Análise da relação entre volatilidade e choques econômicos : um estudo sobre o mercado de capitais brasileiro, SP

Abstract

During the 2000's, capital markets observed a strong expansion, which led to a financial crisis in 2008 initiated by the bankrupcy of the Lehman Brothers Bank. In times of crisis, not only the volatility from stocks and market indices can be changed, but so can the diversifiable risk. Based on the test proposed by Evans and Archer (1968) and ajusted by Sharpe (1972), this paper demonstrates the effects of economic shocks on the Brazilian capital market, analyzing the behavior of volatility and diversification effect on stability and crisis periods. Similarly, it contributes with investors and managers for selecting a portfolio that has an acceptable level of risk. The results showed a trend of increased volatility to the crisis of 2008, when compared with other periods. It was observed a higher level of systemic risk to a lower level of diversifiable risk, precisely in a stage of economic crisis. Thus, the results corroborate the papers of Brito and Brito (2002), Grôppo (2004), Figueiredo e Ramos (2004) and Gaio et al. (2007), noting the economic shocks have a strong impact on the Brazilian capital market and showing that diversification is the best way to reduce the risks.