Análise VAR dos índices bolsistas SP500, FTSE100, PSI20, HSI e IBOVESPA

Fuinhas, José Alberto and Marques, António Cardoso and Nogueira, David Coito (2014): Análise VAR dos índices bolsistas SP500, FTSE100, PSI20, HSI e IBOVESPA.

Abstract

The international capital flows are intensifying due to the deepening of globalization and diversification of portfolios in international capital markets. These factors have contributed to the increased integration of international financial markets. A VAR model is carried out to analyze how a greater integration in world financial markets affects the behavior of international capital flows and investor returns. Daily quotations were used within the period comprised from January 1994 to November 2013, for the following stock market indexes: SP500, FTSE100, PSI20, HSI and IBOVESPA. Markets do not have long-term relationships (cointegration). The benefits of international portfolio diversification on profitability are confirmed. The results of the causality tests and variance decomposition allow grasping the presence of the contagion effect. This effect may be due to the different hours each stock market operates.

• Item Type: MPRA Paper
• English Title: Integration of the indexes SP500, FTSE100, PSI20, HSI and IBOVESPA: A VAR approach
• Language: Portuguese
• Keywords: Globalization; international portfolio diversification; financial markets; integration; stock market indexes; cointegration; VAR.
• Subjects: C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; F - International Economics > F6 - Economic Impacts of Globalization > F65 - Finance; G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

References

Abad, P., H. Chuliá e M. Gómez-Puig, (2010), “Abad EMU and government bond market integration”, Journal of Banking and Finance, nº34, pp. 2851–2860. Abbas, Q., S. Khan e S.Z. Shah, (2013), “Volatility transmission in regional Asian stock markets”, Emerging Markets Review, nº16, pp. 66–77. Adler, M. e B. Dumas, (1983), “International Portfolio Choice and Corporate Finance: A Synthesis”, Journal of Finance, vol.38, nº3, pp. 925-984. Aityan, K., A.K. Ivanov-Schitz e S.S. Izotov, (2010), “Time-shift Asymmetric Correlation Analysis of Global Stock Markets. Journal of International Financial Markets”, Institutions and Money, nº20, pp. 590–605. Alexandre, C., (2005), “Modelos de mercado: um guia para análise de informações financeiras”, Bolsa de mercadorias e futuros: São Paulo. Arshanapalli, B. e J. Doukas, (1993), “International stock market linkages: Evidence from the pre- and post- October 1987 period”, Journal of Banking and Finance, nº17, pp. 193-208. Baele, L. e K. Inghelbrecht,(2010), “Time-varying Integration: Interdependence and Contagion”, Journal of International Money and Finance, nº29, pp. 791–818. Bartram, S.M. e G. Dufey (2001), “International Portfolio Investment: Theory, Evidence, and Institutional Framework, University of Michigan Business School”, Working Paper nº 6/2001. Baumann, R., (1996), “O Brasil e a economia global”, Rio de Janeiro: Campus. Beine, M., A. Cosma e R. Vermeulen, (2010), “The dark side of global integration: Increasing tail dependence”, Journal of Banking and Finance, vol.1, nº34, pp. 184–192. Bekaert, G. e C. R. Harvey, (2000), “Foreign speculators and emerging equity markets and economic development”, Journal of Development Economics, nº66, pp. 465–504. Bekaert, G. H., (1995), “Market integration and investment barriers in emerging equity markets”, World Bank Economic Review, vol.9, nº1, pp. 75-107. Bekaert, G., C.B. Erb, C. R. Harvey e T. E. Viskanta, (1998), “Distributional Characteristics of Emerging Market Returns and Asset Allocation”, Journal of Portfolio Management, vol. 24, nº2, pp. 102-116. Bekaert, G., C.R. Harvey e C. Lundblad, (2001), “Does financial liberalization spur growth?”, National Bureau of Economic Research, Cambridge, MA Working paper 