INTERRELATIONSHIPS BETWEEN THE STOCK RETURNS OF BRAZILIAN COMPANIES THAT MAKE UP THE SÃO PAULO STOCK EXCHANGE INDEX
Resumo
The objective of this paper was to verify the interrelationships between the stock returns of 33 Brazilian companies that make up the São Paulo Stock Exchange Index (IBOVESPA), from January 2006 to June 2018, using the principal components analysis (PCA), applied on the residuals of the VAR-GARCH model. In general, the results of this study revealed the presence of interrelation between the stock returns which compose the IBOVESPA and that the interdependence and the correlation pattern vary over time, which can directly impact the investment decisions of economic and financial agents, especially with regard to the diversification of their asset portfolios.
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Referências
ANDERSON, T. W. An introduction to multivariate statistical analysis. 3a ed. New York: John Wiley & Sons, 2013.
ADLER, M.; DUMAS, B. International portfolio choice and corporate finance: a synthesis. Journal of Finance, v. 38, p. 925-984, 1983.
ANDRADE, D. Uma análise da relação entre as variáveis macroeconômicas e o comportamento das ações de maior liquidez do índice IBOVESPA. PhD diss., Universidade Metodista de São Paulo, 2015.
BACA, S.; GARBE, B.; WEISS, R. The rise of sector effects in major equity markets. Financial Analysts Journal, v. 56, p. 34-40, 2000.
BAUWENS, L.; LAURENT, S.; ROMBOUTS, J. V. K. Multivariate GARCH models: a survey. Journal of Applied Econometrics, v. 21, p. 79-109, 2006.
BILLIO, M.; DONADELLI, M.; PARADISO, A.; RIEDEL, M. Measuring financial integration: lessons from the correlation. University Ca' Foscari of Venice, Department of Economics, Working Paper Series n. 23/WP/2015, 2015. Accessed July 19, 2016. http://ssrn.com/abstract=2629906.
BORDO, M. D.; MURSHID, A. P. Globalization and changing patterns in the international transmission in financial markets. Journal of International Money and Finance, v. 25, p. 655-674, 2006.
CASTRO, N. J.; BRANDÃO, R. A crise econômico-financeira e os impactos no setor elétrico brasileiro. Grupo de Estudos do Setor Elétrico – UFRJ, 2008. Accessed April 13, 2018. http://www.nuca.ie.ufrj.br/gesel/.
CHIANG, T. C.; JEON, B. N.; LI, H. Dynamic correlation analysis of financial contagion: evidence from Asian markets. Journal of International Money and Finance, v. 26, p. 1206-1228, 2007.
DICKEY, D. A.; FULLER, W. A. Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, v. 49, p. 1057-1073, 1981.
ENGLE, R. F. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, v. 50, p. 987-1007, 1982.
ENGLE, R. F.; KRONER, K. F. Multivariate simultaneous generalized ARCH. Econometric Theory, v. 11, p. 122-150, 1995.
FAMA, E. The behaviour of stock prices. Journal of Business, v. 38, p. 34-105, 1965.
FERREIRA, D. M.; MATTOS, L. B. O contágio da crise do subprime no mercado acionário brasileiro. In: 40° Encontro Nacional de Economia, Porto de Galinhas. Anais eletrônicos... 2012. Accessed July 15, 2017. http://www.anpec.org.br/novosite/br/encontro-2012.
FORBES K.; RIGOBON R. Measuring contagion: conceptual and empirical issues. Ed. CLAESSENS S.; FORBES K. J. International Financial Contagion. Boston: Springer, 2001.
FUINHAS, J. A.; MARQUES, A. C.; NOGUEIRA, D. C. Integration of the indexes SP500, FTSE100, PSI20, HSI and IBOVESPA: a VAR approach. Paper, University Library of Munich, Germany, 2014. Accessed July 15, 2016. http://EconPapers.repec.org/RePEc:pra:mprapa:62092.
