Análise de modelos econométricos na interelação de índices setoriais precificados na B3

• Autor(a) principal: Silva, Carlos Henrique Lima da
• Data de Publicação: 2021
• Tipo de documento: Trabalho de conclusão de curso
• Idioma: por
• Título da fonte: Repositório Institucional da Universidade Federal do Ceará (UFC)
• Texto Completo: http://www.repositorio.ufc.br/handle/riufc/67479
• topic: Índices setoriais; VAR; Finanças; Interrelações

The present work intends to analyse the effects and impacts of the variation of the returns of certain sectorial sectors, of diverse sectors, Brazilian among themselves, using previous empirical and theoretical works and studies that discuss the analysis of the interrelation between the variables. in this context, as well as the behaviour of the indices and as explained the movements in others, in order to explain the functioning of the mechanism and the scope. Where specific econometric technical studies were applied to abstract without respect for the studied topic, such as the autoregressive vector model and Granger's causality test, impulse-response function and decomposition of variance for analysis preparation, used as a basis for the procedures analysis of financial phenomena, given the context of market operation and the conditional Capm model, as well as the adapted CAPM, for filtering and initial selection of data. As a result, the series of returns of the market indexes, behave as complementary, that is, they present short-term relationships, evidence of a common behaviour of the products, dynamics of the financial market, since the variation of prices and returns is influenced directly by such agents (investors)