Transmissão de volatilidade de preços entre o petróleo e os índices das bolsas de valores

• Ano de defesa: 2020
• Autor(a) principal: Veras, Elton Gonçalves
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal da Paraíba; Brasil; Administração; Programa de Pós-Graduação em Administração; UFPB
• Palavras-chave em Português: Preço do petróleo; Índice das bolsas de valores; Transmissão de volatilidade; Oil price; Stock exchange index; Volatility transmission; CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
• Link de acesso: https://repositorio.ufpb.br/jspui/handle/123456789/18850

As the variations in the price of oil imply dissimilar risks for exporters and importers, this dissertation aimed to investigate the differences in the transmission of price volatility between the indexes of the stock exchanges of exporting countries and oil, compared to the spread of price volatility among importers and this commodity. The research sample consisted of 10 exporting countries and 14 importers that stand out among the 15 largest in the export and import of this commodity, according to a ranking prepared by the U.S Energy Information Administration. Adopting a period from January 2010 to December 2019 due to a limitation in the database, Thomson Reuters, the first results were generated by the DCC method from the ARMA-EGARCH modeling and no differences were found in the short and long term shocks, in general, between exporters and importers or in the structural changes tests applied in the Dynamic Conditional Correlations series. Using the VAR model in the variance (ARMAEGARCH), the Impulse Response Function and Transfer Entropy were applied. Therefore, the differences between exporters and importers were not detected in the Impulse Response Function, but in the Transfer Entropy. However, in view of all the findings obtained, it was not possible to infer that there are distinctions between exporters and importers with regard to the spread of oil price risk and that of stock exchange indices, but that there are individual differences for each analyzed country.