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


  • Vítor Manuel de Sousa Gabriel
  • Helena Isabel Barroso Saraiva


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


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.


Download data is not yet available.


- Andreev, Vladimir O., Ovchinnikova, Oksana P., Parahin, Gennady P. & Tinyakov, Sergey E. (2009). An application of EVT, GPD and POT methods in Russian market. Oryol Regional Academy of State Service. Disponível em: <>. Consultado em 09/06/2014.

- Assaf, A. (2009). Extreme observations and risk assessment in the equity markets of MENA region: Tail measures and Value-at-Risk. International review of Financial Analysis, 18, 109-116.

- Baele, L. (2005). Volatility spillover effects in European equity markets. Journal of Financial and Quantitative Analysis, 40, 2, 373-401.

- Bekaert, G. & Harvey, C. (1997). Emerging equity market volatility. Journal of Financial Economics, 43, 29-77.

- Bekaert, G., Ehrmann, M., Fratzscher, M. & Mehl, A. (2011). Global crises and equity market contagion. National Bureau of Economic Research. Working Paper 17121. Disponível em:

< internet/latinica/ 90/90_9/Michael_Ehrmann_wp.pdf. Consultado em 8/05/2014>.

- Best, P. (1998). Implementing Value at Risk. England: John Wiley & Sons.

- Calvo, S. & Reinhart, C. (1996). Capital flows to Latin America: is there evidence of contagions effects? World Bank Policy Research Working, Paper 1619.

- Christiansen, C. (2007). Volatility-spillover effects in European bond markets. European Financial Management, 13(5), 923-948.

- Christoffersen, P. (2003). Elements of Financial Risk Management. USA: Academic Press.

- Claessens, S., Dell’Ariccia, G., Igan, D. & Laeven, L. (2010). Lessons and policy implications from the global financial crisis. IMF Working Paper, N.º 10/44. Disponível em: <http://www.imf. org/external/pu bs/ft/wp/2010/wp1044.pdf. Consultado em 20/04/2014>.

- Collins, D. & Biekpe, N. (2003). Contagion and interdependence of African stock markets. South African Journal of Economics, 71(1), 181-194.

- Dowd, K. (2002). Measuring Market Risk. Chichester and New York: John Wiley & Sons.

- Eichengreen, B. & Rose, A., (1998). Contagious Currency Crisis: Channels of Conveyance. In: T. Ito e A. Krueger (Eds.). Changes in Exchange Rates in Rapidly Developing Countries: Theory, Practice, and Policy Issues. University of Chicago Press.

- Forbes, K. & Rigobon, R. (2002). No contagion, only interdependence: measuring stock market comovements. Journal of Finance, 57, 2223-62.

- Glick, R. & Rose, K. (1999). Contagion and trade: why are currency crises regional? Journal of International Money and Finance, 18, 603-617.

- Horta, P., Mendes, C. & Vieira, I. (2008). Contagion effects of the US subprime crisis on developed countries. CEFAGE-UE Working Paper 2008/08. Disponível em: < _cientifica/working_ papers_serie_cefa ge_ue/contagion_ effects_of _the_us_subprime_crisis _on_developed _countries>. Consultado em 09/06/2014.

- King, M. & Wadhwani, S. (1990). Transmission of volatility between stock markets. Review of Financial Studies, 3(1), 5-33.

- Lin, J. & Treichel, V. (2012). The unexpected global financial crisis researching its root cause. World Bank. WPS5937. Disponível em: <http://wwwwds.wor WDSP/IB/2012/01/ 09/000158349_20120109085942/Rendered/PDF/ WPS5937.pdf>. Consultado em 12/07/2014.

- Lin, W., Engle, R. & Ito, T. (1994). Do bulls and bears move across borders? International Transmission of Stock Returns and Volatility. Review of Financial Studies, 7, 507-38.

- Masson, P. (1999). Contagion, monsoonal effects, spillovers, and jumps between multiple equilibria. In Ed. P. R. Agenor, M. Miller, D. Vines e A. Weber (Eds.). The Asian Financial Crisis; Causes, Contagion and Consequences. Cambridge: University Press.

- McNeil, A. & Frey, R. (2000). Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach. Journal of Empirical Finance, 7, Issues 3-4, November, 271-300.

- McNeil, A. (1999). Extreme value theory for risk managers. Mimeo. ETHZ Zentrum, Zurich.

Disponível em: <>. Consultado em 21/12/2013.

- Naoui, K., Khemiri, S. & Liouane, N. (2010). Crises and financial contagion: the subprime crisis. Journal of Business Studies Quarterly, 2(1), 15-28.

- Nelson, D. (1991). Conditional heteroskedasticity in asset returns: a new approach. Econometrica, 59(2), 347- 370.

- Ng, A. (2010). Volatility spillover effects from Japan and the US to the Pacific Basin. Journal of International Money and Finance, 19, 207-233.

- Park, Y. & Song, C. (2010). Financial contagion in the East Asian crisis: With Special Reference to the Republic of Korea. In: Claessens, S. and Forbes, K. (Eds.). International Financial Contagion. Massachusetts: Kluwer Academic Publishers.

- Pindyck, R. & Rotemberg, J. (1990). The excess co-movement of commodity prices. The Economic Journal, 100, 1173-89.

- Toussaint, E. (2008). The US subprime crisis goes global. In: Counterpunch, Weekend Edition, January 12-14. Disponível em: <>.

- Van-Rijckeghem, C. & Weder, B. (2010). Sources of contagion: is it finance or trade? Journal of International Economics, 54, 293-300.

- Velayoudoum, M., Bechir, R. & Abdelwahed, T. (2009). Extreme value theory and value-at-risk: Application to oil market. Energy Economics, 31, 519-530.



How to Cite

Gabriel, V. M. de S., & Saraiva, H. I. B. (2016). Contágio Bolsista Internacional: Uma Análise Baseada na Teoria de Valores Extremos. Millenium - Journal of Education, Technologies, and Health, (48), 31–47. Retrieved from