Análise de risco do investimento em ações de empresas agrícolas presentes na B³

Detalhes bibliográficos
Autor(a) principal: Ziegler, Cristiano
Data de Publicação: 2019
Tipo de documento: Dissertação
Idioma: por
Título da fonte: Manancial - Repositório Digital da UFSM
dARK ID: ark:/26339/001300000rkrv
Texto Completo: http://repositorio.ufsm.br/handle/1/20239
Resumo: The financial area is important for the development of companies and countries, in need of improved investment techniques. The quest for profit in this market brings with it exposure to a certain level of risk that can be estimated by knowing the persistence of stock volatility. The present study has as main objective to estimate the persistence of the volatility of three agricultural companies, commercialized in B³, using linear and nonlinear modeling. To make this comparison possible, a statistical method, known as Box and Jenkins or ARIMA methodology, and autoregressive models with conditional heteroscedasticity (ARCH), is used. The study begins with a literature review, presenting the concepts of actions and their respective market, the Box-Jenkins models and methodology, the description of the ARCH family model method and recent studies on the subject. Then in the materials and methods, the classification of the research, the data collection with the description of the companies selected for the study and the methodological procedures used in the research are exposed. The share of results was through into two articles, in the first, is carried out the verification of persistence and the peaks of volatility in the stock price of the company SLC Agrícola. The study period was from January 1, 2011 until December 31, 2017. In the second article, it is estimated the persistence of volatility in the prices of three agricultural companies and the Ibovespa index. The period under analysis was from January 1, 2014 until December 31, 2017. At the end of the research, it was evident that the political and economic turbulence contributed to a high persistence of stock price volatility, even though they were similar companies, under the same external influences.
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spelling Análise de risco do investimento em ações de empresas agrícolas presentes na B³Analysis of risk of investment in stocks of agricultural companies present in B³AçõesAgriculturaARIMAARCHStocksAgricultureCNPQ::ENGENHARIAS::ENGENHARIA DE PRODUCAOThe financial area is important for the development of companies and countries, in need of improved investment techniques. The quest for profit in this market brings with it exposure to a certain level of risk that can be estimated by knowing the persistence of stock volatility. The present study has as main objective to estimate the persistence of the volatility of three agricultural companies, commercialized in B³, using linear and nonlinear modeling. To make this comparison possible, a statistical method, known as Box and Jenkins or ARIMA methodology, and autoregressive models with conditional heteroscedasticity (ARCH), is used. The study begins with a literature review, presenting the concepts of actions and their respective market, the Box-Jenkins models and methodology, the description of the ARCH family model method and recent studies on the subject. Then in the materials and methods, the classification of the research, the data collection with the description of the companies selected for the study and the methodological procedures used in the research are exposed. The share of results was through into two articles, in the first, is carried out the verification of persistence and the peaks of volatility in the stock price of the company SLC Agrícola. The study period was from January 1, 2011 until December 31, 2017. In the second article, it is estimated the persistence of volatility in the prices of three agricultural companies and the Ibovespa index. The period under analysis was from January 1, 2014 until December 31, 2017. At the end of the research, it was evident that the political and economic turbulence contributed to a high persistence of stock price volatility, even though they were similar companies, under the same external influences.Coordenação de Aperfeiçoamento de Pessoal de Nível Superior - CAPESA área financeira é importante para o desenvolvimento de empresas e países, necessitando de técnicas de investimento aprimoradas. A busca pelo lucro nesse mercado traz consigo exposição a certo nível de risco que pode ser estimado conhecendo a persistência da volatilidade nas ações. O presente estudo tem como objetivo principal estimar a persistência da volatilidade de três empresas agrícolas comercializadas na B³ por meio da utilização de modelagem linear e não linear. Para possibilitar essa comparação, é utilizado um método estatístico, conhecido como metodologia Box e Jenkins ou ARIMA, e modelos autorregressivos com heterocedasticidade condicional (ARCH). O estudo inicia com uma revisão de literatura, apresentando os conceitos de ações e seu respectivo mercado, os modelos e metodologia Box e Jenkins, a descrição do método de modelos da família ARCH e estudos recentes sobre o tema. Em seguida nos materiais e métodos, é exposto a classificação da pesquisa, a coleta de dados com a descrição das empresas selecionadas para o estudo e os procedimentos metodológicos utilizados na pesquisa. A parte de resultados foi dividida em dois artigos, no primeiro, é realizada a verificação da persistência e os picos de volatilidade no preço das ações da SLC Agrícola, o período de estudo é de primeiro de janeiro de 2011 até 31 de dezembro 2017. No segundo artigo, é estimada a persistência da volatilidade nos preços de três empresas agrícolas e do índice Ibovespa, o período em análise é de primeiro de janeiro de 2014 até 31 de dezembro 2017. Ao final da pesquisa, ficou evidente que a turbulência política e econômica contribuiu para uma elevada persistência da volatilidade nos preços das ações, mesmo sendo