8245. Black, F. (1974), “International capital market equilibrium with investment barriers”, Journal of Financial Economics, vol. 4, nº1, pp. 337-52. Burtless, G., (2007), “International Investment for Retirement Savers: Historical evidence on Risk and Returns”, Research at Boston College. Carrieri, F., V. Errunza e K. Hogan, (2007), “Characterizing world market integration through time”, Journal of Financial and Quantitative Analysis, nº42, pp. 915–94. Carrieri, F., V. Errunza e S. Sarkissian, (2004), “Industry risk and market integration”, Management Science, nº50, pp. 207–221. Chen, J., R. Buckland e J. Williams, (2011), “Regulatory changes, market integration and spillover effects in the Chinese A, B and Hong Kong equity markets Pacific-Basin”, Finance Journal, nº19, pp. 351–373. Chong, T. T. L., W.K. Wong e J. Zhang, (2011), “A Gravity Analysis of International Stock Market Linkages”, Applied Economics Letters, pp. 1315–1319. Christoffersen, P., V.R. Errunza, K. Jacobs, H. Langlois, (2012), “Is the potential for international diversification disappearing? A dynamic copula approach”, Review of Financial Studies, vol. 25, nº12, pp. 3711–3751. Chuhan, P., S Claessens e N.Mamingi, (1998), “Equity and Bond Flows to Latin America and Asia: The Role of Global and Country Factors”, Journal of Development Economics, vol.55, pp.439-463. Demian, C. V., (2011), “Cointegration in Central and East European markets in light of EU accession”, Journal of International Financial Markets, Institutions and Money, nº21, pp. 144–155. Driessen, J. e Laeven L., (2007), “International Portfolio Diversification Benefits: Cross-Country Evidence”, Journal of Banking and Finance, vol.6, nº31, pp.1693-1712. Dumas, B. e SOLNIK B., (1995), "The World Price of Foreign Exchange Risk", Journal of Finance, vol.50, pp. 445-477. Eckel, S., G. Loffler, A. Maurer e V. Schmidt, (2011), “Measuring The Effects of Geographical Distance on Stock Market Correlation”, Journal of Empirical Finance, nº18, pp. 237–247. Engle, R. F. e C. W. J. Granger, (1987), “Co-integration and error correction: Representation, estimation, and testing”, Econometrica, nº55, pp. 251–276. Errunza, Vihang, Losq, Etienne, Padmanabhan e Prasad (1992), “Tests of integration, mild segmentation and segmentation hypotheses”, Journal of Banking & Finance, vol. 16, nº 5, pp. 949-972. Fama, E. F. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal of Finance, nº25, pp.383-417. Fisher, K. P. e A. P. Palasvirta (1990), “High road to a global marketplace: the international transmission of stock markets fluctuations”, The financial Review, Blacwell, nº20, pp.371-394. Fonseca, J. A. S. e A. Santos, (2004), “The Integration of The Europen Stock Markets in the World Market: A New Econometric Approach”, 3ª Conferência Annual da Portuguese Finance Network, Lisboa. Fry, E. J., (1994), “International Investing with ADR´s”, International Publishing Corporation. Gilmore, C. G. e Mcmanus, G. M., (2002), “International portfolio diversification: US and central European equity markets”, Emerging Markets Review, nº3, pp. 69-83. Grubel, H. G., (1968), “Internationally Diversified Portfolios”, American Economic Review, vol.58, nº12, pp.1299-1314. Gupta, F. e Guidi, (2012), “Cointegration relationship and time varying co-movements among Indian and Asian developed stock markets International”, Review of Financial Analysis, nº21, pp. 10–22. Harvey, C. R., (1995), “Predictable Risk and Returns in Emerging Markets”, Review of Financial Studies, nº8, pp.773-816. Henry, P. B., (2000) “Do stock market liberalization cause investment booms?” Journal of Financial Economics, nº58, pp.301–334. Hu, Y., L. Lin e J. Kao, (2008), “Time-varying Inter-market Linkage of International Stock Markets”, Applied Economics, nº40, pp.2501–2507. Jarion, P. e E. Schwartz (1985), “Integration vs. Segmentation in the Canadian Stock Market”, The Journal of Finance, vol.41, nº3. Jinjarak, Y. e