O dilema ESG nos mercados emergentes: desempenho, incerteza e turbulência do mercado
DOI:
https://doi.org/10.1590/1808-057x20252324.enPalavras-chave:
fundos ESG, mercados emergentes, modelos Fama-French, comutação de Markov, incertezaResumo
Este estudo examina a dinâmica de risco-retorno dos fundos de ações em mercados emergentes com classificações de cinco e um globo da Morningstar, com foco no Brasil, Chile, Índia, México e Coreia do Sul. Esta pesquisa contribui para o crescente corpo de literatura sobre fundos de fundos (FoFs) em mercados emergentes, analisando carteiras sintéticas ambientais, sociais e de governança (ESG) e não ESG. As conclusões contribuem para o debate sobre a eficácia do ESG, mostrando que seu desempenho depende da estrutura do mercado local, do risco político e do contexto econômico. O estudo oferece uma perspectiva inovadora sobre como o desempenho dos fundos ESG muda sob estresse macroeconômico em mercados emergentes no contexto da alocação global de capital, integrando modelos multifatoriais com técnicas não lineares de mudança de regime. Usando os modelos FF4 e FF5, comparamos carteiras de fundos com cinco e um globo (Classificação de Sustentabilidade da Morningstar). Ampliamos esses modelos usando os índices GEPU, VIX e WTI para avaliar a incerteza econômica. Por fim, aplicamos regressões de mudança de Markov para capturar mudanças de regime e efeitos não lineares em períodos de volatilidade em cada mercado. Usando os modelos FF4 e FF5, examinamos cinco mercados emergentes (Brasil, Chile, Índia, México e Coreia do Sul) de setembro de 2018 a setembro de 2024 (73 observações) e descobrimos que o risco de mercado é dominante em todos os países analisados, enquanto o tamanho e o valor são importantes na Índia e no México. Os fundos cinza no Brasil e no México se beneficiam dos choques nos preços do petróleo, indicando sua dependência de combustíveis fósseis. Os fundos verdes no Chile e no México têm melhor desempenho em condições estáveis. Os fundos ESG são mais sensíveis à volatilidade, enquanto os fundos cinza são mais resilientes durante crises. No Brasil e na Índia, os fundos cinza apresentam desempenho superior, especialmente durante períodos de alta volatilidade (modelo MS). No Chile e no México, os fundos verdes apresentam melhor desempenho em mercados calmos. Na Coreia do Sul, não foram encontradas diferenças significativas, embora os fundos verdes tenham apresentado desempenho superior nos modelos FF4 e FF5.
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