Banca de DEFESA: Gabriel Luiz Santos de Oliveira

Uma banca de DEFESA de MESTRADO foi cadastrada pelo programa.
STUDENT : Gabriel Luiz Santos de Oliveira
DATE: 02/10/2023
TIME: 14:00
LOCAL: sala 201, prédio 20, 2º andar, Campus II do CEFET-MG
TITLE:

An Analysis of the Contagion Effect and its Possible Patterns for the Stock Market Indices of South American Countries in Relation to the United States and China

KEY WORDS:

VAR; contagion effect; south american stock market indices

PAGES: 57
BIG AREA: Ciências Sociais Aplicadas
AREA: Administração
SUMMARY:

This study investigated the contagion effect between the stock markets of the five largest economies in South America and the stock markets of the United States and China. To capture the contagion effect, the vector autoregressive (VAR) methodology was used with the addition of two dummy variables that capture extreme values (outside the 5.00% and 95.00% percentiles) in the US and Chinese indices. For the estimation of the VAR models, 2,189 observations of the closing values of indices from Brazil, Argentina, Chile, Colombia, Peru, the United States, and China were used, over the period from June 20, 2013 to November 19, 2021. The results showed that the Ibovespa index is an explanatory variable for the indices of the chilean, colombian, and peruvian markets. In times of normal operations, within the 5.00% and 95.00% percentiles, the stock markets of South American countries showed independence from the US and Chinese markets. However, extreme values in the US and Chinese markets infect the operations of South American countries. Thus, the results suggest that Brazil is an important stock market for South America and that the region’s markets are vulnerable to extreme events in the US and Chinese markets.

COMMITTEE MEMBERS:
Externo à Instituição - RODRIGO JARDIM RAAD - UFMG
Interno - FELIPE DIAS PAIVA
Presidente - LUCELIA VIVIANE VAZ RAAD