Comportamento dos mercados bolsistas internacionais: uma análise relativa a períodos de crise
Abstract
Neste trabalho é estudado o impacto da crise financeira global no comportamento dos mercados bolsistas internacionais, quer no curto prazo quer no longo prazo. Com este objetivo foram selecionados doze mercados bolsistas internacionais e escolhido o período compreendido entre 4/10/1999 e 30/06/2011.
Para analisar o comportamento dos mercados numa perspetiva de curto prazo, recorreu-se ao modelo multivariado de correlação condicional dinâmica (DCC-GARCH), desenvolvido por Engle (2002), e ao teste de valores extremos, de modo a analisar as consequências da emergência da crise financeira global. Os coeficientes de correlação dinâmica permitiram concluir que ocorreu um aumento significativo no último subperíodo, confirmando a existência de efeitos de contágio entre os mercados bolsistas estudados. Complementarmente, os testes de valores extremos evidenciaram o mês de outubro de 2008 como o ponto crítico desse efeito.
A análise de componentes principais permitiu evidenciar a ocorrência de algumas relações de equilíbrio de longo prazo entre os mercados, em especial nos subperíodos amostrais relativos a fases de crise.
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