| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 3.41 MB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
O presente estudo tem como objetivo analisar a relação de dependência e os efeitos de spillover entre Exchange-Traded Funds (ETF) e os seus índices acionistas subjacentes, com especial enfoque nos principais mercados europeus. Com este propósito, foram analisados os retornos diários de sete índices acionistas europeus: AEX, BEL20, CAC40, DAX40, FTSE100, FTSE MIB e IBEX35, e dos respetivos ETF: IAEX.AS, BEL.BR, CAC.PA, EXS1.DE, ISF.L, ETFMIB.MI e LYXIB.MC. Para corrigir a existência de autocorrelação e de heterocedasticidade condicional associadas às séries financeiras, recorreu-se ao modelo ARMA-GARCH e, através do critério de informação de Akaike (AIC), selecionou-se o modelo mais adequado para cada índice acionista e ETF, apurando-se os retornos filtrados. Posteriormente, recorreu-se ao método das cópulas para estimar relações de dependência entre ETF e índices acionistas europeus subjacentes. Os resultados evidenciam relações de dependência em todos os pares analisados, bem como a presença de efeito spillover bidirecional, indicando que os ETF não se limitam a replicar o comportamento dos índices, mas também contribuem para a sua propagação de choques, sobretudo em períodos de maior volatilidade.
The present study aims to analyse the dependence relationship and spillover effects between Exchange-Traded Funds (ETF) and their underlying European stock indices, with a particular focus on the main European markets. For this purpose, the daily returns of seven European stock indices—AEX, BEL20, CAC40, DAX40, FTSE100, FTSE MIB and IBEX35—and their respective ETF—IAEX.AS, BEL.BR, CAC.PA, EXS1.DE, ISF.L, ETFMIB.MI and LYXIB.MC—were analysed. To address the presence of autocorrelation and conditional heteroscedasticity associated with financial time series, the ARMA-GARCH model was employed and, using the Akaike Information Criterion (AIC), the most suitable model was selected for each stock index and ETF, thereby obtaining the filtered returns. Subsequently, the copula method was applied to estimate dependence relationships between ETF and their underlying European stock indices. The results reveal dependence relationships in all analysed pairs, as well as the presence of bidirectional spillover effects, indicating that ETF do not merely replicate the behaviour of the indices but also contribute to the propagation of shocks, particularly during periods of higher volatility.
The present study aims to analyse the dependence relationship and spillover effects between Exchange-Traded Funds (ETF) and their underlying European stock indices, with a particular focus on the main European markets. For this purpose, the daily returns of seven European stock indices—AEX, BEL20, CAC40, DAX40, FTSE100, FTSE MIB and IBEX35—and their respective ETF—IAEX.AS, BEL.BR, CAC.PA, EXS1.DE, ISF.L, ETFMIB.MI and LYXIB.MC—were analysed. To address the presence of autocorrelation and conditional heteroscedasticity associated with financial time series, the ARMA-GARCH model was employed and, using the Akaike Information Criterion (AIC), the most suitable model was selected for each stock index and ETF, thereby obtaining the filtered returns. Subsequently, the copula method was applied to estimate dependence relationships between ETF and their underlying European stock indices. The results reveal dependence relationships in all analysed pairs, as well as the presence of bidirectional spillover effects, indicating that ETF do not merely replicate the behaviour of the indices but also contribute to the propagation of shocks, particularly during periods of higher volatility.
Descrição
Palavras-chave
Cópulas Exchange-trade funds Índices acionistas Spillover