Impact of the 2014 to 2016 economic crisis on the beta coefficient of the Brazilian stock market
Autor(a) principal: | |
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Data de Publicação: | 2020 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | RACE (Joaçaba. Online) |
Texto Completo: | https://periodicos.unoesc.edu.br/race/article/view/23798 |
Resumo: | Empirical studies have found evidence that the market risk, or market beta, tends to increase in crisis periods. Given the Brazilian economic crisis from 2014 to 2016, this paper investigates whether this crisis had a significant impact on the market risk of the Brazilian firms with stocks negotiated at the Brazilian stock market, Brasil, Bolsa, Balcão (B3). For this, we estimated the trajectory of the beta of a portfolio of stocks traded on B3 for the period from February 2010 to December 2018, considering a conditional CAPM with the dynamics of beta given by a stochastic process combined with conditioning variables related to the economic cycle. We found evidence that the portfolio beta had an increase by January 2015, and only returned to values of the pre-crisis period by March 2018. This evidence is aligned with results found in the international literature and has important implications in terms of risk management. |
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Impact of the 2014 to 2016 economic crisis on the beta coefficient of the Brazilian stock marketImpacto da crise econômica de 2014 a 2016 sobre o coeficiente beta do Mercado de Capitais BrasileiroMarket betaCrisisB3Conditional CAPMKalman filterBeta de mercadoCriseB3CAPM condicionalFiltro de KalmanEmpirical studies have found evidence that the market risk, or market beta, tends to increase in crisis periods. Given the Brazilian economic crisis from 2014 to 2016, this paper investigates whether this crisis had a significant impact on the market risk of the Brazilian firms with stocks negotiated at the Brazilian stock market, Brasil, Bolsa, Balcão (B3). For this, we estimated the trajectory of the beta of a portfolio of stocks traded on B3 for the period from February 2010 to December 2018, considering a conditional CAPM with the dynamics of beta given by a stochastic process combined with conditioning variables related to the economic cycle. We found evidence that the portfolio beta had an increase by January 2015, and only returned to values of the pre-crisis period by March 2018. This evidence is aligned with results found in the international literature and has important implications in terms of risk management. Estudos empíricos têm encontrado evidências de que o risco de mercado, ou beta de mercado, tende a aumentar em períodos de crise. Dada a crise econômica brasileira de 2014 a 2016, o objetivo deste artigo foi analisar se esta teve um impacto significativo sobre o risco de mercado das empresas brasileiras com ações negociadas na Brasil, Bolsa, Balcão (B3). Para isso, estimou-se a trajetória do beta de uma carteira de ações negociadas na B3 para o período de fevereiro de 2010 a dezembro de 2018, considerando um modelo CAPM condicional em que a dinâmica de beta é dada por um processo estocástico combinado com um conjunto de variáveis condicionantes relacionadas ao ciclo econômico. Encontramos evidências de que o beta da carteira teve um aumento a partir de janeiro de 2015 e somente retornou a patamares do período pré-crise a partir de março de 2018. Essas evidências estão de acordo com os resultados encontrados na literatura internacional e têm implicações importantes em termos de gerenciamento de risco. Universidade do Oeste de Santa Catarina2020-08-07info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdftext/htmlhttps://periodicos.unoesc.edu.br/race/article/view/2379810.18593/race.23798RACE - Revista de Administração, Contabilidade e Economia; Vol. 19 No. 3 (2020): RACE set./dez. 2020; 441-462RACE - Revista de Administração, Contabilidade e Economia; v. 19 n. 3 (2020): RACE set./dez. 2020; 441-4622179-49361678-6483reponame:RACE (Joaçaba. Online)instname:Universidade do Oeste de Santa Catarina (UNOESC)instacron:UNOESCporhttps://periodicos.unoesc.edu.br/race/article/view/23798/14743https://periodicos.unoesc.edu.br/race/article/view/23798/15875Copyright (c) 2020 Vinícius Nonato, Paula Tófoliinfo:eu-repo/semantics/openAccessNonato, Vinícius Luís de SouzaTófoli, Paula Virgínia2020-12-01T22:31:06Zoai:ojs.periodicos.unoesc.edu.br:article/23798Revistahttps://portalperiodicos.unoesc.edu.br/racehttps://portalperiodicos.unoesc.edu.br/race/oairace@unoesc.edu.br||editora@unoesc.edu.br2179-49361678-6483opendoar:2020-12-01T22:31:06RACE (Joaçaba. Online) - Universidade do Oeste de Santa Catarina (UNOESC)false |
