Impactos da crise de 2007/2008 nos mercados de capitais latino-americanos
Ano de defesa: | 2011 |
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Autor(a) principal: | |
Orientador(a): | |
Banca de defesa: | , |
Tipo de documento: | Dissertação |
Tipo de acesso: | Acesso aberto |
Idioma: | por |
Instituição de defesa: |
Universidade Federal de Santa Maria
|
Programa de Pós-Graduação: |
Programa de Pós-Graduação em Administração
|
Departamento: |
Administração
|
País: |
BR
|
Palavras-chave em Português: | |
Palavras-chave em Inglês: | |
Área do conhecimento CNPq: | |
Link de acesso: | http://repositorio.ufsm.br/handle/1/4591 |
Resumo: | The tight integration of world markets has enhanced the effects of financial crises. The financial crisis of 2007/2008, which started in the U.S. and then expanded to the rest of the world, had severe impact on virtually every market in the world and can be compared to the Great Depression occurred in 1929. This event again opened discussions about the financial crisis and its impact on various financial markets in the world. Investors have questioned the foundations upon which their decisions were founded on the risk of investing in stocks and the benefits of global diversification (BARTRAM AND BODNAR, 2009). Given this context, the aim of this study is to investigate the impacts of the capital markets of the United States in Latin American stock markets due to the crisis of 2007/2008. The empirical study on the effects of financial crises in capital markets in Latin America is divided into three parts: impacts on long-term relationship, short-term relationship and the transmission of volatility. The first part consists of the cointegration analysis of each of the Latin American markets with the United States, two by two. This analysis is performed using the cointegration test of Engle and Granger (1987). In the second phase of the study, we estimated models of vector autoregressive (VAR) and error correction (VEC) for each of the countries with the United States. In the third step, we employed the multivariate GARCH-BEKK model considering student-t distribution to model the transmission of volatility. All these models are estimated for the entire period and sub-periods before, during and after the crisis. Our results indicate that the relationships between the countries of Latin America and the United States changed due to the crisis that occurred in 2007/2008. Both the long-term relationship and the transmission in volatility between the countries of Latin America and the US were more evident in the period following the crisis than during it, revealing a greater integration between markets after the crisis. On the other hand, when we analyze the relationship between returns employing the VAR/VEC methodology, it is clear that during the crisis there was an increase in dependency lags in some markets, reducing this dependence on the period after the crisis. |
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2017-04-112017-04-112011-05-27BARBA, Fernanda Galvão de. Impacts of the 2007/2008 crisis on latin american equity markets. 2011. 85 f. Dissertação (Mestrado em Administração) - Universidade Federal de Santa Maria, Santa Maria, 2011.http://repositorio.ufsm.br/handle/1/4591The tight integration of world markets has enhanced the effects of financial crises. The financial crisis of 2007/2008, which started in the U.S. and then expanded to the rest of the world, had severe impact on virtually every market in the world and can be compared to the Great Depression occurred in 1929. This event again opened discussions about the financial crisis and its impact on various financial markets in the world. Investors have questioned the foundations upon which their decisions were founded on the risk of investing in stocks and the benefits of global diversification (BARTRAM AND BODNAR, 2009). Given this context, the aim of this study is to investigate the impacts of the capital markets of the United States in Latin American stock markets due to the crisis of 2007/2008. The empirical study on the effects of financial crises in capital markets in Latin America is divided into three parts: impacts on long-term relationship, short-term relationship and the transmission of volatility. The first part consists of the cointegration analysis of each of the Latin American markets with the United States, two by two. This analysis is performed using the cointegration test of Engle and Granger (1987). In the second phase of the study, we estimated models of vector autoregressive (VAR) and error correction (VEC) for each of the countries with the United States. In the third step, we employed the multivariate GARCH-BEKK model considering student-t distribution to model the transmission of volatility. All these models are estimated for the entire period and sub-periods before, during and after the crisis. Our results indicate that the relationships between the countries of Latin America and the United States changed due to the crisis that occurred in 2007/2008. Both the long-term relationship and the transmission in volatility between