COVID-19 e causalidade na volatilidade do mercado acionário chileno
DOI:
https://doi.org/10.18046/j.estger.2021.159.4412Palavras-chave:
COVID-19, causalidade de Granger, volatilidade, mercados emergentes, incertezaResumo
Nesta pesquisa, a causalidade no sentido de Granger unidirecional foi estudada, desde o Infectious Disease Equity Market Volatility Tracker até a volatilidade do mercado acionário chileno, que é modelado por um procedimento autorregressivo condicional. Aplicam-se três testes de causalidade e, de forma complementar, o teste de bicorrelação cruzada. Os resultados indicam que esse índice causa volatilidade no mercado com a maioria dos testes aplicados. Isso indica a relevância potencial de ter este novo indicador para os agentes que participam dos mercados financeiros, incluindo reguladores, empresas e corretoras de valores. Adicionalmente, os resultados são consistentes com a evidência sobre a capacidade preditiva do índice sobre a volatilidade do preço do petróleo e outros índices.
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