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Advisor(s)
Abstract(s)
Contágio financeiro é um tema que tem despertado, ao longo dos últimos anos, um elevado interesse em numerosos analistas, cujo trabalho e análise desenvolvidos têm relevado a forte importância deste assunto para os mercados financeiros e para os seus participantes. Apesar de, até ao momento, não existir consenso quanto à sua definição, muitos utilizam como base a interpretação estabelecida por Forbes e Rigobon (2002), os quais consideram que este efeito é visível através do aumento significativo da correlação entre os mercados financeiros durante os períodos de crise. Deste modo, o presente estudo exploratório pretende contribuir para esta temática através da análise do contágio durante a pandemia da COVID-19 nos mercados
financeiros americano, europeu, brasileiro e chinês, utilizando, para o efeito, as cotações diárias dos índices bolsistas Standard & Poor’s 500, Euro Stoxx 50, Bovespa e o CSI 300 para o período compreendido entre 2 de janeiro de 2003 e 30 de junho de 2021. Para alcançar estes objetivos, procedeu-se ao cálculo das estatísticas descritivas de rendibilidade, do teste de Kolmogorov-Smirnov, dos coeficientes de correlação e do teste de causalidade de Granger.
Financial contagion is a subject that has aroused, over the last few years, a high level of interest among numerous analysts, whose work and analysis have revealed the strong importance of this matter for the financial markets and their participants. Despite the fact that so far there is no consensus as to its definition, many use as a basis the interpretation established by Forbes and Rigobon (2002), who consider that this effect is visible through the significant increase in correlation between financial markets during periods of crisis. Thus, this exploratory study aims to contribute to this theme by analysing the contagion during the COVID-19 pandemic in the American, European, Brazilian and Chinese financial markets, using for this purpose the daily quotations of the Standard & Poor's 500, Euro Stoxx 50, Bovespa and CSI 300 stock market indices for the period between 2nd January 2003 and 30th June 2021. To achieve these objectives, the descriptive statistics of profitability, the Kolmogorov-Smirnov test, the correlation coefficients and the Granger causality test were calculated.
Financial contagion is a subject that has aroused, over the last few years, a high level of interest among numerous analysts, whose work and analysis have revealed the strong importance of this matter for the financial markets and their participants. Despite the fact that so far there is no consensus as to its definition, many use as a basis the interpretation established by Forbes and Rigobon (2002), who consider that this effect is visible through the significant increase in correlation between financial markets during periods of crisis. Thus, this exploratory study aims to contribute to this theme by analysing the contagion during the COVID-19 pandemic in the American, European, Brazilian and Chinese financial markets, using for this purpose the daily quotations of the Standard & Poor's 500, Euro Stoxx 50, Bovespa and CSI 300 stock market indices for the period between 2nd January 2003 and 30th June 2021. To achieve these objectives, the descriptive statistics of profitability, the Kolmogorov-Smirnov test, the correlation coefficients and the Granger causality test were calculated.
Description
Mestrado em Análise Financeira
Keywords
Mercados financeiros Contágio financeiro COVID-19 Financial markets Financial contagion
Citation
Carvalho, A. F.M. (2022). Análise do efeito de contágio nos mercados financeiros americano, europeu, brasileiro e chinês em tempos de Covid-19. (Dissertação de mestrado não publicada). Instituto Politécnico de Lisboa, Instituto Superior de Contabilidade e Administração de Lisboa. Disponível em http://hdl.handle.net/10400.21/15034