Open AccessInterdependência entre os mercados mundiais de ações: uma análise de volatilidades
Author(s) -
Luiz Eduardo Gaio,
Marcelo Augusto Ambrozini,
Carlos Alberto Grespan Bonacim,
Tabajara Pimenta
Publication year - 2014
Publication title -
base - revista de administração e contabilidade da unisinos
Language(s) - English
Resource type - Journals
eISSN - 1984-8196
pISSN - 1807-054X
DOI - 10.4013/base.2014.113.07
Subject(s) - volatility (finance) , econometrics , granger causality , stock market index , economics , composite index , stock market , stock exchange , index (typography) , stock (firearms) , financial economics , geography , composite indicator , finance , computer science , context (archaeology) , archaeology , world wide web
This study aims to verify the existence of causality and interdependence between the different volatilities of world stock indices. The five major indices of stock exchanges in the global scenario besides Ibovespa were evaluated: Dow Jones Industrial Average, Nasdaq Composite Index, Nikkei-225, Standard & Poor’s 500 and Financial Times Stock Exchange. We used the methodology of time series with stationary tests of Dickey-Fuller (ADF) and KPSS Granger causality for the series of indices. The results indicate that the contents do not have any tendency. They behave in the same level, with an average constant over time. Moreover, the observed changes in the Ibovespa volatility do not cause any interference in the U.S. Dow Jones index and S&P500. In the opposite direction, analyzing the causality of global markets on Ibovespa, this study showed that the volatility of Nasdaq, S&P500 and Nikkei do not cause changes in the
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