O efeito contágio da crise do subprime no mercado acionário brasileiro

• Autor(a) principal: Ferreira, Douglas Marcos
• Data de Publicação: 2012
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: LOCUS Repositório Institucional da UFV
• Texto Completo: http://locus.ufv.br/handle/123456789/59
• topic: Contágio; Crises financeiras; Modelos de volatilidade condicional multivariado; Contagion; Financial crises; Multivariate conditional volatility models; CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA::ECONOMIA INTERNACIONAL

The increasing integration and globalization of finance, which enabled increased liquidity in the international economy, were accompanied by unstable scenarios generated by financial crises. These were transmitted primarily to emerging economies, characterized by higher fragility in the face of risk aversion and search for liquidity. Given the international subprime crisis, transmitted to Brazilian economy after the collapse of U.S. bank Lehman Brothers, it is important to analyze in to what extent were the shocks on U.S. stock market transmitted to various market segments in Brazil. In this context, this study aimed to examine the contagion effect of financial crisis on stock market indices in Brazil. Specifically, we analyze the causality between the variances of the stock indices of Brazilian and American markets and investigate the contagion to the Brazilian stock indices in the sectors of telecommunications, electric power, industrial, consumer, financial and real estate. The empirical analysis proposed in this paper was based on the conditional volatility model GARCH (General Autoregressive Conditional Heteroscedasticity) multivariate. This model allowed analyzing the contagion effect of the subprime financial crisis on the Brazilian stock market, by allowing the study of the pattern of volatilities and co-volatilities during this period of financial instability. The Test for Causality in Variance from univariate GARCH models aimed to verify the occurrence of increases in volatility between Brazilian and American markets at certain times. The results of causality tests in variance identified the influence of U.S. stock indexes on Brazil, in the sense it caused an increase in the volatility of Brazilian market. Regarding the analysis of financial contagion to the stock market in Brazil, the structure of covariances estimated from the GARCH-BEKK models, between the years 2007 and 2010, showed clear evidence of infection in all indexes. On the period characterized by the financial crisis there was an increase in the covariance between North American and Brazilian indices. Among the indices analyzed, Real Estate and Financial had the highest contagion, reflecting the loss of civil construction industries, coupled with lack of internal and external credit. The other indexes analyzed showed an increase of lesser magnitude on the covariance with the U.S. market, suggesting a lower contagion for these indexes. It is worth emphasizing the importance of adopting countercyclical measures by the Brazilian government to reduce the impacts of financial crisis on the Brazilian economy, and especially for those sectors that are suffering the impact of contagion in the stock market.