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Advisor(s)
Abstract(s)
A crescente globalização dos mercados financeiros tem intensificado a busca por ativos
que possam atuar como hedge contra a volatilidade. Este estudo investiga o Bitcoin e o
Dólar Americano como potenciais instrumentos de proteção em relação ao Ibovespa, o
principal índice da bolsa de valores brasileira. A pesquisa utiliza modelos de
volatilidade condicional, como o FIGARCH e o DCC-FIGARCH, para analisar dados
diários de retornos de fevereiro de 2018 a janeiro de 2023, um período que inclui
eventos de alta incerteza, como a pandemia de COVID-19.
Os resultados indicam que o Bitcoin, embora altamente volátil, apresenta correlação
limitada com o Ibovespa, sugerindo seu potencial como ativo de diversificação em
momentos de crise. O Dólar, por sua vez, demonstrou maior persistência da
volatilidade e uma correlação mais forte com o Ibovespa, consolidando sua posição
como ativo de refúgio em momentos de incerteza. Entretanto, a correlação condicional
dinâmica mostrou que nenhum dos dois ativos se comporta como hedge perfeito no
longo prazo em relação ao Ibovespa.
O estudo conclui que, embora o Bitcoin e o Dólar ofereçam alguma proteção contra as
flutuações do Ibovespa, o comportamento desses ativos varia significativamente de
acordo com as condições de mercado, destacando a importância de uma análise
contínua e adaptada ao contexto econômico global e local.
The increasing globalization of financial markets has intensified the search for assets that can act as a hedge against volatility. This study investigates Bitcoin and the US Dollar as potential hedging instruments relative to the Ibovespa, the main stock index in Brazil. The research uses conditional volatility models, such as FIGARCH and DCCFIGARCH, to analyze daily return data from February 2018 to January 2023, a period that includes events of high uncertainty, such as the COVID-19 pandemic. The results indicate that, although highly volatile, Bitcoin has limited correlation with the Ibovespa, suggesting its potential as a diversification asset during times of crisis. The US Dollar, on the other hand, demonstrated greater volatility persistence and a stronger correlation with the Ibovespa, confirming its role as a safe-haven asset in uncertain times. However, the dynamic conditional correlation shows that neither asset functions as a perfect long-term hedge relative to the Ibovespa. The study concludes that while Bitcoin and the US Dollar offer some protection against Ibovespa fluctuations, the behavior of these assets varies significantly depending on market conditions, highlighting the importance of continuous analysis adapted to the global and local economic context.
The increasing globalization of financial markets has intensified the search for assets that can act as a hedge against volatility. This study investigates Bitcoin and the US Dollar as potential hedging instruments relative to the Ibovespa, the main stock index in Brazil. The research uses conditional volatility models, such as FIGARCH and DCCFIGARCH, to analyze daily return data from February 2018 to January 2023, a period that includes events of high uncertainty, such as the COVID-19 pandemic. The results indicate that, although highly volatile, Bitcoin has limited correlation with the Ibovespa, suggesting its potential as a diversification asset during times of crisis. The US Dollar, on the other hand, demonstrated greater volatility persistence and a stronger correlation with the Ibovespa, confirming its role as a safe-haven asset in uncertain times. However, the dynamic conditional correlation shows that neither asset functions as a perfect long-term hedge relative to the Ibovespa. The study concludes that while Bitcoin and the US Dollar offer some protection against Ibovespa fluctuations, the behavior of these assets varies significantly depending on market conditions, highlighting the importance of continuous analysis adapted to the global and local economic context.
Description
Keywords
Bitcoin Criptomoedas Dcc-Figarch Diversificação de Investimentos Dólar Americano Hedge Ibovespa Mercado Financeiro Brasileiro