |
https://repositorio.ufscar.br/bitstream/ufscar/18286/1/Dissertacao-RIBEIRO_N_T-PPGEc-So-UFSCar.pdf https://repositorio.ufscar.br/bitstream/ufscar/18286/2/license_rdf https://repositorio.ufscar.br/bitstream/ufscar/18286/3/Dissertacao-RIBEIRO_N_T-PPGEc-So-UFSCar.pdf.txt |
bitstream.checksum.fl_str_mv |
7bd059c5126fa5401a53360cbc729bcf f337d95da1fce0a22c77480e5e9a7aec ada64594b78cefa1d7b0a27f1b2b5ff4 |
bitstream.checksumAlgorithm.fl_str_mv |
MD5 MD5 MD5 |
repository.name.fl_str_mv |
Repositório Institucional da UFSCAR - Universidade Federal de São Carlos (UFSCAR) |
repository.mail.fl_str_mv |
|
_version_ |
1802136424792719360 |