H. Zheng, (2014), “Granular institutional investors and global market interdependence” Journal of International Money and Finance, nº46, pp.61–81. Johansen, S. e Katarina Juselius (1990), “Maximum Likelihood Estimation and Inferences on Cointegration-with applications to the demand for money”, Oxford Bulletin of Economics and Statistics, vol.52, pp.169-210. Johansen, S. (1991), “Estimating and Hypothesis Testing of Cointegrating Vectors in Gaussian Autoregressive Models”, Econometrica, nº59, pp.1551-1580. Johansen, S., (1988), “Statiscal Analysis of Cointegration Vectors”, Journal of Economic Dynamics and Control, vol.12, pp.231-254. Karolyi, G. A. e R. M. Stulz (2003), “Are financial assets priced locally or globally?”, Handbook of the Economics of Finance, Elsevier edition 1, vol.1,nº16, pp.975-1020. Kasa, K., (1992), “Common stochastic trends in international stock markets”, Journal of Monetary Economics, 29: 95-124. Koulakiotis, A., N. Kartalis e N. Papasyriopoulos, (2012), “Asymmetric and threshold effects on comovements among Germanic cross-listed equities”, International Review of Economics and Finance, nº24, pp.327–342. Lahrech, A. e K. Sylwester, (2013), “The impact of NAFTA on North American stock market linkages”, North American Journal of Economics and Finance, nº25, pp.94–108. Laopodis, N. T., (2011), “Equity prices and macroeconomic fundamentals: International evidence”, Journal of International Financial Markets, Institutions and Money, nº21, pp.247–276. Lee, C. C., (2013), “Insurance and real output: The key role of banking activities”, Macroeconomic Dynamics, nº17, pp.235–260. Li, H., (2012), “The impact of China's stock market reforms on its international stock market”, The Quarterly Review of Economics and Finance, nº52, pp.358–368. Lintner, J. (1965), “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets”, Review of Ecomics and Statistics, vol.47, pp.13-37. Longin, F e B. Solnik, (1995), “Is the correlation in international equity returns constant 1960-1990?”, Journal of International Money and Finance, vol.14, nº1, pp.3-26. Lucey, B. M. e C. Muckley, (2011), “Robust global stock market interdependencies, International” Review of Financial Analysis, nº20, pp.215–224. Lükepohl, H., (1991), “Introduction to multiple time series analyse”, Springer-Verlag: New York. Lütkepohl, H., (2005), “New Introduction to multiple times series analysis”, Springer-Verlag: Berlin. Markowitz, H., (1952), “Portfolio Selection”, Journal of Finance, nº7, pp.77-91. Meric, I. R., R. P. C, Leal e G. Meric, (1998), “Co-movements of Latin American Equity Markets”, The International Journal of Finance, vol.10, nº3. Meric, I. e Meric, G., (1998), “Correlation Between the World’s Stock Markets Before and After the 1987 Crash”, The Journal of Investing; pp.67-70. Merton, R. (1973), “An Intertemporal Capital Asset Pricing Model”, Econometrica, nº 41, pp.867-887. Miloudi, A., (2003), “Interdépendances entre Places Financiérs Européennes: une Analyse en terme Cointégration et de Causalité, Document de recherche”, AATER en Finance, Université de Rennes. Minella, A., (2001), “Monetary Policy and Inflation in Brazil (1975−2000): A VAR Estimation”, Banco Central do Brasil, Working Paper nº33. Moralesa, L. e B. Andreosso-O'Callaghanb, (2014), “The global financial crisis: World market or regional contagion effects?”, International Review of Economics & Finance, nº29, pp. 108–131. Mossin, J., (1966), “Equilibrium in a Capital Asset Market”, Econometrica, vol.34, nº 4, pp. 768-83. Nogueira, E. M. e W. M. Lamounier, (2008), “ <Contágio> entre Mercados de Capitais Emergentes e Mercados Desenvolvidos: Evidências Empíricas e Reflexos sobre a Diversificação Internacional de Portfólios”, Revista Brasileira de Finanças vol.6, nº2, pp.267-286. Odier, P e B. Solnik, (1993), “Lessons for International Asset Allocation”, Financial Analysts