Transmissão de choques entre mercados bolsistas: o tamanho importa?

Vítor Manuel de Sousa Gabriel, David Rodeiro Pazos

Abstract


Neste estudo é analisada a transmissão de informação no curto prazo entre mercados bolsistas internacionais, relativa ao período compreendido entre 2004 e 2013, através da aplicação de uma nova proposta metodológica, baseada em diversos segmentos de capitalização e num modelo multivariado assimétrico de heterocedasticidade condicionada. Foram selecionados índices relativos a mercados desenvolvidos e a mercados emergentes. Para cada um destes, escolheram-se três segmentos de capitalização, designadamente as Grandes, Médias e Pequenas Capitalizações.

Os resultados obtidos revelam que o índice desenvolvido relativo às Grandes Capitalizações se mostrou particularmente autónomo e que contribuiu para ajudar a explicar movimentos nas rendibilidades dos restantes índices. Foram identificadas evidências de efeito de contágio, quer próprio quer cruzado, mas igualmente de efeito assimétrico na volatilidade dos índices, não dependendo estes efeitos do nível de capitalização dos índices bolsistas. Esta situação coloca grandes desafios aos investidores relativamente à adoção de uma eventual estratégia de diversificação do investimento internacional.


Keywords


Mercados bolsistas internacionais, segmentos de capitalização, vetor autorregressivo, impulso resposta, GARCH multivariado assimétrico.

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References


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