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Crise financeira global e modelização: interdependências, dinâmicas e risco em mercados bolsistas
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A atual crise financeira tem sido apontada como a primeira crise com verdadeira dimensão global e a mais severa desde a Grande Depressão, dos anos trinta do século passado. A presente investigação analisa as interdependências entre alguns dos mercados bolsistas internacionais e avalia as implicações ao nível do risco de mercado, tendo em atenção o lapso de tempo compreendido entre a crise das empresas tecnológicas e a crise financeira global, ou seja, entre 4 de outubro de 1999 e 30 de junho de 2011. Para tal, foi selecionado um conjunto de doze mercados. A escolha deste conjunto pretendeu privilegiar índices representativos de países diretamente envolvidos na atual crise financeira, índices representativos de diversas geografias, com diferentes graus de importância, em termos de capitalização bolsista, e em diferentes estádios de desenvolvimento, de modo a permitir uma análise mais profunda das consequências da crise financeira. Em função dos critérios gerais enunciados atrás, foram considerados na investigação os mercados objeto de assistência financeira internacional (Espanha, Grécia, Irlanda e Portugal) e o mercado norte-americano, por ter sido o detonador da atual crise financeira, em consequência da emergência da crise subprime, mas igualmente por ser a principal capitalização bolsista internacional, desempenhando, desde há várias décadas, o papel de driver dos mercados bolsistas internacionais. Por outro lado, pretendeu-se selecionar os principais índices europeus, quer em termos económicos quer em termos de capitalização, que acabariam por ser envolvidos, de forma indireta, na problemática do financiamento das dividas soberanas, razão pela qual foram escolhidos índices representativos da Alemanha, da Inglaterra e da França. Pretendeu-se, também, que os principais mercados asiáticos desenvolvidos fossem incluídos na componente empírica da investigação, pelo que os mercados do Japão e de Hong-Kong foram considerados. Com o objetivo de alargar a base do estudo, incluindo mercados de outras zonas do mundo e num patamar de desenvolvimento diferente do dos índices já indicados, foram selecionados índices representativos de duas das principais economias emergentes: o do Brasil e o da Índia. Em particular, esta tese pretende: i) analisar as ligações de curto e de longo prazo entre os mercados bolsistas internacionais; ii) estudar a transmissão de informação entre os mercados, quer através das rendibilidades quer através das estimativas de risco; iii) examinar a existência de um eventual fenómeno de contágio, com a emergência da crise financeira global; iv) estudar as relações entre a volatilidade e a rendibilidade e entre a volatilidade e o volume de negociação. Para desenvolver a investigação, em termos metodológicos, foram considerados diversos procedimentos estatísticos e econométricos, designadamente os que incluem os modelos dinâmicos, os modelos univariados e os modelos multivariados de heterocedasticidade condicionada, a análise de componentes principais, entre outros, mas também o sistema de gestão do risco de mercado Value-at-Risk, de acordo com distintas metodologias, destacando-se a baseada na teoria dos valores extremos, com o objetivo de acomodar, convenientemente, a turbulência que caracterizou os mercados financeiros durante este período. Os resultados obtidos no presente trabalho levam-nos à conclusão de que a atual crise financeira adquiriu uma dimensão global, refletida na transmissão de informação e nas dinâmicas estabelecidas entre os mercados bolsistas, na descrição de padrões de comportamento muito semelhantes, quer seja ao nível das rendibilidades quer seja ao nível das estimativas do risco dos mercados, tanto no curto prazo como no longo prazo, mas também confirmando ainda a existência de um fenómeno de contágio entre os diversos mercados bolsistas internacionais, que afetou os mercados financeiros internacionais. Esta investigação apresenta algumas contribuições de natureza metodológica e empírica. Em termos metodológicos, o recurso a um conjunto alargado de índices bolsistas, emergentes e desenvolvidos, de diversas regiões e níveis de capitalização, entre os quais os mercados europeus sob assistência financeira, mas também a consideração de um período amostral alargado, compreendido entre a crise Dot-Com e a crise financeira global, permitiu uma ideia aprofundada das consequências decorrentes da crise financeira global. Na análise das ligações entre os mercados bolsistas, recorreu-se às habituais rendibilidades dos mercados, mas igualmente a estimativas de risco, de base diária e intradiária, o que proporcionou uma perspetiva nova no estudo do comportamento do risco dos mercados bolsistas e das relações de equilíbrio entre os mercados. A presente investigação permitiu compreender, com base numa análise empírica e em profundidade, o papel da atual crise financeira ao nível da transmissão de informação e das relações dinâmicas estabelecidas entre os mercados bolsistas, mas igualmente ao nível do fenómeno de contágio entre os mercados bolsistas internacionais, permitindo, por outro lado, identificar o lapso de tempo mais crítico da atual crise financeira.