Journal, vol.49, nº2, pp.63-77. Oreiro, J., Paula, L., Silva G., e Ono, F., (2006), “Determinantes macroeconómicos do spread bancário no Brasil: teoria e evidência recente”, Economia Aplicada, nº10, pp.609-634. Pascual, A., (2003), “Assessing Europen stock markets (co)integration”, Economic Letters, nº78, pp.197-203. Pimenta, T., Jr., (2004), “Uma mensuração do fenómeno da interdependência entre os principais mercados acionários da América Latina e o NASDAQ”, Revista de Administração da US, nº39, pp.177-185. Pinheiro, A. e Amin, M., (2005), “Fluxos de capitais e componentes macroeconômicos: análise de inter-relações através da aplicação de um modelo de vetores auto-regressivos (VAR)”, Anais do Encontro Nacional de Economia da ANPEC, Natal. Ragunathan, V., R. Faff e R Brooks (1999), “Correlations, business cycles and integration”, Journal of International Financial Markets, Institutions and Money, vol.9, nº1, pp.75-95. Rangvid, J. (2001), “Increasing convergence among European stock markets? A recursive common stochastic trends analysis”, Economic Letters, nº7, pp.383-389. Ross, S. A., W. Randolph e J. Bradford, (1995), “Administração Financeira”, Tradução António Zoratto Sanvicente, São Paulo: Atlas. Sanvicente, A. e H. Leite, (1994), “Índice Bovespa: um padrão para os investimentos brasileiros”, Atlas: São Paulo. Sercu, P. (1980), “A Generalization of the International Asset Pricing Model, Revue de I ‘Association”, Française de Finance, vol.1, pp.91-135. Sharpe, W. F., (1963), “A Simplified Model for Portfolio Analysis Management”, Science, vol.9, nº2, pp.277-293. Sharpe, W. F., (1964), “Capital Asseet Prices: A Theory of MarKet Equilibrium Under Conditions of Risk”, Journal of Finance, vol. 19, nº3, pp.425-442. Sims, C. A., (1980), “Macroeconomics and reality”, Econometrica, nº48, pp.1-48. Sims, C. A., J. Stock e M. Watson, (1990), “Inference in Linear Time Series Models with some Unit Roots”, Econometrica, nº58, pp.113-144. Solnik, B., (1974a), “An Equilibrium Model of International Capital Market”, Journal of Economic Theory, vol.8, nº4, pp.500-524. Solnik, B., (1974b), “Why not diversify internationally rather than domestically”, Financial Analysts Journal, vol.30, nº4, pp.48-54. Solnik, B., (1996), “International Investments”, Addission-Wesley Publishing company, 3ºed. Soydemir, G., (1997), “The linkages between national stock markets: evidence from emerging markets”, Doctoral thesis. Stehle, R. E., (1977), “An Empirical Test of the Alternative Hypotheses of National and International Pricing of Risky Assets”, Journal of Finance, American Finance Association, vol.32, nº2, pp.493-502. Syriopoulos, T., (2011), “Financial integration and portfolio investments to emerging Balkan equity markets”, Journal of Multinational Financial Management, nº21, pp.40–54. Tam, P. S., (2014), “A spatial–temporal analysis of East Asian equity market linkages”, Journal of Comparative Economics, vol.42, nº2, pp.304–327. Tamakoshi, G. e S. Hamori, (2014), “Co-movements among major European exchange rates: A multivariate time-varying asymmetric approach”, International Review of Economics and Finance, nº31, pp.105–113. Thornton, D. L., e D. Batten, (1985), “Lag-length seletions and tests of Granger causality between money and income”, Journal of money, Credit and Banking, Ohio, University Press, vol.17, pp.164-178. Tobin, J., (1958), “Liquidity Preference as Behaviour Towards Risk”, The Review of Econometric Studies, nº67, pp.65-86. Vermeulen, R., (2013), “International diversification during the financial crisis: A blessing for equity investors?”, Journal of International Money and Finance, nº35, pp.104–123. Wälti, S., (2011), “Stock Market Synchronization and Monetary Integration”, Journal of International Money and Finance, nº30, pp.96–110. Yu, K., P. Fung e C. S. Tam, (2010), “Assessing financial market integration in Asia-equity markets”, Journal of Banking and Finance, nº344, pp.2874–2885.