the countries of Latin America and the US were more evident in the period following the crisis than during it, revealing a greater integration between markets after the crisis. On the other hand, when we analyze the relationship between returns employing the VAR/VEC methodology, it is clear that during the crisis there was an increase in dependency lags in some markets, reducing this dependence on the period after the crisis.A grande integração dos mercados mundiais potencializou os efeitos de crises financeiras. A crise financeira de 2007/2008, iniciada nos EUA e depois expandida para grande parte do mundo, teve severo impacto em praticamente todos os mercados do mundo, podendo ser comparada à Grande Depressão ocorrida em 1929. Esse evento abriu novamente as discussões a respeito das crises financeiras e suas repercussões nos diversos mercados financeiros do mundo. Os investidores têm questionado os fundamentos sobre os quais fundavam suas decisões sobre o risco do investimento em ações e os benefícios da diversificação global (BARTRAM e BODNAR, 2009). Tendo em vista este contexto, definiuse como objetivo geral do presente trabalho investigar os impactos do mercado de capitais dos Estados Unidos nos mercados latino-americanos devido a crise de 2007/2008. O estudo empírico a respeito do efeito das crises financeiras nos mercados de capitais da América Latina está dividido em três partes: impactos no relacionamento de longo prazo, no relacionamento de curto prazo e na transmissão da volatilidade. A primeira parte é composta pela análise de cointegração de cada um dos mercados latino-americanos com os Estados Unidos, dois a dois. Esta análise é realizada utilizando o teste de cointegração de Engle e Granger (1987). No segundo momento do estudo, são estimados modelos de vetor autoregressivo (VAR) e de correção de erro (VEC) de cada um dos países com os Estados Unidos. No terceiro passo é empregado o modelo BEKK de GARCH multivariado considerando a distribuição t-student para modelar a transmissão das volatilidades. Todos esses modelos são estimados para o período completo e os subperíodos antes, durante e depois da crise. Os resultados do estudo permitem inferir que houve mudança dos relacionamentos entre os países da América Latina e os Estados Unidos em função da crise ocorrida em 2007/2008. Tanto o relacionamento de longo prazo quanto a transmissão na volatilidade entre os países da América Latina tiveram uma resposta mais evidente no período após a crise do que durante esta, revelando uma maior integração entre mercados após a crise. Na análise do relacionamento entre retornos com a utilização do VAR e do VEC, por outro lado, percebe-se que durante a crise houve um aumento nas defasagens de dependência em alguns mercados, reduzindo esta dependência no período posterior à crise.Coordenação de Aperfeiçoamento de Pessoal de Nível Superiorapplication/pdfporUniversidade Federal de Santa MariaPrograma de Pós-Graduação em AdministraçãoUFSMBRAdministraçãoCrise financeiraCointegraçãoGARCH multivariadoFinancial crisisCointegrationMultivariate GARCHCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAOImpactos da crise de 2007/2008 nos mercados de capitais latino-americanosImpacts of the 2007/2008 crisis on latin american equity marketsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisCeretta, Paulo Sergiohttp://lattes.cnpq.br/3049029014914257Lopes, Luis Felipe Diashttp://lattes.cnpq.br/1074372911061770Santos, André Alves Portelahttp://lattes.cnpq.br/4718218268616486http://lattes.cnpq.br/3421189916332952Barba, Fernanda Galvão de600200000006400500300500300594dad0f-39e8-46c0-9299-beeff348834376f13f5a-dc29-466f-9118-0d13390bbeb852b4ac9b-ae50-4378-9e6d-d078971edcbc5814fc38-1ed5-4993-ba5f-32ea8ce75355info:eu-repo/semantics/openAccessreponame:Biblioteca Digital de Teses e Dissertações do UFSMinstname:Universidade Federal de Santa Maria (UFSM)instacron:UFSMORIGINALBARBA, FERNANDA GALVAO.pdfapplication/pdf613138http://repositorio.ufsm.br/bitstream/1/4591/1/BARBA%2c%20FERNANDA%20GALVAO.pdf726c904ff61db43ca27c9d05b7e6f646MD51TEXTBARBA, FERNANDA GALVAO.pdf.txtBARBA, FERNANDA GALVAO.pdf.txtExtracted texttext/plain194206http://repositorio.ufsm.br/bitstream/1/4591/2/BARBA%2c%20FERNANDA%20GALVAO.pdf.txt2240a7e5a78ecb16b75b64504d588715MD52THUMBNAILBARBA, FERNANDA GALVAO.pdf.jpgBARBA, FERNANDA GALVAO.pdf.jpgIM Thumbnailimage/jpeg4634http://repositorio.ufsm.br/bitstream/1/4591/3/BARBA%2c%20FERNANDA%20GALVAO.pdf.jpg53a0a9ac42c037ef5c772b395f26efe6MD531/45912023-05-23 14:07:21.017oai:repositorio.ufsm.br:1/4591Biblioteca Digital de Teses e Dissertaçõeshttps://repositorio.ufsm.br/ONGhttps://repositorio.ufsm.br/oai/requestatendimento.sib@ufsm.br||tedebc@gmail.comopendoar:2023-05-23T17:07:21Biblioteca Digital de Teses e Dissertações do UFSM - Universidade Federal de Santa Maria (UFSM)false |
dc.title.por.fl_str_mv |
Impactos da crise de 2007/2008 nos mercados de capitais latino-americanos |
dc.title.alternative.eng.fl_str_mv |
Impacts of the 2007/2008 crisis on latin american equity markets |
title |
Impactos da crise de 2007/2008 nos mercados de capitais latino-americanos |
