Correlação conditional dinâmica, spillover de volatilidade e hedge para os preços do petróleo futuro e das ações das principais empresas do setor petrolífero
DOI:
https://doi.org/10.1590/1980-53575325ampcPalavras-chave:
Correlação Condicional Dinâmica–DCC, Spillover de volatilidade, Hedge, PetróleoResumo
Neste artigo utilizou as abordagens da Correlação Condicional Dinâmica — DCC proposto por Engle (2002), a abordagem do Índice de Spillover de volatilidade abordado por Diebold e Yilmaz (2009, 2012, 2014, 2015) e o Hedge abordado por Maghyereh et al. (2017), para estudar o mecanismo de transmissão de choque, o contágio de volatilidade e a diversificação de carteira no setor petrolífero da volatilidade entre as variações de preços do petróleo e as variações dos preços das ações de empresas do setor petrolífero em um período que engloba a pandemia da covid-19. Os resultados da pesquisa sugeriram que as variações dos preços do petróleo da WTI e as empresas petrolíferas, apresentaram volatilidade expressiva, com picos sem precedentes no período da pandemia da covid-19. Além disso, os resultados sinalizaram que as transmissões de volatilidade no setor petrolífero não variam ao longo do tempo, ou seja, são semelhantes desde da crise financeira de 2007/2009. Por fim, discutiu-se a eficácia da razão ótima do hedge na diversificação de carteira entre o petróleo do WTI e empresas petrolíferas.
Downloads
Referências
Ahmed, M. Y. e S. A. Sarkodie. 2021. “Counterfactual shock in energy commodities affects stock market dynamics: evidence from the United States”. Resour. Pol. 72.
Ahundjanov, B. B., S. B. Akhundjanov e B. B. Okhunjanov. 2021. “Risk perception and oil and gasoline markets under COVID-19”. Journal of Economics and Business, 115(C).
Alqahtani, A., R. Selmi e O. Hongbing. 2021. “The financial impacts of jump processes in the crude oil price: evidence from G20 countries in the pre-and post-COVID-19”. Resources Policy 72(C).
Aloui, D., S. Goutte, K. Guesmi e R Hchaichi. 2020. “COVID 19’s impact on crude oil and natural gas S&P GS Indexes”. Working Papers halshs-02613280.
Amar, A. B., F, Belaid, A. B. Youssef, B. Chiao e K. Guesmi. 2020. “The unprecedented reaction of equity and commodity markets to COVID-19”. Finance Research Letters 38.
Antonakakis, N., J. Cunado, G. Filis, D. Gabauer e F. Perez de Gracia. 2018. “Oil volatility, oil and gas firms and portfolio diversification”. Energy Economics 70: 499-515.
Ashraf, B. N. 2020. “Stock markets’ reaction to COVID-19: cases or fatalities?”. Research in International Business and Finance 54.
Baker, S. R, N. Bloom, S. J. Davis, K. J. Kost, M. C. Sammon e T. Viratyosin. 2020. “The unprecedented stock market impact of COVID-19”. CEPR Covid Economics Review, NBER Working Paper No. w26945.
Corbet, S., J. W. Goodell e S. Günay. 2020. “Co-movements and spillovers of oil and renewable firms under extreme conditions: New Evidence from negative WTI prices during COVID-19”. Energy Economics 92.
Cucinotta, D. e M. Vanelli. 2020. “WHO Declares COVID-19 a Pandemic”. Acta Biomed 91 (1): 157-160.
Diebold, F. X. e K. Yilmaz. 2009. “Measuring financial asset return and volatility spillovers, with application to global equity markets”. Economic Journal 119(534): 158-171.
Diebold, F. X. e K. Yilmaz. 2012. “Better to Give than to Receive: Predictive Directional Measurement of Volatility Spillovers”.
International Journal of Forecasting 28: 57-66.
Diebold, F. X. e K. Yilmaz. 2014. “On the network topology of variance decompositions: measuring the connectedness of financial firms”. Journal of Econometrics 182 (1): 119-134.
Diebold, F. X. e K. Yilmaz. 2015. Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring. Oxford University Press.
Dornbusch, R.Diebold, F. X. e K. Yilmaz, Y. C. Park e S. Claessens. 2000. “Contagion: Understanding How It Spreads’. World Bank Research Observer 15 (2): 177-197.
Engle, R. 2002. “Dynamic conditional correlation: a simple class of multivariate generalized autoregressive conditional heteroskedasticity models”. Journal of Business & Economic Statistics 20 (3): 339-350.
Farid, S., G. M. Kayani, M. A. Naeem e S. J. H. Shahzad. 2021. “Intraday volatility transmission among precious metals, energy and stocks during the COVID-19 pandemic”. Resources Policy 72 (C).
Fiorentini, G., G. Sentana e G. Calzolari. 2003. “Maximum likelihood estimation and inference in multivariate conditionally heteroskedastic dynamic regression models with Student t innovations”. Journal of Business & Economic Statistics 21 (4): 532-546.
