| Name: | Description: | Size: | Format: | |
|---|---|---|---|---|
| 1.97 MB | Adobe PDF |
Authors
Abstract(s)
A crise financeira global, desencadeada pelo mercado de hipotecas de alto risco dos EUA, alastrou-se
por todo o mundo, afetando todas as classes de ativos financeiros. A crise de 2008 causou impactos
negativos que ainda hoje têm reflexos nas economias mais pobres. O objetivo principal do estudo
consiste na análise do impacto da crise financeira global nos principais mercados acionistas LatinoAmericanos, nomeadamente Argentina, Brasil, Chile, Colômbia, México e Peru. Para analisar a
volatilidade dos mercados recorreu-se ao uso do modelo EGARCH e foram usados dados diários de 1
de janeiro de 2004 a 31 de dezembro de 2017. Verificou-se também através de uma estrutura Pairwise
os efeitos da China nos mercados acionistas e no PIB Latino-Americanos. Por fim realizou-se a
estimação de um Panel Vector Autoregressive para verificar a existência do Efeito China nos países
Latino-Americanos.
Os resultados apresentam uma forte relação do PIB e dos valores movimentados no mercado acionista
chinês com os do PIB e dos valores movimentados nos mercados acionistas Latino-Americanos. A
estrutura em Panel Vector Autoregressive revelou que o controlo da crise é necessário para estudar
a relação entre mercados de ações, desemprego, inflação e PIB dos países Latino-Americanos e China.
Através do modelo EGARCH verifica-se que os choques negativos têm maior impacto na volatilidade
do que choques positivos e evidencia também a ocorrência de agrupamento de volatilidade nestes
índices bolsistas. O estudo revela que a crise financeira global teve um impacto negativo nas
rendibilidades dos países Latino-Americanos e que gerou um aumento da volatilidade nas respetivas
bolsas de valores. O índice bolsista do Brasil foi o que sofreu maior impacto.
The global financial crisis, triggered by the US high-risk mortgages market, has spread all over the world, affecting all classes of financial assets. The 2008 crisis has had a negative impact that until today have reflexes in the poorest economies. The main objective of the study is to analyze the impact of the global financial crisis on the main Latin American stock markets, namely Argentina, Brazil, Chile, Colômbia, Mexico and Peru. To analyze market volatility, was used the EGARCH model and daily data from January 1, 2004 to December 31, 2017. It was also verified through a Pairwise structure the effects of China on Latin American markets and Gross Domestic Product (GDP). Finally, an Autoregressive Vector Panel was evaluated to verify the existence of China effects in Latin American countries. The results show a strong relationship between the GDP and the values in the Chinese stock market with GDP and the values in the Latin American stock market. The Autoregressive Vector Panel structure revealed that crisis control is needed to study the relationship between Stocks traded, Unemployment, Inflation and GDP from Latin American countries and China. The EGARCH model shows that negative shocks have a greater impact on volatility than positive shocks and also evidence the occurrence of volatility grouping in these stock indices. The study reveals that the global financial crisis had a negative impact on the returns of the Latin American countries and that it generated an increase in the volatility in the respective stock exchanges. Brazil's stock market index was the most impacted.
The global financial crisis, triggered by the US high-risk mortgages market, has spread all over the world, affecting all classes of financial assets. The 2008 crisis has had a negative impact that until today have reflexes in the poorest economies. The main objective of the study is to analyze the impact of the global financial crisis on the main Latin American stock markets, namely Argentina, Brazil, Chile, Colômbia, Mexico and Peru. To analyze market volatility, was used the EGARCH model and daily data from January 1, 2004 to December 31, 2017. It was also verified through a Pairwise structure the effects of China on Latin American markets and Gross Domestic Product (GDP). Finally, an Autoregressive Vector Panel was evaluated to verify the existence of China effects in Latin American countries. The results show a strong relationship between the GDP and the values in the Chinese stock market with GDP and the values in the Latin American stock market. The Autoregressive Vector Panel structure revealed that crisis control is needed to study the relationship between Stocks traded, Unemployment, Inflation and GDP from Latin American countries and China. The EGARCH model shows that negative shocks have a greater impact on volatility than positive shocks and also evidence the occurrence of volatility grouping in these stock indices. The study reveals that the global financial crisis had a negative impact on the returns of the Latin American countries and that it generated an increase in the volatility in the respective stock exchanges. Brazil's stock market index was the most impacted.
Description
Keywords
América Latina Crise Financeira Global Efeito China Mercados Acionistas Volatilidade