EFFECT OF THE 2007/2008 CRISIS ON INTERNATIONAL VOLATILITY TRANSMISSION IN BRAZILIAN CAPITAL MARKET
Autor(a) principal: | |
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Data de Publicação: | 2013 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | REAd (Porto Alegre. Online) |
Texto Completo: | https://seer.ufrgs.br/index.php/read/article/view/41233 |
Resumo: | With the increasing globalization of world, financial markets around the world began to show further integration. This relationship between markets has implications as a term that has attracted the attention of professionals and academics, the transmission of volatility. Thus, this work has as scope to analyze the transmission of volatility in the Brazilian market. For that, we used a multivariate Garch model with BEKK parameterization. Based on this model, we estimated the bilavariate relationships between the Brazilian market, represented by the Bovespa index, and the U.S. markets, Argentine, Mexican and Chinese, also with outcome approached by representative indexes of January, 4 of 2000 to march, 30 of 2010, totaling 2667 observations. The sample was divided into three parts, representing the periods of before, during and after the sub-prime crisis of 2007/2008. The results allow concluding that during the 2008 crisis, in general, there was a change in the direction of the volatility transmission between Brazilian market and the others studied, with Brazil passing to exercise greater influence, because it suffered less consequence due to the financial crisis. Moreover, after the period of turmoil caused by the crisis of 2008, the relationship between the volatility of the Brazilian market with the rest became less asymmetric than in the period before the crisis. |
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EFFECT OF THE 2007/2008 CRISIS ON INTERNATIONAL VOLATILITY TRANSMISSION IN BRAZILIAN CAPITAL MARKETEFECTO DE LA CRISIS DE 2007/2008 EN LA TRANSMISIÓN INTERNACIONAL DE VOLATILIDAD EN EL MERCADO DE CAPITALES BRASILEÑOEFEITO DA CRISE DE 2007/2008 NA TRANSMISSÃO INTERNACIONAL DE VOLATILIDADE NO MERCADO DE CAPITAIS BRASILEIROVolatility spilloverMultivariate GarchCapital marketTransmisión de VolatilidadGarch MultivareadoMercado de CapitalesTransmissão de volatilidadeGarch MultivariadoMercado de capitais With the increasing globalization of world, financial markets around the world began to show further integration. This relationship between markets has implications as a term that has attracted the attention of professionals and academics, the transmission of volatility. Thus, this work has as scope to analyze the transmission of volatility in the Brazilian market. For that, we used a multivariate Garch model with BEKK parameterization. Based on this model, we estimated the bilavariate relationships between the Brazilian market, represented by the Bovespa index, and the U.S. markets, Argentine, Mexican and Chinese, also with outcome approached by representative indexes of January, 4 of 2000 to march, 30 of 2010, totaling 2667 observations. The sample was divided into three parts, representing the periods of before, during and after the sub-prime crisis of 2007/2008. The results allow concluding that during the 2008 crisis, in general, there was a change in the direction of the volatility transmission between Brazilian market and the others studied, with Brazil passing to exercise greater influence, because it suffered less consequence due to the financial crisis. Moreover, after the period of turmoil caused by the crisis of 2008, the relationship between the volatility of the Brazilian market with the rest became less asymmetric than in the period before the crisis. Con la creciente globalización, los mercados financieros del mundo todo pasaron a presentar mayor integración. Tal relación entre mercados tiene como implicación un termo que está llamando la atención de profesionales y académicos, la transmisión de volatilidad. Así, esa investigación tiene como foco analizar la transmisión internacional de volatilidad en el mercado brasileño. Para eso, es usado un modelo Garch multivariado con parametrización BEKK. Con base en ese