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Abstract(s)
Este estudo tem como objetivo geral analisar as transmissões de risco e co-movimentos
condicionais entre os mercados financeiros (países do G7 e China) e os mercados de
commodities (Ouro e Petróleo) durante períodos de crises financeiras, nomeadamente a
crise financeira global 2007-2009, a crise da divida soberana e a crise do Covid-19. É
realizada uma análise comparativa de forma a compreender as diferenças, em termos de
intensidade, entre crises financeiras endógenas e uma crise financeira exógena. Para além
de analisar os padrões de transmissão de risco entre estes mercados durante os períodos de
crises financeiras, são também utilizados procedimentos de análise de co-movimentos, para
testar a hipótese de o Ouro ser um ativo de reserva de valor em tempos de incerteza.
De forma a alcançar os objetivos estabelecidos para o presente estudo foram recolhidos para
os três períodos em análise as cotações de fecho diárias dos principais índices acionistas dos
mercados do G7 e da China, representados pelos índices CAC40, CSI300, DAX30, FTSE100,
MIB, NIKKEI, TSX e S&P500. Para as commodities foram recolhidas as cotações de fecho
diárias dos contratos de futuros para o Ouro, Brent e WTI (West Texas Intermediate).
A análise dos processos de transmissão de risco entre os mercados acionistas e os mercados
de commodities, mais concretamente os efeitos de co-volatilidade entre os mercados, é
realizada recorrendo ao modelo BEKK-diagonal. De forma a examinar os co-movimentos
de variações de preços entre os mercados acionistas nacionais e os mercados de
commodities é utilizado o modelo DCC-MGARCH para analisar as correlações condicionais
dinâmicas.
Os resultados indicam que a crise Covid-19 (de natureza exógena à economia), face às crises
endógenas, foi a que apresentou maiores intensidades de transmissão de risco entre os
índices financeiros e os mercados do petróleo. Relativamente às transmissões entre os
índices financeiros e o mercado do Ouro, foi durante a crise financeira global 2007-2009
que a maioria dos países verificaram as maiores intensidades de transmissão de risco. Os
resultados mostram que os níveis de transmissão de risco verificados entre os mercados
financeiros e o mercado do petróleo são sempre superiores aos valores verificados entre os
mercados financeiros e o mercado do Ouro. A hipótese de o Ouro ser um bom ativo de
reserva de valor em tempos de incerteza foi rejeitada dado que em nenhum período se
verificaram correlações condicionais médias negativas ou nulas entre o Ouro e os mercados
financeiros. No entanto o Ouro apresenta-se como um ativo com melhores características
para diversificação do portefólio comparativamente ao petróleo. Os resultados desta pesquisa contribuem para uma melhor compreensão dos efeitos de
transmissão de risco entre o mercado do Ouro, do Petróleo e dos mercados financeiros em
diferentes situações de crise. São de elevado interesse para os vários agentes económicos
porque podem oferecer informação relevante na construção de modelos eficientes de
mitigação do risco e na implementação de políticas apropriadas em períodos de stress
económico.
This study aims to examine the volatility spillovers and conditional co-movements between the financial markets (G7 countries and China) and the commodity market (Gold and Oil) in periods of financial stress. A comparative analysis is conducted between the global financial crisis of 2007-2009, the sovereign debt crisis and the Covid-19 crisis, in order to understand the differences, in terms of intensity, between an exogenous crisis and two endogenous crises. In addition to analyzing the patterns of risk transmission between these markets during periods of financial crises, co-movement analysis procedures are also used to test the hypothesis of gold being a safe haven in periods of financial stress. To accomplish our objectives, we collected data for the time span corresponding to the three crises periods. We used daily closing prices of the main stock market indexes of the G7 countries and China, represented by the stock indices CAC40, CSI300, DAX30, FTSE100, MIB, NIKKEI, TSX and S&P500. Regarding commodities, we collected daily closing prices for future contracts of Gold, Brent and WTI (West Texas Intermediate). To analyse the volatility spillovers between the stock market and the commodity market we employed the diagonal-BEKK model; to examine the co-movements of the price variation between the stock market and the commodity market we have used the DCC-MGARCH model to obtain the dynamic conditional correlations. The results indicate that the Covid-19 crisis (an exogenous crisis) had the greatest impact on the volatility spillover between the stock markets and the oil market compared with endogenous crises. Regarding the volatility spillover between the stock markets and the gold market, it was during the global financial crisis 2007-2009 that the greatest spillover intensities took place. Furthermore, the results indicate that the spillover levels between the stock markets and the oil market are always superior to the ones verified between the stock market and the gold market. The hypothesis of gold being a safe haven in periods of financial stress is rejected because there were no negative or even zero condicional correlations between the gold market and the stock markets. However, gold presents itself as a better alternative to portfolio diversification compared to oil. Our research provides a better understanding of the volatility spillover effect between the gold, oil and the stock markets in periods of crisis. It provides valuable information to the several economic agents because it helps in the construction of efficient risk mitigation models and in the implementation of apropriate policy in periods of economic stress.
This study aims to examine the volatility spillovers and conditional co-movements between the financial markets (G7 countries and China) and the commodity market (Gold and Oil) in periods of financial stress. A comparative analysis is conducted between the global financial crisis of 2007-2009, the sovereign debt crisis and the Covid-19 crisis, in order to understand the differences, in terms of intensity, between an exogenous crisis and two endogenous crises. In addition to analyzing the patterns of risk transmission between these markets during periods of financial crises, co-movement analysis procedures are also used to test the hypothesis of gold being a safe haven in periods of financial stress. To accomplish our objectives, we collected data for the time span corresponding to the three crises periods. We used daily closing prices of the main stock market indexes of the G7 countries and China, represented by the stock indices CAC40, CSI300, DAX30, FTSE100, MIB, NIKKEI, TSX and S&P500. Regarding commodities, we collected daily closing prices for future contracts of Gold, Brent and WTI (West Texas Intermediate). To analyse the volatility spillovers between the stock market and the commodity market we employed the diagonal-BEKK model; to examine the co-movements of the price variation between the stock market and the commodity market we have used the DCC-MGARCH model to obtain the dynamic conditional correlations. The results indicate that the Covid-19 crisis (an exogenous crisis) had the greatest impact on the volatility spillover between the stock markets and the oil market compared with endogenous crises. Regarding the volatility spillover between the stock markets and the gold market, it was during the global financial crisis 2007-2009 that the greatest spillover intensities took place. Furthermore, the results indicate that the spillover levels between the stock markets and the oil market are always superior to the ones verified between the stock market and the gold market. The hypothesis of gold being a safe haven in periods of financial stress is rejected because there were no negative or even zero condicional correlations between the gold market and the stock markets. However, gold presents itself as a better alternative to portfolio diversification compared to oil. Our research provides a better understanding of the volatility spillover effect between the gold, oil and the stock markets in periods of crisis. It provides valuable information to the several economic agents because it helps in the construction of efficient risk mitigation models and in the implementation of apropriate policy in periods of economic stress.
Description
Keywords
Commodities Correlação Condicional Covid-19 Crise Financeira Global Dívida Soberana Mercados Financeiros Modelo Dcc-Mgarch Modelo Diagonal-Bekk Ouro Petróleo Transmissão de Volatilidade