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Diversificação do risco nos mercados de capitais do sudeste asiático: uma abordagem no contexto dos eventos 2020 e 2022
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Abstract(s)
Os eventos de 2020 e 2022 causaram a incerteza na economia global. Face a estes
acontecimentos esta dissertação pretende analisar a diversificação do risco nos mercados de
capitais de Hong Kong (HSI), Indonésia (JKSE), Malásia (KLSE), Coreia do Sul (KOSPI),
Japão (NIKKEI 225), Filipinas (PSEi), Tailândia (SET), China (SSE) e Taiwan (TSEC), no
período entre 2 de janeiro de 2018 a 10 de novembro de 2022. Para se realizar tal análise
pretende dar-se resposta a duas questões de investigação, designadamente, saber se: i) os
eventos de 2020 e 2022 criaram (in) eficiência nos mercados de capitais do sudeste asiático?
ii) se sim, a autocorrelação dos retornos aumenta as interligações entre estes mercados
regionais? Os resultados sugerem a existência de autocorrelação, a presença de
heterocedasticidade condicionada e que os dados de tempo apresentam componentes não
lineares na amostra completa, ou seja, persistência nos retornos. Para quantificar a
persistência foi estimado o modelo Detrended Fluctuation Analysis (DFA) e verificou-se que
durante o subperíodo Tranquilo os expoentes de autocorrelação apresentam, na sua maioria,
memórias longas, enquanto os mercados das Filipinas (0.48) e da Indonésia (0.47)
apresentam anti persistência, já o mercado de ações de Hong Kong (0.51) mostra sinais de
algum equilíbrio. Durante o subperíodo de Stress pôde observar-se que os mercados de
ações, na sua maioria, mostram sinais de persistência nos seus retornos, sendo a exceção o
índice de ações HSI (0.47) que evidencia alguma anti persistência, já os mercados das
Filipinas (0.51) e da China (0.49) sugerem algum equilíbrio. Face a estes achados, a primeira
questão de investigação não é validada pois verifica-se a presença de persistência nos
mercados o que origina (in) eficiência, em ambos os períodos. De forma complementar,
estimou-se o 𝑟ℎ𝑜𝐷𝐶𝐶𝐴 e, quando comparados os dois subperíodos, constatou-se que na sua
maioria, os coeficientes 𝑟ℎ𝑜𝐷𝐶𝐶𝐴, aumentaram de anti persistentes para coeficientes de
correlação sem tendência fracos e médios. Face a estes achados, a segunda questão de
investigação é também rejeitada, ou seja, a previsibilidade dos retornos não influencia a
integração entre estes mercados regionais. Estas evidencias mostram que os investidores
individuais e institucionais já não reagem de forma exagerada à incerteza global o que poderá
promover a hipótese de diversificação de carteiras eficiente.
The events of 2020 and 2022 caused uncertainty in the global economy. In light of these events, the purpose of this dissertation is to analyse risk diversification in the capital markets of Hong Kong (HSI), Indonesia (JKSE), Malaysia (KLSE), South Korea (KOSPI), Japan (NIKKEI 225), the Philippines (PSEi), Thailand (SET), China (SSE), and Taiwan (TSEC) from January 2, 2018, to November 10, 2022. The purpose of such research is to respond to two research questions: i) Did the 2020 and 2022 events cause (in)efficiency in Southeast Asian capital markets? ii) If so, does return autocorrelation improve interconnections among such regional markets? The results suggest the presence of autocorrelation, conditional heteroskedasticity, and non-linear components in the complete sample, i.e., persistence in returns. The Detrended Fluctuation Analysis (DFA) model was estimated to quantify persistence, and it was observed that during the Tranquil subperiod, the autocorrelation exponents show mostly long memories, while the markets in the Philippines (0.48) and Indonesia (0.47) show anti-persistence, while the Hong Kong stock market (0.51) shows signs of some equilibrium. During the Stress subperiod, stock markets exhibited signals of persistence in their returns, with the exception of the HSI stock index (0.47), which demonstrated some anti persistence, while the Philippines (0.51) and China (0.49) markets revealed some equilibrium. Based on these findings, the first research question is not validated since markets exhibit signs of persistence, resulting in (in)efficiency in both periods. In addition, the 𝑟ℎ𝑜𝐷𝐶𝐶𝐴 coefficients were estimated, and when comparing the two sub-periods, it was found that the 𝑟ℎ𝑜𝐷𝐶𝐶𝐴 coefficients increased from anti-persistent to weak and medium trendless correlation coefficients. Given these findings, the second research question, that the predictability of returns does not influence the integration among these regional markets, is also rejected. Individual and institutional investors no longer overreact to global uncertainty, which supports the efficient portfolio diversification hypothesis. Considering these findings, the second research question, that the predictability of returns does not influence the integration among these regional markets, is also rejected. Individual and institutional investors no longer overreact to global uncertainty, which supports the efficient portfolio diversification hypothesis.
The events of 2020 and 2022 caused uncertainty in the global economy. In light of these events, the purpose of this dissertation is to analyse risk diversification in the capital markets of Hong Kong (HSI), Indonesia (JKSE), Malaysia (KLSE), South Korea (KOSPI), Japan (NIKKEI 225), the Philippines (PSEi), Thailand (SET), China (SSE), and Taiwan (TSEC) from January 2, 2018, to November 10, 2022. The purpose of such research is to respond to two research questions: i) Did the 2020 and 2022 events cause (in)efficiency in Southeast Asian capital markets? ii) If so, does return autocorrelation improve interconnections among such regional markets? The results suggest the presence of autocorrelation, conditional heteroskedasticity, and non-linear components in the complete sample, i.e., persistence in returns. The Detrended Fluctuation Analysis (DFA) model was estimated to quantify persistence, and it was observed that during the Tranquil subperiod, the autocorrelation exponents show mostly long memories, while the markets in the Philippines (0.48) and Indonesia (0.47) show anti-persistence, while the Hong Kong stock market (0.51) shows signs of some equilibrium. During the Stress subperiod, stock markets exhibited signals of persistence in their returns, with the exception of the HSI stock index (0.47), which demonstrated some anti persistence, while the Philippines (0.51) and China (0.49) markets revealed some equilibrium. Based on these findings, the first research question is not validated since markets exhibit signs of persistence, resulting in (in)efficiency in both periods. In addition, the 𝑟ℎ𝑜𝐷𝐶𝐶𝐴 coefficients were estimated, and when comparing the two sub-periods, it was found that the 𝑟ℎ𝑜𝐷𝐶𝐶𝐴 coefficients increased from anti-persistent to weak and medium trendless correlation coefficients. Given these findings, the second research question, that the predictability of returns does not influence the integration among these regional markets, is also rejected. Individual and institutional investors no longer overreact to global uncertainty, which supports the efficient portfolio diversification hypothesis. Considering these findings, the second research question, that the predictability of returns does not influence the integration among these regional markets, is also rejected. Individual and institutional investors no longer overreact to global uncertainty, which supports the efficient portfolio diversification hypothesis.
Description
Keywords
Eventos de 2020 e 2022 Sudeste asiático Autocorrelação Integração Diversificação de carteiras Events 2020 and 2022 Southeast Asia Autocorrelation Integration Portfolio diversification