Análise da interdependência dos retornos e da série de volatilidade do índice S&P500 e os principais índices mundiais sob o enfoque da regressão quantílica

• Ano de defesa: 2014
• Autor(a) principal: Costa, Alexandre Silva da
• Orientador(a): Ceretta, Paulo Sergio
• Banca de defesa: Gregori, Roberto de , Bender Filho, Reisoli
• 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: Regressão quantílica; GARCH; Interdependência; Volatilidade
• Palavras-chave em Inglês: Quantile regression; Interdependence; Volatility
• Área do conhecimento CNPq: CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
• Link de acesso: http://repositorio.ufsm.br/handle/1/4707

Since the origins of modern finance theory, interdependence is an issue between assets as the search for diversification ends with a better portfolio. Many studies and many approaches have been given to answer to the questions of correlation, covariance and interdependence but the subprime crises and the almost meltdown of financial markets throughout the globe, proved that portfolios were not efficiently diversified. The concept of diversification and the risk measures did not prevent from hundreds of companies worldwide to go belly up. This work aims to give another approach to interdependence, the quantile regression, including a volatility measure of the American Market regressed with other international major players grouped by their geographic region. This work stars in 2000 and ends in 2012, collecting data through four major events: the Nasdaq burst, the 9/11, the Subprime and the European crises. Our findings are: countries geographically close to the US have display higher levels of interdependence; European countries are in majority also highly integrated with the US; and lastly but more importantly, integration is increasing.