modelo, son estimados las relaciones bivareadas entre el mercado brasileño, representado por el indice Ibovespa y los mercados americano, argentino, mexicano y chino, usando los indices representativos de 4 de enero de 2000 hasta 31 de marzo de 2010, totalizando 2667 de cotación. La muestra fue compartida en tres partes, representando los períodos anteriores, durante y posteriores a la crisis de 2008 de manera general, hubo cambios en la dirección de transmisión de volatilidad entre el mercado brasileño y los demás investigados, de manera que Brasil pasó a tener mayor influencia en la volatilidad condicional de esos, por haber sufrido menores consecuencias con la crisis financiera. Además, después del período de turbulencia ocasionada por la crisis de 2008, la relación de la volatilidad entre el mercado brasileño con los demás pasó a ser menos asimétrico que en el período anterior a de la crisis. Com a crescente globalização, os mercados financeiros do mundo todo passaram a apresentar maior integração. Tal relacionamento entre mercados possui como implicação um termo que vem atraindo a atenção de profissionais e acadêmicos, a transmissão de volatilidade. Dessa forma, o presente trabalho tem como escopo analisar a transmissão internacional de volatilidade no mercado brasileiro. Para tanto, é utilizado um modelo Garch multivariado com parametrização BEKK. Com base nesse modelo, são estimados os relacionamentos bivariados entre o mercado brasileiro, representado pelo índice Ibovespa, e os mercados americano, argentino, mexicano e chinês, utilizando-se de índices representativos de 4 de janeiro de 2000 até 31 de março de 2010, totalizando 2667 cotações. A amostra foi dividida em três partes, representando os períodos anteriores, durante e posteriores à crise do sub-prime de 2007/2008. Os resultados obtidos permitem concluir que, durante a crise de 2008, de forma geral, houve mudança na direção da transmissão de volatilidade entre o mercado brasileiro e os demais estudados, de forma ao Brasil passar a exercer maior influência na volatilidade condicional desses, por ter sofrido menores consequências com a crise financeira. Além disso, após o período de turbulência causado pela crise de 2008, o relacionamento da volatilidade entre o mercado brasileiro com os demais passou a ser menos assimétrico do que no período anterior a crise. Universidade Federal do Rio Grande do Sul2013-08-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionscientific articleartículo científicoAvaliado pelos paresartigo científicoapplication/pdfhttps://seer.ufrgs.br/index.php/read/article/view/41233Electronic Review of Administration; Vol. 19 No. 2 (2013): Edição 75 - mai/ago 2013; 384-400Revista Electrónica de Administración; Vol. 19 Núm. 2 (2013): Edição 75 - mai/ago 2013; 384-400Revista Eletrônica de Administração; v. 19 n. 2 (2013): Edição 75 - mai/ago 2013; 384-4001413-23111980-4164reponame:REAd (Porto Alegre. Online)instname:Universidade Federal do Rio Grande do Sul (UFRGS)instacron:UFRGSporhttps://seer.ufrgs.br/index.php/read/article/view/41233/26116Brutti Righi, MarceloCeretta, Paulo Sérgioinfo:eu-repo/semantics/openAccess2013-08-14T18:38:48Zoai:seer.ufrgs.br:article/41233Revistahttp://seer.ufrgs.br/index.php/read/indexPUBhttps://seer.ufrgs.br/read/oaiea_read@ufrgs.br1413-23111413-2311opendoar:2013-08-14T18:38:48REAd (Porto Alegre. Online) - Universidade Federal do Rio Grande do Sul (UFRGS)false |
dc.title.none.fl_str_mv |
EFFECT OF THE 2007/2008 CRISIS ON INTERNATIONAL VOLATILITY TRANSMISSION IN BRAZILIAN CAPITAL MARKET EFECTO DE LA CRISIS DE 2007/2008 EN LA TRANSMISIÓN INTERNACIONAL DE VOLATILIDAD EN EL MERCADO DE CAPITALES BRASILEÑO EFEITO DA CRISE DE 2007/2008 NA TRANSMISSÃO INTERNACIONAL DE VOLATILIDADE NO MERCADO DE CAPITAIS BRASILEIRO |
title |
EFFECT OF THE 2007/2008 CRISIS ON INTERNATIONAL VOLATILITY TRANSMISSION IN BRAZILIAN CAPITAL MARKET |
spellingShingle |
EFFECT OF THE 2007/2008 CRISIS ON INTERNATIONAL VOLATILITY TRANSMISSION IN BRAZILIAN CAPITAL MARKET Brutti Righi, Marcelo Volatility spillover Multivariate Garch Capital market Transmisión de Volatilidad Garch Multivareado Mercado de Capitales Transmissão de volatilidade Garch Multivariado Mercado de capitais |
