IMPACT LOCK NEW YORK STOCK EXCHANGE (NYSE) ABOUT THE MARKET RISK OF NEGOTIATED COMPANIES IN BM & FBOVESPA: A STUDY ON THE OPTICAL OF MARKET BETWEEN INTERDEPENDENCE

Detalhes bibliográficos
Autor(a) principal: Barbosa, Josilene da Silva
Data de Publicação: 2016
Outros Autores: Ribeiro, Flávio, Consoni, Silvia, Soares, Rodrigo Oliveira, Frega, José Roberto
Tipo de documento: Artigo
Idioma: por
Título da fonte: Revista Ambiente Contábil
Texto Completo: https://periodicos.ufrn.br/ambiente/article/view/6567
Resumo: In the last week of October 2012, due to the weather phenomenon Sandy, the Stock Exchange of New York (NYSE) suspended operations for two consecutive days. At the same time, the BM&FBovespa reduced its trading volume those days, which may be related due to integration between markets. The aim of this study was to verify if the closing of the NYSE, on 29 and 30 October 2012, changed the market risk of Brazilian companies traded. To carry out the research, we proceeded to an analysis of structural breaks using the Chow’s test (1960) in a sample of 198 companies. The main results indicate that, among the companies in the sample, 60% have shown structural break during the analyzed days. For these companies the significance of the test remained between 0.0000 to 0.0469 (day 29) and 0.0000 to 0.0411 (day 30). The segmented analysis by sector indicates that the sectors of Information Technology (87.50%, 7 companies) and Oil and Gas (83.33%, 5 companies) had the highest scores of structural break, followed by sectors telecommunications (80.00%), industrial goods (64.71). Furthermore, 75% of the companies that trade ADR’s on the NYSE had presented structural break.Keywords: Interdependence. Capital Markets. Structural Break.
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spelling IMPACT LOCK NEW YORK STOCK EXCHANGE (NYSE) ABOUT THE MARKET RISK OF NEGOTIATED COMPANIES IN BM & FBOVESPA: A STUDY ON THE OPTICAL OF MARKET BETWEEN INTERDEPENDENCEIMPACTO DE CIERRE DE LA BOLSA DE VALORES DE NUEVA YORK (NYSE) EN EL NEGOCIO DE RIESGO DE MERCADO EN EL NEGOCIADO BM & FBOVESPA: UN ESTUDIO SOBRE LOS MERCADOS ÓPTICA ENTRE LA INTERDEPENDENCIAIMPACTO DO FECHAMENTO DA BOLSA DE VALORES DE NOVA YORK (NYSE) SOBRE O RISCO DE MERCADO DAS EMPRESAS NEGOCIADAS NA BM&FBOVESPA: UM ESTUDO SOBRE A ÓTICA DA INTERDEPENDENCIA ENTRE MERCADOSIn the last week of October 2012, due to the weather phenomenon Sandy, the Stock Exchange of New York (NYSE) suspended operations for two consecutive days. At the same time, the BM&FBovespa reduced its trading volume those days, which may be related due to integration between markets. The aim of this study was to verify if the closing of the NYSE, on 29 and 30 October 2012, changed the market risk of Brazilian companies traded. To carry out the research, we proceeded to an analysis of structural breaks using the Chow’s test (1960) in a sample of 198 companies. The main results indicate that, among the companies in the sample, 60% have shown structural break during the analyzed days. For these companies the significance of the test remained between 0.0000 to 0.0469 (day 29) and 0.0000 to 0.0411 (day 30). The segmented analysis by sector indicates that the sectors of Information Technology (87.50%, 7 companies) and Oil and Gas (83.33%, 5 companies) had the highest scores of structural break, followed by sectors telecommunications (80.00%), industrial goods (64.71). Furthermore, 75% of the companies that trade ADR’s on the NYSE had presented structural break.Keywords: Interdependence. Capital Markets. Structural Break.La última semana de octubre de 2012, debido al fenómeno climático de arena, la Bolsa de Valores de Nueva York (NYSE) operaciones suspendido por dos días consecutivos (29 y 30 de octubre). Al mismo tiempo, la Bolsa de São Paulo (BM & FBovespa) tuvo su volumen reducido negociaciones, que pueden estar relacionados con la integración de los mercados. El objetivo de esta investigación es verificar que el cierre de la Bolsa de Nueva York, el 29 y30 de octubre de 2012, cambió el riesgo de mercado de las empresas públicas brasileñas. Para lograr la investigación, se procedió a un análisis de quiebre