| Name: | Description: | Size: | Format: | |
|---|---|---|---|---|
| 2.08 MB | Adobe PDF |
Advisor(s)
Abstract(s)
Dada a actual conjuntura dos mercados financeiros, onde uma forte incerteza predomina no dia-a-dia dos investidores, torna-se cada vez mais importante conseguir prever comportamentos e tomar decisões que minimizem os riscos de desvalorização de investimentos e consequentes perdas, por vezes difíceis de recuperar. É neste contexto
que surge a volatilidade. Este conceito tem tido crescente importância, pois constitui um indicador dos sentimentos que reinam nos principais mercados financeiros: ansiedade, satisfação ou insatisfação, pânico, entre outros. Neste sentido, escolheu-se a volatilidade para objecto desta dissertação. A primeira parte, de carácter teórico, tem como objectivo contextualizar o estudo, compreender conceitos e preparar os utilizadores deste estudo para a segunda parte que é mostrar a evolução dos índices de volatilidade implícita e verificar se os mesmos têm significado estatístico. Concluiu-se que a relação observada entre o índice de acções e o respectivo índice de volatilidade implícita é estatisticamente significativa.
Given the actual conjuncture of the financial markets and their constant uncertainty, it has become plus important being able to predict behaviors and make decisions which minimize risks and consequent losses, sometimes difficult to recover. It’s in this context that volatility arises. This concept shows a growing importance because it’s an indicator that allows investors to assess the existing feelings exist in the principal financial markets: anxiety, satisfaction or dissatisfaction, panic, among others. For this, volatility has been chosen to be the subject of this study. The theoretical part, has the goal of contextualizing the study, understanding concepts and prepare the users of this dissertation to the second part which is to show implied volatility indices evolution and verify if they have statistical significance. We concluded that the relation observed between the stock index and its implied volatility index has statistical significance.
Given the actual conjuncture of the financial markets and their constant uncertainty, it has become plus important being able to predict behaviors and make decisions which minimize risks and consequent losses, sometimes difficult to recover. It’s in this context that volatility arises. This concept shows a growing importance because it’s an indicator that allows investors to assess the existing feelings exist in the principal financial markets: anxiety, satisfaction or dissatisfaction, panic, among others. For this, volatility has been chosen to be the subject of this study. The theoretical part, has the goal of contextualizing the study, understanding concepts and prepare the users of this dissertation to the second part which is to show implied volatility indices evolution and verify if they have statistical significance. We concluded that the relation observed between the stock index and its implied volatility index has statistical significance.
Description
Mestrado em Contabilidade Internacional
Keywords
Opções financeiras Modelo Black-Scholes Volatilidade implícita Índices de volatilidade implícita Correlação Nível de significância Finantial options Black-Scholes model Implied volatility indices Correlation Significance