GAGNON, J. E.; UNFERTH, M. D. Is there a world interest rate? Journal of International Money and Finance, v. 14, p. 846-855, 1995.
HERMANN, J.; MARTINS, N. M. Mercado de ações no Brasil: o perfil de risco da expansão de 2004-2011. Análise Econômica, v. 30, p. 87-120, 2012.
HU, Y., P.; LIN, L.; KAO, J. W. Time-varying inter-market linkage of international stock markets. Applied Economics, v. 40, p. 2501-2507, 2008.
HU, Y. P.; TSAY, R. S. Principal volatility component analysis. Journal of Business & Economic Statistics, v. 32, p. 153-164, 2014.
JOHNSON, R.; WICHERN, D. Applied multivariate statistical analysis. 6a ed. New Jersey: Prentice Hall, 2007.
JOLLIFFE, I. T. Principal component analysis. 2a ed. New York: Springer, 2002.
JUBERT, R.; MONTE, P.; PAIXÃO, M.;LIMA, W. Um estudo do padrão de volatilidade dos principais índices financeiros do BOVESPA: uma aplicação de modelos ARCH. Revista UnB Contábil, v. 11, p. 221-239, 2008.
KAMOGAWA, L. F. O.; FONSECA, R. M.; CRUZ JÚNIOR, J. C.; OZAKI, V. A. Uso da análise de componentes principais para a criação de clusters como mecanismo de diversificação de carteira de ativos do setor agroindustrial. In: 44º Congresso Brasileiro de Economia e Sociologia Rural (SOBER), Fortaleza, 2006. Anais eletrônicos... Accessed November 01, 2018. http://www.sober.org.br/palestra/5/736.pdf.
KWIATKOWSKI, D.; PHILLIPS, P. C. B.; SCHMIDT, P.; SHIN, Y. Testing the null hypothesis of stationarity against the alternative of unit root. Journal of Econometrics, v. 54, p. 159-178, 1992.
LAM, C.; YAO, Q. Factor modeling for high-dimensional time series: inference for the number of factors. The Annals of Statistics, v. 40, p. 694-726, 2012.
LÜTKEPOH, H. New introduction to multiple time series analysis. New York, Springer, 2007.
MANDELBROT, B. The variation of certain speculative prices. The Journal of Business, v. 36, p. 394-419, 1963.
MATTESON, D. S.; TSAY, R. S. Dynamic orthogonal components for multivariate time series. Journal of the American Statistical Association, v. 106, p. 1450-1463, 2001.
MAURO, P.; SUSSMAN, N.; YAFEH, Y. Emerging market spreads: then versus now. Quarterly Journal of Economics, v. 117, p. 695-733, 2002.
MEDEIROS, L. G. C. Análise quantitativa da volatilidade dos índices setoriais da BOVESPA através de modelos GARCH univariados. Monography, Universidade Federal do Rio Grande do Sul, 2012.
NELLIS, J. G. A principal components analysis of international financial integration under fixed and floating exchange rate regimes. Applied Economics, v. 14, p. 339-354, 1982.
NUNES, M. S.; COSTA JR, N. C. A.; MEURERII, R. A relação entre o mercado de ações e as variáveis macroeconômicas: uma análise econométrica para o Brasil. Revista Brasileira de Economia, v. 59, p. 585-607, 2005.
PADMANABHAN, D.; SINHA, A. S.; VENKATARAMAN, A. V.; RAVI, A.; JOSHI, A. Comparative analysis of the stock markets of China, Russia, Brazil, South Africa and Argentina. Paper, University Library of Munich, Germany. Acesssed December 2, 2015. https://mpra.ub.uni-muenchen.de/63440/1/MPRA_paper_63440.pdf.
PHILLIPS, P. C. B.; PERRON, P. Testing for unit roots in time series regression. Biometrika, v. 75, p. 335-346, 1988.
TAM, P. S. A spatial-temporal analysis of East Asian equity market linkages. Journal of Comparative Economics, v. 42, p. 304-327, 2014.