The current financial crisis has been appointed as the first with true global scale and the most severe since the Great Depression. This dissertation presents an analysis of the interdependencies between international stock markets and an assessment of market risk, in the period from 4th October 1999 to 30th June 2011, since the Dot-Com crisis to the global financial crisis. To develop the study, a set of twelve markets was selected. The choice of this set intended focus indices representing countries directly involved in the current financial crisis, indices representing different geographies, with different degrees of importance in terms of market capitalization, and at different stages of development, to allow a deeper analysis of the consequences of the financial crisis. According to the general criteria set out above, the markets under international financial assistance (Spain, Greece, Ireland and Portugal), the USA market, because it was the detonator of the current financial crisis, as a result of the emergence of the subprime crisis, but also for being the largest market capitalization, playing for several decades the role of the driver of the international stock markets, was considered in this study. On the other hand, it was intended to select the main European indices, both in economic and capitalization terms, which would be involved, indirectly, the issue of financing sovereign debt, reasons why they were chosen Germany, England and France markets. The intention is also that the major Asian developed markets were included in the empirical component of the research, whereby Japan and Hong Kong markets were considered. To broaden the basis of the study, including markets in other geographies and with different levels of development, two major emerging economies such as Brazil and India were selected. In particular, this thesis aims to: i) Examine the short and long run relationships among international stock markets; ii) Study the transmission of information across different international stock markets; iii) Assess the existence of any contagion phenomenon, due the emergence of global financial crisis; iv) Study the relationship between volatility and returns and between volatility and trading volume. For research development, there were considered several statistical and econometric procedures, including dynamic models, univariate and multivariate models of conditional heteroscedasticity, principal component analysis, among others. Value-at-Risk analysis was also used, as a market risk management system, according to different methodologies, especially those based on extreme value theory, in order to accommodate conveniently turbulence characterizing financial markets. The results indicate that current crisis has earned a global dimension, reflecting information transmission between stock markets and their similar behavior patterns, either by returns or by market risk measures, in both short and long term, but also by contagion phenomenon caracterizing international financial markets. This places new challenges for risk managers, to diversify the risk of their international investments. This research presents some empirical and methodological contributions. In methodological terms, the use of a wide range of stock market indices (emerging and developed), in different regions and with different capitalization levels, including the European markets under financial assistance, but also the consideration of an extended sample period, between the Dot-Com crisis and the global financial crisis, helps to clarify the consequences of the global financial crisis. To analyze stock markets linkages, the usual market returns were considered, but also the risk estimates with daily and intraday data, which provides a new perspective to study the stock markets risk behavior and to the analysis of stock markets relationships. This research allows us, supported in empirical results and in depth, the role of the current financial crisis at the level of information transmission and the dynamic relationships among international stock markets, but also the contagion phenomena among markets, and on the other hand to identify the most critical period of the current financial crisis.
The current financial crisis has been appointed as the first with true global scale and the most severe since the Great Depression. This dissertation presents an analysis of the interdependencies between international stock markets and an assessment of market risk, in the period from 4th October 1999 to 30th June 2011, since the Dot-Com crisis to the global financial crisis. To develop the study, a set of twelve markets was selected. The choice of this set intended focus indices representing countries directly involved in the current financial crisis, indices representing different geographies, with different degrees of importance in terms of market capitalization, and at different stages of development, to allow a deeper analysis of the consequences of the financial crisis. According to the general criteria set out above, the markets under international financial assistance (Spain, Greece, Ireland and Portugal), the USA market, because it was the detonator of the current financial crisis, as a result of the emergence of the subprime crisis, but also for being the largest market capitalization, playing for several decades the role of the driver of the international stock markets, was considered in this study. On the other hand, it was intended to select the main European indices, both in economic and capitalization terms, which would be involved, indirectly, the issue of financing sovereign debt, reasons why they were chosen Germany, England and France markets. The intention is also that the major Asian developed markets were included in the empirical component of the research, whereby Japan and Hong Kong markets were considered. To broaden the basis of the study, including markets in other geographies and with different levels of development, two major emerging economies such as Brazil and India were selected. In particular, this thesis aims to: i) Examine the short and long run relationships among international stock markets; ii) Study the transmission of information across different international stock markets; iii) Assess the existence of any contagion phenomenon, due the emergence of global financial crisis; iv) Study the relationship between volatility and returns and between volatility and trading volume. For research development, there were considered several statistical and econometric procedures, including dynamic models, univariate and multivariate models of conditional heteroscedasticity, principal component analysis, among others. Value-at-Risk analysis was also used, as a market risk management system, according to different methodologies, especially those based on extreme value theory, in order to accommodate conveniently turbulence characterizing financial markets. The results indicate that current crisis has earned a global dimension, reflecting information transmission between stock markets and their similar behavior patterns, either by returns or by market risk measures, in both short and long term, but also by contagion phenomenon caracterizing international financial markets. This places new challenges for risk managers, to diversify the risk of their international investments. This research presents some empirical and methodological contributions. In methodological terms, the use of a wide range of stock market indices (emerging and developed), in different regions and with different capitalization levels, including the European markets under financial assistance, but also the consideration of an extended sample period, between the Dot-Com crisis and the global financial crisis, helps to clarify the consequences of the global financial crisis. To analyze stock markets linkages, the usual market returns were considered, but also the risk estimates with daily and intraday data, which provides a new perspective to study the stock markets risk behavior and to the analysis of stock markets relationships. This research allows us, supported in empirical results and in depth, the role of the current financial crisis at the level of information transmission and the dynamic relationships among international stock markets, but also the contagion phenomena among markets, and on the other hand to identify the most critical period of the current financial crisis.
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Palavras-chave
Mercado de capitais Mercado financeiro - Riscos de mercado Mercado financeiro - Interdependência Crise financeira global - 1999-2011 Crise financeira global - Fenómeno de contágio