empresas semelhantes, sob as mesmas influências externas.Universidade Federal de Santa MariaBrasilEngenharia de ProduçãoUFSMPrograma de Pós-Graduação em Engenharia de ProduçãoCentro de TecnologiaSouza, Adriano Mendonçahttp://lattes.cnpq.br/5271075797851198Maehler, Alisson Eduardohttp://lattes.cnpq.br/6602132557607860Silva, Wesley Vieira dahttp://lattes.cnpq.br/1710286275396858Ziegler, Cristiano2021-01-04T10:30:46Z2021-01-04T10:30:46Z2019-02-21info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://repositorio.ufsm.br/handle/1/20239ark:/26339/001300000rkrvporAttribution-NonCommercial-NoDerivatives 4.0 Internationalhttp://creativecommons.org/licenses/by-nc-nd/4.0/info:eu-repo/semantics/openAccessreponame:Manancial - Repositório Digital da UFSMinstname:Universidade Federal de Santa Maria (UFSM)instacron:UFSM2021-01-05T06:01:22Zoai:repositorio.ufsm.br:1/20239Biblioteca Digital de Teses e Dissertaçõeshttps://repositorio.ufsm.br/ONGhttps://repositorio.ufsm.br/oai/requestatendimento.sib@ufsm.br||tedebc@gmail.comopendoar:2021-01-05T06:01:22Manancial - Repositório Digital da UFSM - Universidade Federal de Santa Maria (UFSM)false
dc.title.none.fl_str_mv Análise de risco do investimento em ações de empresas agrícolas presentes na B³
Analysis of risk of investment in stocks of agricultural companies present in B³
title Análise de risco do investimento em ações de empresas agrícolas presentes na B³
spellingShingle Análise de risco do investimento em ações de empresas agrícolas presentes na B³
Ziegler, Cristiano
Ações
Agricultura
ARIMA
ARCH
Stocks
Agriculture
CNPQ::ENGENHARIAS::ENGENHARIA DE PRODUCAO
title_short Análise de risco do investimento em ações de empresas agrícolas presentes na B³
title_full Análise de risco do investimento em ações de empresas agrícolas presentes na B³
title_fullStr Análise de risco do investimento em ações de empresas agrícolas presentes na B³
title_full_unstemmed Análise de risco do investimento em ações de empresas agrícolas presentes na B³
title_sort Análise de risco do investimento em ações de empresas agrícolas presentes na B³
author Ziegler, Cristiano
author_facet Ziegler, Cristiano
author_role author
dc.contributor.none.fl_str_mv Souza, Adriano Mendonça
http://lattes.cnpq.br/5271075797851198
Maehler, Alisson Eduardo
http://lattes.cnpq.br/6602132557607860
Silva, Wesley Vieira da
http://lattes.cnpq.br/1710286275396858
dc.contributor.author.fl_str_mv Ziegler, Cristiano
dc.subject.por.fl_str_mv Ações
Agricultura
ARIMA
ARCH
Stocks
Agriculture
CNPQ::ENGENHARIAS::ENGENHARIA DE PRODUCAO
topic Ações
Agricultura
ARIMA
ARCH
Stocks
Agriculture
CNPQ::ENGENHARIAS::ENGENHARIA DE PRODUCAO
description The financial area is important for the development of companies and countries, in need of improved investment techniques. The quest for profit in this market brings with it exposure to a certain level of risk that can be estimated by knowing the persistence of stock volatility. The present study has as main objective to estimate the persistence of the volatility of three agricultural companies, commercialized in B³, using linear and nonlinear modeling. To make this comparison possible, a statistical method, known as Box and Jenkins or ARIMA methodology, and autoregressive models with conditional heteroscedasticity (ARCH), is used. The study begins with a literature review, presenting the concepts of actions and their respective market, the Box-Jenkins models and methodology, the description of the ARCH family model method and recent studies on the subject. Then in the materials and methods, the classification of the research, the data collection with the description of the companies selected for the study and the methodological procedures used in the research are exposed. The share of results was through into two articles, in the first, is carried out the verification of persistence and the peaks of volatility in the stock price of the company SLC Agrícola. The study period was from January 1, 2011 until December 31, 2017. In the second article, it is estimated the persistence of volatility in the prices of three agricultural companies and the Ibovespa index. The period under analysis was from January 1, 2014 until December 31, 2017. At the end of the research, it was evident that the political and economic turbulence contributed to a high persistence of stock price volatility, even though they were similar companies, under the same external influences.
publishDate 2019
dc.date.none.fl_str_mv 2019-02-21
2021-01-04T10:30:46Z
2021-01-04T10:30:46Z
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://repositorio.ufsm.br/handle/1/20239
dc.identifier.dark.fl_str_mv ark:/26339/001300000rkrv
url http://repositorio.ufsm.br/handle/1/20239
identifier_str_mv ark:/26339/001300000rkrv
dc.language.iso.fl_str_mv por
language por
dc.rights.driver.fl_str_mv Attribution-NonCommercial-NoDerivatives 4.0 International
http://creativecommons.org/licenses/by-nc-nd/4.0/
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Attribution-NonCommercial-NoDerivatives 4.0 International
http://creativecommons.org/licenses/by-nc-nd/4.0/
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade Federal de Santa Maria
Brasil
Engenharia de Produção
UFSM
Programa de Pós-Graduação em Engenharia de Produção
Centro de Tecnologia
publisher.none.fl_str_mv Universidade Federal de Santa Maria
Brasil
Engenharia de Produção
UFSM
Programa de Pós-Graduação em Engenharia de Produção
Centro de Tecnologia
dc.source.none.fl_str_mv reponame:Manancial - Repositório Digital da UFSM
instname:Universidade Federal de Santa Maria (UFSM)
instacron:UFSM
instname_str Universidade Federal de Santa Maria (UFSM)
instacron_str UFSM
institution UFSM
reponame_str Manancial - Repositório Digital da UFSM
collection Manancial - Repositório Digital da UFSM
repository.name.fl_str_mv Manancial - Repositório Digital da UFSM - Universidade Federal de Santa Maria (UFSM)
repository.mail.fl_str_mv atendimento.sib@ufsm.br||tedebc@gmail.com
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