Impacto dos contratos futuros do Ibovespa na volatilidade dos índices de ações no Brasil: uma análise na crise do subprime
DOI:
https://doi.org/10.1590/S0101-41612012000400006Palavras-chave:
mercados futuros, índice de ações, causalidade, volatilidadeResumo
O aumento das negociações de derivativos no mercado mundial tem levado a um amplo debate acerca da influência dos contratos futuros sobre os preços à vista em diferentes mercados. Neste contexto, o presente artigo teve por objetivo avaliar, no período da crise do subprime, a influência da volatilidade dos preços futuros do IBOVESPA sobre os seguintes índices à vista: IBOVESPA, FGV-100, IBrX-50, IGC, SMLL e MLCX. Considerou-se o período entre agosto de 2007 e abril de 2009, quando as evidências da crise foram mais intensas até a retomada de crescimento dos índices acionários. Para se avaliar a causalidade na variância, foram empregados testes propostos por Cheung e Ng (1996 e Hafner e Herwartz (2006), sendo a volatilidade estimada por um processo GARCH univariado. Os resultados levaram à rejeição da hipótese de que, durante a crise do subprime, os movimentos do mercado futuro desestabilizaram o mercado à vista de ações brasileiro.
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Copyright (c) 2012 Leandro Maciel, Rodrigo Lanna Franco da Silveira, Ivette Luna, Rosangela Ballini
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Atualizado em 02/08/2024