Análise de risco do investimento em ações de empresas agrícolas presentes na B³
Autor(a) principal: | |
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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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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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1815172385453637632 |