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Abstract(s)
Este estudo tem como propósito examinar as relações de dependência entre os principais índices acionistas da Euronext, designadamente, identificar o mercado mais impactante e eventuais alterações motivadas pelo evento extremo Covid-19. Neste sentido, foi executada uma análise dos retornos diários de seis índices financeiros distintos: PSI (Portugal), CAC 40 (França), AEX (Amsterdão), BEL 20 (Bélgica), OBX (Noruega) e ISEQ (Irlanda). Para corrigir problemas de autocorrelação e heterocedasticidade condicional, inerentes a essas séries financeiras, empregaram-se modelos ARMA-GARCH e selecionou-se o modelo mais apropriado para cada índice, resultando nos retornos diários filtrados.
Adicionalmente, foi adotado o método de cópulas para criar estimativas das dependências entre as séries dos índices financeiros, tanto antes como após a pandemia, de modo a entender se a influência entre eles sofreu alterações devido a esse evento externo. Os resultados revelam que, em ambos os períodos, o índice CAC 40 exerce a influência mais proeminente sobre os demais, seguido pelo AEX. Por outro lado, o OBX e o ISEQ são os mais impactados, demonstrando parâmetros de dependência relativamente menores. Verifica-se ainda, que o evento pandemia não alterou as posições dominantes dos índices francês e holandês no cenário da Euronext.
This study aims to examine the dependency relationships between Euronext's main shareholder indices, namely, to identify the most impactful market and possible changes caused by the extreme Covid-19 event. In this sense, an analysis of the daily returns of six different financial indices was carried out: PSI (Portugal), CAC 40 (France), AEX (Amsterdam), BEL 20 (Belgium), OBX (Norway) and ISEQ (Ireland). To correct problems of autocorrelation and conditional heteroscedasticity, inherent to these financial series, ARMA-GARCH models were used, and the most appropriate model was selected for each index, resulting in filtered daily returns. Additionally, the copula method was adopted to create estimates of the dependencies between the series of financial indices, both before and after the pandemic, in order to understand whether the influence between them changed due to this external event. The results reveal that, in both periods, the CAC 40 index exerts the most prominent influence on the others, followed by the AEX. On the other hand, OBX and ISEQ are the most impacted, demonstrating relatively lower dependence parameters. It can also be seen that the pandemic event did not change the dominant positions of the French and Dutch indices in the Euronext scenario.
This study aims to examine the dependency relationships between Euronext's main shareholder indices, namely, to identify the most impactful market and possible changes caused by the extreme Covid-19 event. In this sense, an analysis of the daily returns of six different financial indices was carried out: PSI (Portugal), CAC 40 (France), AEX (Amsterdam), BEL 20 (Belgium), OBX (Norway) and ISEQ (Ireland). To correct problems of autocorrelation and conditional heteroscedasticity, inherent to these financial series, ARMA-GARCH models were used, and the most appropriate model was selected for each index, resulting in filtered daily returns. Additionally, the copula method was adopted to create estimates of the dependencies between the series of financial indices, both before and after the pandemic, in order to understand whether the influence between them changed due to this external event. The results reveal that, in both periods, the CAC 40 index exerts the most prominent influence on the others, followed by the AEX. On the other hand, OBX and ISEQ are the most impacted, demonstrating relatively lower dependence parameters. It can also be seen that the pandemic event did not change the dominant positions of the French and Dutch indices in the Euronext scenario.
Description
Keywords
Eficiência dos mercados financeiros Cópulas Arma-Garch Euronext Covid-19 Financial market efficiency Copulas