Please use this identifier to cite or link to this item:
Type: Artigo de periódico
Title: Impact Of Futures Contracts On The Bovespa Stock Index Volatility In Brazil: An Analysis Of The Subprime Crisis [impacto Dos Contratos Futuros Do Ibovespa Na Volatilidade Dos índices De Ações No Brasil: Uma Análise Na Crise Do Subprime]
Author: Maciel L.
da Silveira R.L.F.
Luna I.
Ballini R.
Abstract: Significant increasing in derivatives trading over the world markets has led to an interesting debate about futures contracts influences on spot prices. In this context, this paper aims to evaluate, during the subprime crisis, the influence of IBOVESPA futures price volatility on the spot price indices as follows: IBOVESPA, FGV-100, IBrX-50, IGC, SMLL and MLCX. We considered the period from August 2007 to April 2009, when the evidence of the crisis were intense until to be recovering of growth of stock market index. To assess causality-in-variance, tests proposed by Cheung and Ng (1996) and Hafner and Herwartz (2006) were employed, and the volatility was estimated by an univariate GARCH process. It was found that the volatility of IBOVESPA futures contract did not destabilize spot indices during the subprime crisis.
Rights: aberto
Identifier DOI: 10.1590/S0101-41612012000400006
Date Issue: 2012
Appears in Collections:Unicamp - Artigos e Outros Documentos

Files in This Item:
There are no files associated with this item.

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.