estructural mediante el test de Chow (1960) en una muestra de 198 empresas. Los resultados indicaron que entre los componentes de las empresas de la muestra, el 60% tenían ruptura estructural en los días analizados. Para estas empresas para poner a prueba la importancia permaneció entre0,0000 a0,0469 (29) y0,0000 a0,0411 (30a). El análisis segmentado por sectores indica que los sectores de tecnología de la información (87,50%, 7 empresas) y de Petróleo y Gas (83,33%, 5 empresas) tenían las puntuaciones más altas de cambio estructural, seguido de los sectores Telecomunicaciones (80,00%), bienes industriales (64,71). Sin embargo, de las 20 empresas de la muestra que cotizan ADR en la Bolsa de Nueva York, el 75% tenían ruptura estructural.Palabras clave: La Interdependencia. Los Mercados de Capitales. Roturas Estructurales.Na última semana de outubro de 2012, devido ao fenômeno climático Sandy, a Bolsa de Valores de Nova York (NYSE) suspendeu suas operações por dois dias consecutivos (29 e 30 de outubro). Concomitantemente, a Bolsa de Valores de São Paulo (BM&FBovespa) teve seu volume de negociações reduzido, o que pode estar relacionado à integração entre mercados. O objetivo desta pesquisa consiste em verificar se o fechamento da NYSE, nos dias 29 e 30 de outubro de 2012, alterou o risco de mercado das empresas brasileiras de capital aberto. Para a consecução da pesquisa, procedeu-se a uma análise de quebra estrutural utilizando o teste de Chow (1960) em uma amostra de 198 empresas. Os resultados indicaram que, dentre as empresas componentes da amostra, 60% apresentaram quebra estrutural nos dias analisados.  Para essas empresas a significância do teste manteve-se entre 0,0000 a 0,0469 (dia 29) e 0,0000 a 0,0411 (dia 30). A análise segmentada por setor indica que os setores de Tecnologia da Informação (87,50%, 7 empresas) e de Petróleo, Gás e Biocombustíveis (83,33%, 5 empresas) apresentaram os maiores escores de quebra estrutural, seguidos pelos setores de Telecomunicações (80,00%), Bens Industriais (64,71). Ainda, das 20 empresas da amostra que negociam ADR’s na NYSE, 75% apresentaram quebra estrutural.Palavras-chave: Interdependência. Mercado de Capitais. Quebra Estrutural.Portal de Periódicos Eletrônicos da UFRN2016-01-03info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://periodicos.ufrn.br/ambiente/article/view/656710.21680/2176-9036.2016v8n1ID6567REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte; Vol. 8 No. 1 (2016): Jan./Jun.; 17-33REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte; Vol. 8 Núm. 1 (2016): Jan./Jun.; 17-33REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte - ISSN 2176-9036; v. 8 n. 1 (2016): Jan./Jun.; 17-332176-903610.21680/2176-9036.2016v8n1reponame:Revista Ambiente Contábilinstname:Universidade Federal do Rio Grande do Norte (UFRN)instacron:UFRNporhttps://periodicos.ufrn.br/ambiente/article/view/6567/5987Copyright (c) 2016 REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte - ISSN 2176-9036info:eu-repo/semantics/openAccessBarbosa, Josilene da SilvaRibeiro, FlávioConsoni, SilviaSoares, Rodrigo OliveiraFrega, José Roberto2021-11-23T11:16:09Zoai:periodicos.ufrn.br:article/6567Revistahttps://periodicos.ufrn.br/ambientePUBhttps://periodicos.ufrn.br/ambiente/oai||prof.mauriciocsilva@gmail.com2176-90362176-9036opendoar:2021-11-23T11:16:09Revista Ambiente Contábil - Universidade Federal do Rio Grande do Norte (UFRN)false
dc.title.none.fl_str_mv IMPACT LOCK NEW YORK STOCK EXCHANGE (NYSE) ABOUT THE MARKET RISK OF NEGOTIATED COMPANIES IN BM & FBOVESPA: A STUDY ON THE OPTICAL OF MARKET BETWEEN INTERDEPENDENCE
IMPACTO DE CIERRE DE LA BOLSA DE VALORES DE NUEVA YORK (NYSE) EN EL NEGOCIO DE RIESGO DE MERCADO EN EL NEGOCIADO BM & FBOVESPA: UN ESTUDIO SOBRE LOS MERCADOS ÓPTICA ENTRE LA INTERDEPENDENCIA
IMPACTO DO FECHAMENTO DA BOLSA DE VALORES DE NOVA YORK (NYSE) SOBRE O RISCO DE MERCADO DAS EMPRESAS NEGOCIADAS NA BM&FBOVESPA: UM ESTUDO SOBRE A ÓTICA DA INTERDEPENDENCIA ENTRE MERCADOS
title IMPACT LOCK NEW YORK STOCK EXCHANGE (NYSE) ABOUT THE MARKET RISK OF NEGOTIATED COMPANIES IN BM & FBOVESPA: A STUDY ON THE OPTICAL OF MARKET BETWEEN INTERDEPENDENCE