dc.title.none.fl_str_mv |
Impact of the 2014 to 2016 economic crisis on the beta coefficient of the Brazilian stock market Impacto da crise econômica de 2014 a 2016 sobre o coeficiente beta do Mercado de Capitais Brasileiro |
title |
Impact of the 2014 to 2016 economic crisis on the beta coefficient of the Brazilian stock market |
spellingShingle |
Impact of the 2014 to 2016 economic crisis on the beta coefficient of the Brazilian stock market Nonato, Vinícius Luís de Souza Market beta Crisis B3 Conditional CAPM Kalman filter Beta de mercado Crise B3 CAPM condicional Filtro de Kalman |
title_short |
Impact of the 2014 to 2016 economic crisis on the beta coefficient of the Brazilian stock market |
title_full |
Impact of the 2014 to 2016 economic crisis on the beta coefficient of the Brazilian stock market |
title_fullStr |
Impact of the 2014 to 2016 economic crisis on the beta coefficient of the Brazilian stock market |
title_full_unstemmed |
Impact of the 2014 to 2016 economic crisis on the beta coefficient of the Brazilian stock market |
title_sort |
Impact of the 2014 to 2016 economic crisis on the beta coefficient of the Brazilian stock market |
author |
Nonato, Vinícius Luís de Souza |
author_facet |
Nonato, Vinícius Luís de Souza Tófoli, Paula Virgínia |
author_role |
author |
author2 |
Tófoli, Paula Virgínia |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Nonato, Vinícius Luís de Souza Tófoli, Paula Virgínia |
dc.subject.por.fl_str_mv |
Market beta Crisis B3 Conditional CAPM Kalman filter Beta de mercado Crise B3 CAPM condicional Filtro de Kalman |
topic |
Market beta Crisis B3 Conditional CAPM Kalman filter Beta de mercado Crise B3 CAPM condicional Filtro de Kalman |
description |
Empirical studies have found evidence that the market risk, or market beta, tends to increase in crisis periods. Given the Brazilian economic crisis from 2014 to 2016, this paper investigates whether this crisis had a significant impact on the market risk of the Brazilian firms with stocks negotiated at the Brazilian stock market, Brasil, Bolsa, Balcão (B3). For this, we estimated the trajectory of the beta of a portfolio of stocks traded on B3 for the period from February 2010 to December 2018, considering a conditional CAPM with the dynamics of beta given by a stochastic process combined with conditioning variables related to the economic cycle. We found evidence that the portfolio beta had an increase by January 2015, and only returned to values of the pre-crisis period by March 2018. This evidence is aligned with results found in the international literature and has important implications in terms of risk management. |
publishDate |
2020 |
dc.date.none.fl_str_mv |
2020-08-07 |
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.unoesc.edu.br/race/article/view/23798 10.18593/race.23798 |
url |
https://periodicos.unoesc.edu.br/race/article/view/23798 |
identifier_str_mv |
10.18593/race.23798 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://periodicos.unoesc.edu.br/race/article/view/23798/14743 https://periodicos.unoesc.edu.br/race/article/view/23798/15875 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2020 Vinícius Nonato, Paula Tófoli info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2020 Vinícius Nonato, Paula Tófoli |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf text/html |
dc.publisher.none.fl_str_mv |
Universidade do Oeste de Santa Catarina |
publisher.none.fl_str_mv |
Universidade do Oeste de Santa Catarina |
dc.source.none.fl_str_mv |
RACE - Revista de Administração, Contabilidade e Economia; Vol. 19 No. 3 (2020): RACE set./dez. 2020; 441-462 RACE - Revista de Administração, Contabilidade e Economia; v. 19 n. 3 (2020): RACE set./dez. 2020; 441-462 2179-4936 1678-6483 reponame:RACE (Joaçaba. Online) instname:Universidade do Oeste de Santa Catarina (UNOESC) instacron:UNOESC |
instname_str |
Universidade do Oeste de Santa Catarina (UNOESC) |
instacron_str |
UNOESC |
institution |
UNOESC |
reponame_str |
RACE (Joaçaba. Online) |
collection |
RACE (Joaçaba. Online) |
repository.name.fl_str_mv |
RACE (Joaçaba. Online) - Universidade do Oeste de Santa Catarina (UNOESC) |
repository.mail.fl_str_mv |
race@unoesc.edu.br||editora@unoesc.edu.br |
_version_ |
1800220424517189632 |