Forbes, K. e R. Rigobon. 2001. “Measuring contagion: conceptual and empirical issues”. International Financial Contagion 1: 43-66.
Forsberg, L. e E. Ghysels. 2007. “Why do absolute returns predict volatility so well?” Journal of Financial Econometrics 5 (1): 31-67.
Gil-Alana, L. A. e M. Monge. 2020. “Preços do petróleo bruto e COVID-19: Persistência do choque”. Energy Research Letters 1 (1): 1-4.
Global Ranking. 2021. “Largest Companies by Market Cap”. Disponível em: https://companiesmarketcap.com/.Acesso em: 10 mar. 2022.
Goodell, J. W. 2020. “COVID-19 and finance: agendas for future research”. Finance Research Letters 35.
Guru, B. K. e A. Das. 2021. “COVID-19 and uncertainty spillovers in Indian stock market”. MethodsX 8: 1-8.
Heyden, K. J. e T. Heyden. 2020. “Market reactions to the arrival and containment of COVID-19: an event study”. Finance Research Letters, 38.
Haroon, O. e S. A. R. Rizvi. 2020. “COVID-19: media coverage and financial markets behavior—A sectoral inquiry”. J. Behav. Exp. Finance 27.
Iyke, B. N. 2020. “COVID-19: The reaction of US oil and gas producers to the pandemic”. Energy Research Letters 1 (2): 13912.
Lin, B. e T. Su. 2021. “Does COVID-19 open a Pandora’s box of changing the connectedness in energy commodities?”. Research in International Business and Finance 56.
Linton, N. M., T. Kobayashi, Y. Yang, K. Hayashi, A. R. Akhmetzhanov, S. M. Jung, B. Yuan, R. Kinoshita e H.
Nishiura. 2020. “Incubation period and other epidemiological characteristics of 2019 novel coronavirus infections with right truncation: a statistical analysis of publicly available case data”. Journal of Clinical Medicine 9 (2): 538.
Liu, H., A. Manzoor, C. Wang, L. Zhang e Z. Manzoor. 2020. “The COVID-19 Outbreak and affected countries stock markets response”. Int. J. Environ. Res. Public Health 17 (8).
Maghyereh, A. I., B. Awartani e P. Tziogkidis. 2017. “Volatility spillovers and cross-hedging between gold, oil and equities: evidence from the Gulf Cooperation Council countries”. Energy Economics 68: 440-453.
Mensi, W., M. U. Rehman e X. V. Vo. 2021. “Dynamic frequency relationships and volatility spillovers in natural gas, crude oil, gas oil, gasoline, and heating oil markets: Implications for portfolio management”. Resources Policy 73.
Narayan, P. K. 2020. “Oil price news and COVID-19-Is there any connection?”. Energy Research Letters 1 (1).
Qin, M., Y. C. Zhang e C. W. Su. 2020. “The Essential Role of Pandemics: A New View of the Oil Market”. Energy Research Letters 1 (1).
Rystad Energy, 2020. Rystad Energy Webinars: COVID-19 Update and Market Outlook. Disponível em: https://www.rystadenergy.com/newsevents/events/rystad-energy-webinars. Acesso em: 7 mar. 2022.
Sharif, A., C. Aloui e L. Yarovaya. 2020. “COVID-19 pandemic, oil prices, stock market, geopolitical risk and policy uncertainty nexus in the US economy: fresh evidence from the wavelet-based approach”. International Review of Financial Analysis 70 (C).
Sims, C. 1980. “Macroeconomics and reality”. Econometrica 48: 1-48.
Wang, H. e S. Li. 2021. “Asymmetric volatility spillovers between crude oil and China’s financial markets”. Energy 233.
WorldBank, 2020. “A Shock like No Other: the impact of COVID 19 on commodity market”. Disponível em:
https://www.worldbank.org/en/news/feature/2020/04/23/coronavirus- shakescommodity-markets. Acesso em: 3 mar. 2022.
Zaremba, A., R. Kizys, D. Y. Aharon e E. Demir. 2020. “Infected markets: novel Coronavirus, government interventions, and stock return volatility around the Globe”. Finance Res. Lett. 35.
Zhang, D., M. Hu e Q. Ji. 2020. “Financial markets under the global pandemic of COVID-19”. Finance Res. Lett. 35.
Publicado
Edição
Seção
Licença
Copyright (c) 2023 Alexandra Kelly de Moraes, Paulo Sergio Ceretta
Este trabalho está licenciado sob uma licença Creative Commons Attribution-NonCommercial 4.0 International License.
A submissão de artigo autoriza sua publicação e implica o compromisso de que o mesmo material não esteja sendo submetido a outro periódico.
A revista não paga direitos autorais aos autores dos artigos publicados.
Atualizado em 12/06/2024