spellingShingle |
Impactos da crise de 2007/2008 nos mercados de capitais latino-americanos Barba, Fernanda Galvão de Crise financeira Cointegração GARCH multivariado Financial crisis Cointegration Multivariate GARCH CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO |
title_short |
Impactos da crise de 2007/2008 nos mercados de capitais latino-americanos |
title_full |
Impactos da crise de 2007/2008 nos mercados de capitais latino-americanos |
title_fullStr |
Impactos da crise de 2007/2008 nos mercados de capitais latino-americanos |
title_full_unstemmed |
Impactos da crise de 2007/2008 nos mercados de capitais latino-americanos |
title_sort |
Impactos da crise de 2007/2008 nos mercados de capitais latino-americanos |
author |
Barba, Fernanda Galvão de |
author_facet |
Barba, Fernanda Galvão de |
author_role |
author |
dc.contributor.advisor1.fl_str_mv |
Ceretta, Paulo Sergio |
dc.contributor.advisor1Lattes.fl_str_mv |
http://lattes.cnpq.br/3049029014914257 |
dc.contributor.referee1.fl_str_mv |
Lopes, Luis Felipe Dias |
dc.contributor.referee1Lattes.fl_str_mv |
http://lattes.cnpq.br/1074372911061770 |
dc.contributor.referee2.fl_str_mv |
Santos, André Alves Portela |
dc.contributor.referee2Lattes.fl_str_mv |
http://lattes.cnpq.br/4718218268616486 |
dc.contributor.authorLattes.fl_str_mv |
http://lattes.cnpq.br/3421189916332952 |
dc.contributor.author.fl_str_mv |
Barba, Fernanda Galvão de |
contributor_str_mv |
Ceretta, Paulo Sergio Lopes, Luis Felipe Dias Santos, André Alves Portela |
dc.subject.por.fl_str_mv |
Crise financeira Cointegração GARCH multivariado |
topic |
Crise financeira Cointegração GARCH multivariado Financial crisis Cointegration Multivariate GARCH CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO |
dc.subject.eng.fl_str_mv |
Financial crisis Cointegration Multivariate GARCH |
dc.subject.cnpq.fl_str_mv |
CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO |
description |
The tight integration of world markets has enhanced the effects of financial crises. The financial crisis of 2007/2008, which started in the U.S. and then expanded to the rest of the world, had severe impact on virtually every market in the world and can be compared to the Great Depression occurred in 1929. This event again opened discussions about the financial crisis and its impact on various financial markets in the world. Investors have questioned the foundations upon which their decisions were founded on the risk of investing in stocks and the benefits of global diversification (BARTRAM AND BODNAR, 2009). Given this context, the aim of this study is to investigate the impacts of the capital markets of the United States in Latin American stock markets due to the crisis of 2007/2008. The empirical study on the effects of financial crises in capital markets in Latin America is divided into three parts: impacts on long-term relationship, short-term relationship and the transmission of volatility. The first part consists of the cointegration analysis of each of the Latin American markets with the United States, two by two. This analysis is performed using the cointegration test of Engle and Granger (1987). In the second phase of the study, we estimated models of vector autoregressive (VAR) and error correction (VEC) for each of the countries with the United States. In the third step, we employed the multivariate GARCH-BEKK model considering student-t distribution to model the transmission of volatility. All these models are estimated for the entire period and sub-periods before, during and after the crisis. Our results indicate that the relationships between the countries of Latin America and the United States changed due to the crisis that occurred in 2007/2008. Both the long-term relationship and the transmission in volatility between the countries of Latin America and the US were more evident in the period following the crisis than during it, revealing a greater integration between markets after the crisis. On the other hand, when we analyze the relationship between returns employing the VAR/VEC methodology, it is clear that during the crisis there was an increase in dependency lags in some markets, reducing this dependence on the period after the crisis. |
publishDate |
2011 |
dc.date.issued.fl_str_mv |
2011-05-27 |
dc.date.accessioned.fl_str_mv |
2017-04-11 |
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2017-04-11 |
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BARBA, Fernanda Galvão de. Impacts of the 2007/2008 crisis on latin american equity markets. 2011. 85 f. Dissertação (Mestrado em Administração) - Universidade Federal de Santa Maria, Santa Maria, 2011. |
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http://repositorio.ufsm.br/handle/1/4591 |
identifier_str_mv |
BARBA, Fernanda Galvão de. Impacts of the 2007/2008 crisis on latin american equity markets. 2011. 85 f. Dissertação (Mestrado em Administração) - Universidade Federal de Santa Maria, Santa Maria, 2011. |
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http://repositorio.ufsm.br/handle/1/4591 |
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