Volatilidade no mercado acionário brasileiro: governança corporativa e efeito contágio

• Ano de defesa: 2017
• Autor(a) principal: Milken, Marcelo Andrade
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal de Uberlândia; Brasil; Programa de Pós-graduação em Administração
• Palavras-chave em Português: Administração; Governança corporativa - Brasil; Mercado de capitais; Bolsa de valores; Volatilidade; Efeito contágio; Volatility; Corporate governance; Contagion Effect; CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
• Link de acesso: https://repositorio.ufu.br/handle/123456789/18786; http://doi.org/10.14393/ufu.di.2017.215

This study had as its main theme the volatility of the Brazilian stock market where it was analyzed, in separate articles, its relation with corporate governance practices and also with respect to the contagion effect. The first article analyzed the relationship between the volatility of the rate of return of Brazilian companies and corporate governance practices. An analysis was carried out before and after their respective adherence and the behavior of companies that migrated to the level was also observed. The period analyzed was from 1999 to 2016, being restricted the date of adhesion of each company. As statistical and econometric methods, we used the autoregressive models of conditional heteroscedasticity ARCH- GARCH, especially the autoregressive model of exponential conditional heteroscedasticity EGARCH and mean tests, t of student. We also performed a robustness test, called a control group, formed by companies from the same segment without adherence to corporate governance practices to ensure that the results obtained in the primary analyzes would not be influenced by variables that were not the target of the study. The results showed that there is a significant relationship between corporate governance practices with a change in the behavior of the volatility of stock returns and also that a change in corporate governance level has the same effect. The application of the control group corroborated the initial results, indicating that companies that did not opt for adherence to corporate governance practices showed an increase in volatility or a worse result than companies with practices. The second article analyzed the relationship between the volatility of the IBOVESPA index and the volatility of the stock indices of Brazil's main trading partners (Argentina, USA, China and Europe) through the contagion effect. The analysis period was from 2001 to 2016. The methods used were EGARCH and Vector Regressive Vector (VAR), including two VAR-related instruments, called variance decomposition analysis (ADV) and impulse response function ( FIR). The results showed the existence of the contagion effect in the variable volatility of the stock index, being observed with greater intensity mainly by the influence of the European and American stock exchange. It was also evidenced the influence that the Brazilian stock exchange exercises in the Argentine stock exchange.