Efeito contágio no mercado financeiro brasileiro

Rodrigo Abbade da Silva, Daniel Arruda Coronel, Mygre Lopes da Silva

Resumo


Objetiva-se avaliar a existência do efeito contágio nos cinco maiores mercados financeiros mundiais (Alemanha, Canada, Japão, Estados Unidos, China), sobre o comportamento do mercado financeiro brasileiro, no período 04/01/1999 a 03/06/2015. Para tanto, foi aplicado um modelo de vetores autorregressivos (VAR). Os resultados não indicaram existência de relações em longo prazo. Em termos dos efeitos de curto prazo, as funções de resposta a impulso mostraram que o mercado financeiro brasileiro reage inconstantemente com os mercados financeiros mundiais, o que corrobora a hipótese de presença do efeito contágio e a possibilidade de diversificação de portfólios entre diferentes países.

 


Palavras-chave


Integração de mercados financeiros; Mercado acionário; Modelo VAR; Efeito contágio; Mercado financeiro brasileiro.



Direitos autorais 2016 Revista Capital Científico - Eletrônica (RCCҽ) - ISSN 2177-4153

Revista Capital Científico – Eletrônica (RCCe) Rua: Padre Salvador, 875 – Bairro Santa Cruz CEP: 85015-430  Guarapuava-Paraná-Brasil Campus Santa Cruz – Editora UNICENTRO ISSN  2177-4153 (Online)

Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 Unported License.

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