VOLOSOVYCH, V. Measuring financial market integration over the long run: is there a U-shape? Journal of International Money and Finance, v. 30, p. 1535-1561, 2011.
ADLER, M.; DUMAS, B. International portfolio choice and corporate finance: a synthesis. Journal of Finance, v. 38, p. 925-984, 1983.
ANDRADE, D. Uma análise da relação entre as variáveis macroeconômicas e o comportamento das ações de maior liquidez do índice IBOVESPA. PhD diss., Universidade Metodista de São Paulo, 2015.
BACA, S.; GARBE, B.; WEISS, R. The rise of sector effects in major equity markets. Financial Analysts Journal, v. 56, p. 34-40, 2000.
BAUWENS, L.; LAURENT, S.; ROMBOUTS, J. V. K. Multivariate GARCH models: a survey. Journal of Applied Econometrics, v. 21, p. 79-109, 2006.
BILLIO, M.; DONADELLI, M.; PARADISO, A.; RIEDEL, M. Measuring financial integration: lessons from the correlation. University Ca' Foscari of Venice, Department of Economics, Working Paper Series n. 23/WP/2015, 2015. Accessed July 19, 2016. http://ssrn.com/abstract=2629906.
BORDO, M. D.; MURSHID, A. P. Globalization and changing patterns in the international transmission in financial markets. Journal of International Money and Finance, v. 25, p. 655-674, 2006.
CASTRO, N. J.; BRANDÃO, R. A crise econômico-financeira e os impactos no setor elétrico brasileiro. Grupo de Estudos do Setor Elétrico – UFRJ, 2008. Accessed April 13, 2018. http://www.nuca.ie.ufrj.br/gesel/.
CHIANG, T. C.; JEON, B. N.; LI, H. Dynamic correlation analysis of financial contagion: evidence from Asian markets. Journal of International Money and Finance, v. 26, p. 1206-1228, 2007.
DICKEY, D. A.; FULLER, W. A. Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, v. 49, p. 1057-1073, 1981.
ENGLE, R. F. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, v. 50, p. 987-1007, 1982.
ENGLE, R. F.; KRONER, K. F. Multivariate simultaneous generalized ARCH. Econometric Theory, v. 11, p. 122-150, 1995.
FAMA, E. The behaviour of stock prices. Journal of Business, v. 38, p. 34-105, 1965.
FERREIRA, D. M.; MATTOS, L. B. O contágio da crise do subprime no mercado acionário brasileiro. In: 40° Encontro Nacional de Economia, Porto de Galinhas. Anais eletrônicos... 2012. Accessed July 15, 2017. http://www.anpec.org.br/novosite/br/encontro-2012.
FORBES K.; RIGOBON R. Measuring contagion: conceptual and empirical issues. Ed. CLAESSENS S.; FORBES K. J. International Financial Contagion. Boston: Springer, 2001.
FUINHAS, J. A.; MARQUES, A. C.; NOGUEIRA, D. C. Integration of the indexes SP500, FTSE100, PSI20, HSI and IBOVESPA: a VAR approach. Paper, University Library of Munich, Germany, 2014. Accessed July 15, 2016. http://EconPapers.repec.org/RePEc:pra:mprapa:62092.
GAGNON, J. E.; UNFERTH, M. D. Is there a world interest rate? Journal of International Money and Finance, v. 14, p. 846-855, 1995.
HERMANN, J.; MARTINS, N. M. Mercado de ações no Brasil: o perfil de risco da expansão de 2004-2011. Análise Econômica, v. 30, p. 87-120, 2012.
HU, Y., P.; LIN, L.; KAO, J. W. Time-varying inter-market linkage of international stock markets. Applied Economics, v. 40, p. 2501-2507, 2008.
HU, Y. P.; TSAY, R. S. Principal volatility component analysis. Journal of Business & Economic Statistics, v. 32, p. 153-164, 2014.