title_short |
EFFECT OF THE 2007/2008 CRISIS ON INTERNATIONAL VOLATILITY TRANSMISSION IN BRAZILIAN CAPITAL MARKET |
title_full |
EFFECT OF THE 2007/2008 CRISIS ON INTERNATIONAL VOLATILITY TRANSMISSION IN BRAZILIAN CAPITAL MARKET |
title_fullStr |
EFFECT OF THE 2007/2008 CRISIS ON INTERNATIONAL VOLATILITY TRANSMISSION IN BRAZILIAN CAPITAL MARKET |
title_full_unstemmed |
EFFECT OF THE 2007/2008 CRISIS ON INTERNATIONAL VOLATILITY TRANSMISSION IN BRAZILIAN CAPITAL MARKET |
title_sort |
EFFECT OF THE 2007/2008 CRISIS ON INTERNATIONAL VOLATILITY TRANSMISSION IN BRAZILIAN CAPITAL MARKET |
author |
Brutti Righi, Marcelo |
author_facet |
Brutti Righi, Marcelo Ceretta, Paulo Sérgio |
author_role |
author |
author2 |
Ceretta, Paulo Sérgio |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Brutti Righi, Marcelo Ceretta, Paulo Sérgio |
dc.subject.por.fl_str_mv |
Volatility spillover Multivariate Garch Capital market Transmisión de Volatilidad Garch Multivareado Mercado de Capitales Transmissão de volatilidade Garch Multivariado Mercado de capitais |
topic |
Volatility spillover Multivariate Garch Capital market Transmisión de Volatilidad Garch Multivareado Mercado de Capitales Transmissão de volatilidade Garch Multivariado Mercado de capitais |
description |
With the increasing globalization of world, financial markets around the world began to show further integration. This relationship between markets has implications as a term that has attracted the attention of professionals and academics, the transmission of volatility. Thus, this work has as scope to analyze the transmission of volatility in the Brazilian market. For that, we used a multivariate Garch model with BEKK parameterization. Based on this model, we estimated the bilavariate relationships between the Brazilian market, represented by the Bovespa index, and the U.S. markets, Argentine, Mexican and Chinese, also with outcome approached by representative indexes of January, 4 of 2000 to march, 30 of 2010, totaling 2667 observations. The sample was divided into three parts, representing the periods of before, during and after the sub-prime crisis of 2007/2008. The results allow concluding that during the 2008 crisis, in general, there was a change in the direction of the volatility transmission between Brazilian market and the others studied, with Brazil passing to exercise greater influence, because it suffered less consequence due to the financial crisis. Moreover, after the period of turmoil caused by the crisis of 2008, the relationship between the volatility of the Brazilian market with the rest became less asymmetric than in the period before the crisis. |
publishDate |
2013 |
dc.date.none.fl_str_mv |
2013-08-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion scientific article artículo científico Avaliado pelos pares artigo científico |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://seer.ufrgs.br/index.php/read/article/view/41233 |
url |
https://seer.ufrgs.br/index.php/read/article/view/41233 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://seer.ufrgs.br/index.php/read/article/view/41233/26116 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Universidade Federal do Rio Grande do Sul |
publisher.none.fl_str_mv |
Universidade Federal do Rio Grande do Sul |
dc.source.none.fl_str_mv |
Electronic Review of Administration; Vol. 19 No. 2 (2013): Edição 75 - mai/ago 2013; 384-400 Revista Electrónica de Administración; Vol. 19 Núm. 2 (2013): Edição 75 - mai/ago 2013; 384-400 Revista Eletrônica de Administração; v. 19 n. 2 (2013): Edição 75 - mai/ago 2013; 384-400 1413-2311 1980-4164 reponame:REAd (Porto Alegre. Online) instname:Universidade Federal do Rio Grande do Sul (UFRGS) instacron:UFRGS |
instname_str |
Universidade Federal do Rio Grande do Sul (UFRGS) |
instacron_str |
UFRGS |
institution |
UFRGS |
reponame_str |
REAd (Porto Alegre. Online) |
collection |
REAd (Porto Alegre. Online) |
repository.name.fl_str_mv |
REAd (Porto Alegre. Online) - Universidade Federal do Rio Grande do Sul (UFRGS) |
repository.mail.fl_str_mv |
ea_read@ufrgs.br |
_version_ |
1799766203682521088 |