Contágio Bolsista Internacional: Uma Análise Baseada na Teoria de Valores Extremos

Authors

  • Vítor Manuel de Sousa Gabriel
  • Helena Isabel Barroso Saraiva

Keywords:

crise financeira global, mercados bolsistas internacionais, Value at Risk, teoria de valores extremos, efeito de contágio

Abstract

Este estudo analisa as consequências da recente crise financeira global nas ligações entre mercados bolsistas internacionais. Para tal, foram selecionados índices representativos de doze mercados, desenvolvidos e emergentes, e foi escolhido um lapso de tempo compreendido entre a crise das empresas tecnológicas e a crise global. Com o objetivo de verificar do eventual reforço das ligações internacionais entre mercados, recorre-se à métrica Value-at-Risk, baseada na teoria de valores extremos, e a testes aos coeficientes de correlação, de modo a perceber se os coeficientes registados no subperíodo Crise Financeira Global diferem dos registados nos subperíodos precedentes.
Foram identificadas evidências de que no último subperíodo as ligações entre os mercados sofreram um aumento com significância estatística, denunciando a ocorrência de um fenómeno de contágio internacional.

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Published

2016-02-01

Issue

Section

Articles