JOHNSON, R.; WICHERN, D. Applied multivariate statistical analysis. 6a ed. New Jersey: Prentice Hall, 2007.
JOLLIFFE, I. T. Principal component analysis. 2a ed. New York: Springer, 2002.
JUBERT, R.; MONTE, P.; PAIXÃO, M.;LIMA, W. Um estudo do padrão de volatilidade dos principais índices financeiros do BOVESPA: uma aplicação de modelos ARCH. Revista UnB Contábil, v. 11, p. 221-239, 2008.
KAMOGAWA, L. F. O.; FONSECA, R. M.; CRUZ JÚNIOR, J. C.; OZAKI, V. A. Uso da análise de componentes principais para a criação de clusters como mecanismo de diversificação de carteira de ativos do setor agroindustrial. In: 44º Congresso Brasileiro de Economia e Sociologia Rural (SOBER), Fortaleza, 2006. Anais eletrônicos... Accessed November 01, 2018. http://www.sober.org.br/palestra/5/736.pdf.
KWIATKOWSKI, D.; PHILLIPS, P. C. B.; SCHMIDT, P.; SHIN, Y. Testing the null hypothesis of stationarity against the alternative of unit root. Journal of Econometrics, v. 54, p. 159-178, 1992.
LAM, C.; YAO, Q. Factor modeling for high-dimensional time series: inference for the number of factors. The Annals of Statistics, v. 40, p. 694-726, 2012.
LÜTKEPOH, H. New introduction to multiple time series analysis. New York, Springer, 2007.
MANDELBROT, B. The variation of certain speculative prices. The Journal of Business, v. 36, p. 394-419, 1963.
MATTESON, D. S.; TSAY, R. S. Dynamic orthogonal components for multivariate time series. Journal of the American Statistical Association, v. 106, p. 1450-1463, 2001.
MAURO, P.; SUSSMAN, N.; YAFEH, Y. Emerging market spreads: then versus now. Quarterly Journal of Economics, v. 117, p. 695-733, 2002.
MEDEIROS, L. G. C. Análise quantitativa da volatilidade dos índices setoriais da BOVESPA através de modelos GARCH univariados. Monography, Universidade Federal do Rio Grande do Sul, 2012.
NELLIS, J. G. A principal components analysis of international financial integration under fixed and floating exchange rate regimes. Applied Economics, v. 14, p. 339-354, 1982.
NUNES, M. S.; COSTA JR, N. C. A.; MEURERII, R. A relação entre o mercado de ações e as variáveis macroeconômicas: uma análise econométrica para o Brasil. Revista Brasileira de Economia, v. 59, p. 585-607, 2005.
PADMANABHAN, D.; SINHA, A. S.; VENKATARAMAN, A. V.; RAVI, A.; JOSHI, A. Comparative analysis of the stock markets of China, Russia, Brazil, South Africa and Argentina. Paper, University Library of Munich, Germany. Acesssed December 2, 2015. https://mpra.ub.uni-muenchen.de/63440/1/MPRA_paper_63440.pdf.
PHILLIPS, P. C. B.; PERRON, P. Testing for unit roots in time series regression. Biometrika, v. 75, p. 335-346, 1988.
TAM, P. S. A spatial-temporal analysis of East Asian equity market linkages. Journal of Comparative Economics, v. 42, p. 304-327, 2014.
VOLOSOVYCH, V. Measuring financial market integration over the long run: is there a U-shape? Journal of International Money and Finance, v. 30, p. 1535-1561, 2011.
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Publicado
2020-07-02
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Zambon Monte, E., & Fantin Almeida , F. . (2020). INTERRELATIONSHIPS BETWEEN THE STOCK RETURNS OF BRAZILIAN COMPANIES THAT MAKE UP THE SÃO PAULO STOCK EXCHANGE INDEX. Revista De Economia Mackenzie, 17(1), 115–145. Recuperado de http://editorarevistas.mackenzie.br/index.php/rem/article/view/13122
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