| Name: | Description: | Size: | Format: | |
|---|---|---|---|---|
| 3.99 MB | Adobe PDF |
Authors
Advisor(s)
Abstract(s)
Cada vez mais têm ocorrido crises financeiras em países isolados ou regiões que têm impacto para além dos mercados financeiras relacionados com as regiões afetadas pela crise, mas também os restantes mercados financeiros globais. Assim torna-se bastante importante perceber qual a razão deste acontecimento, sendo que uma das principais explicações é o contágio financeiro, tema que tem vindo a despertar bastante interesse em investigadores da área financeira. Nesta dissertação será aprofundado o tema do contágio financeiro, relacionando alguns dos principais mercados financeiros globais de modo a perceber qual o impacto que várias crises financeiras tiveram sobre estes índices e analisar a hipótese da existência de contágio durante esses períodos. De modo a realizar este estudo foram selecionados os principais índices bolsistas dos sete países mais industrializados do mundo e foi analisado o período a partir do dia 05 de
janeiro de 2004 até 26 de maio de 2023, de modo a englobar três grandes períodos de crises, sendo estas a crise do subprime, a crise da divida soberana e por fim o período que engloba a crise da pandemia Covid-19 e a guerra entre a Rússia e a Ucrânia. Foram efetuados dois testes principais de modo a verificar a existência de contágio entre os índices selecionados, sendo estes, o teste de causalidade à Granger e o modelo de BEKK- GARCH. Os resultados destes dois testes sugerem a forte ligação entre os mercados europeus acentuando as suas relações durante os períodos de crise, ainda apresentam a grande relevância do mercado americano sobre os restantes uma vez que apresenta fortes ligações com os demais. Por fim também foi possível concluir que o período onde as relações de causalidade se acentuaram mais foi o período de Covid-19 e da guerra, demonstrando assim o grande impacto que ambos os acontecimentos apresentaram nos mercados globais.
Increasingly, there have been financial crisis in isolated countries or regions that have an impact beyond borders, which means crisis have an impact on the financial market of the country and on the global financial markets. Therefore, it is important to find the reason for the occurrence, being one of the main explanation the financial contagion, a topic that has been widely investigated in recent years. The focus of this dissertation is to find evidence of the impact some of the major global financial markets have had on each other’s and the impact some financial crisis had on these markets. To conduct this study, the main stock indexes of the seven most industrialized countries in the world were selected, and the period from January 5, 2004, to May 26, 2023, was analysed to be able to study three major crisis periods: the subprime crisis, the European sovereign debt crisis, and finally, the period encompassing the Covid-19 pandemic and the conflict between Russia and Ukraine. The Granger causality test and the BEKK-GARCH model were the two main tests used in this dissertation to verify the existence of contagion among the selected indexes. The results of these two tests suggest a strong connection between European markets, accentuating their relationships during crisis periods. The results also highlight the significant influence of the American market on the others, as it maintains strong connections with them throughout the period. Finally, it was also possible to conclude that the period when causality relationships were most pronounced was during the Covid-19 pandemic and the conflict, demonstrating the significant impact that both events had on global markets.
Increasingly, there have been financial crisis in isolated countries or regions that have an impact beyond borders, which means crisis have an impact on the financial market of the country and on the global financial markets. Therefore, it is important to find the reason for the occurrence, being one of the main explanation the financial contagion, a topic that has been widely investigated in recent years. The focus of this dissertation is to find evidence of the impact some of the major global financial markets have had on each other’s and the impact some financial crisis had on these markets. To conduct this study, the main stock indexes of the seven most industrialized countries in the world were selected, and the period from January 5, 2004, to May 26, 2023, was analysed to be able to study three major crisis periods: the subprime crisis, the European sovereign debt crisis, and finally, the period encompassing the Covid-19 pandemic and the conflict between Russia and Ukraine. The Granger causality test and the BEKK-GARCH model were the two main tests used in this dissertation to verify the existence of contagion among the selected indexes. The results of these two tests suggest a strong connection between European markets, accentuating their relationships during crisis periods. The results also highlight the significant influence of the American market on the others, as it maintains strong connections with them throughout the period. Finally, it was also possible to conclude that the period when causality relationships were most pronounced was during the Covid-19 pandemic and the conflict, demonstrating the significant impact that both events had on global markets.
Description
Mestrado em Análise Financeira
Keywords
Contágio Crises Mercados financeiros Causalidade Contagion Crisis Financial markets Causality
Citation
Martins, L. M. (2023) O contágio nos mercados financeiros dos países do G7. [Dissertação de mestrado, Instituto Superior de Contabilidade e Administração de Lisboa]. Repositório Científico do Instituto Politécnico de Lisboa. http://hdl.handle.net/10400.21/17457