spellingShingle IMPACT LOCK NEW YORK STOCK EXCHANGE (NYSE) ABOUT THE MARKET RISK OF NEGOTIATED COMPANIES IN BM & FBOVESPA: A STUDY ON THE OPTICAL OF MARKET BETWEEN INTERDEPENDENCE
Barbosa, Josilene da Silva
title_short IMPACT LOCK NEW YORK STOCK EXCHANGE (NYSE) ABOUT THE MARKET RISK OF NEGOTIATED COMPANIES IN BM & FBOVESPA: A STUDY ON THE OPTICAL OF MARKET BETWEEN INTERDEPENDENCE
title_full IMPACT LOCK NEW YORK STOCK EXCHANGE (NYSE) ABOUT THE MARKET RISK OF NEGOTIATED COMPANIES IN BM & FBOVESPA: A STUDY ON THE OPTICAL OF MARKET BETWEEN INTERDEPENDENCE
title_fullStr IMPACT LOCK NEW YORK STOCK EXCHANGE (NYSE) ABOUT THE MARKET RISK OF NEGOTIATED COMPANIES IN BM & FBOVESPA: A STUDY ON THE OPTICAL OF MARKET BETWEEN INTERDEPENDENCE
title_full_unstemmed IMPACT LOCK NEW YORK STOCK EXCHANGE (NYSE) ABOUT THE MARKET RISK OF NEGOTIATED COMPANIES IN BM & FBOVESPA: A STUDY ON THE OPTICAL OF MARKET BETWEEN INTERDEPENDENCE
title_sort IMPACT LOCK NEW YORK STOCK EXCHANGE (NYSE) ABOUT THE MARKET RISK OF NEGOTIATED COMPANIES IN BM & FBOVESPA: A STUDY ON THE OPTICAL OF MARKET BETWEEN INTERDEPENDENCE
author Barbosa, Josilene da Silva
author_facet Barbosa, Josilene da Silva
Ribeiro, Flávio
Consoni, Silvia
Soares, Rodrigo Oliveira
Frega, José Roberto
author_role author
author2 Ribeiro, Flávio
Consoni, Silvia
Soares, Rodrigo Oliveira
Frega, José Roberto
author2_role author
author
author
author
dc.contributor.author.fl_str_mv Barbosa, Josilene da Silva
Ribeiro, Flávio
Consoni, Silvia
Soares, Rodrigo Oliveira
Frega, José Roberto
description In the last week of October 2012, due to the weather phenomenon Sandy, the Stock Exchange of New York (NYSE) suspended operations for two consecutive days. At the same time, the BM&FBovespa reduced its trading volume those days, which may be related due to integration between markets. The aim of this study was to verify if the closing of the NYSE, on 29 and 30 October 2012, changed the market risk of Brazilian companies traded. To carry out the research, we proceeded to an analysis of structural breaks using the Chow’s test (1960) in a sample of 198 companies. The main results indicate that, among the companies in the sample, 60% have shown structural break during the analyzed days. For these companies the significance of the test remained between 0.0000 to 0.0469 (day 29) and 0.0000 to 0.0411 (day 30). The segmented analysis by sector indicates that the sectors of Information Technology (87.50%, 7 companies) and Oil and Gas (83.33%, 5 companies) had the highest scores of structural break, followed by sectors telecommunications (80.00%), industrial goods (64.71). Furthermore, 75% of the companies that trade ADR’s on the NYSE had presented structural break.Keywords: Interdependence. Capital Markets. Structural Break.
publishDate 2016
dc.date.none.fl_str_mv 2016-01-03
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://periodicos.ufrn.br/ambiente/article/view/6567
10.21680/2176-9036.2016v8n1ID6567
url https://periodicos.ufrn.br/ambiente/article/view/6567
identifier_str_mv 10.21680/2176-9036.2016v8n1ID6567
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://periodicos.ufrn.br/ambiente/article/view/6567/5987
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 Portal de Periódicos Eletrônicos da UFRN
publisher.none.fl_str_mv Portal de Periódicos Eletrônicos da UFRN
dc.source.none.fl_str_mv REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte; Vol. 8 No. 1 (2016): Jan./Jun.; 17-33
REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte; Vol. 8 Núm. 1 (2016): Jan./Jun.; 17-33
REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte - ISSN 2176-9036; v. 8 n. 1 (2016): Jan./Jun.; 17-33
2176-9036
10.21680/2176-9036.2016v8n1
reponame:Revista Ambiente Contábil
instname:Universidade Federal do Rio Grande do Norte (UFRN)
instacron:UFRN
instname_str Universidade Federal do Rio Grande do Norte (UFRN)
instacron_str UFRN
institution UFRN
reponame_str Revista Ambiente Contábil
collection Revista Ambiente Contábil
repository.name.fl_str_mv Revista Ambiente Contábil - Universidade Federal do Rio Grande do Norte (UFRN)
repository.mail.fl_str_mv ||prof.mauriciocsilva@gmail.com
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