Impact of Ibovespa futures contract on the stock indexes volatility in Brazil: an analysis in subprime crisis
DOI:
https://doi.org/10.1590/1980-53574246lrirKeywords:
futures market, equity indices, causality, volatilityAbstract
Significant increasing in derivatives trading over the world markets has led to an interesting debate about futures contracts influences on spot prices. In this context, this paper aims to evaluate, during the subprime crisis, the influence of IBOVESPA futures price volatility on the spot price indices as follows: IBOVESPA, FGV-100, IBrX-50, IGC, SMLL and MLCX. We considered the period from August 2007 to April 2009, when the evidence of the crisis were intense until to be recovering of growth of stock market index. To assess causality-in-variance, tests proposed by Cheung and Ng (1996) and Hafner and Herwartz (2006) were employed, and the volatility was estimated by an univariate GARCH process. It was found that the volatility of IBOVESPA futures contract did not destabilize spot indices during the subprime crisis.
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Copyright (c) 2012 Leandro Maciel, Rodrigo Lanna Franco da Silveira, Ivette Luna, Rosangela Ballini
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