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O impacto da pandemia global de 2020 nos mercados de ações da Europa
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Abstract(s)
Esta dissertação visa investigar a relação entre o Covid-19 (casos confirmados e mortes), e os mercados de Portugal, Espanha, Grécia, Irlanda, Itália, França, Alemanha e Reino Unido, no período de 31 de dezembro de 2019 a 20 de outubro de 2020. Pretende-se verificar se: a evolução das séries de tempo Covid-19 (casos confirmados e mortes) estão sincronizados com os mercados de ações da Europa em análise?. A verificar-se níveis acentuados de integração haverá em simultâneo choques acentuados que coloquem em causa a diversificação de carteiras?. Os resultados sugerem que as séries de dados Covid-19 (casos confirmados) integram com a série de dados Covid-19 (mortes) e o mercado da Irlanda. Adicionalmente verificámos que existem 49 pares de mercados de ações integrados (em 56 possíveis), ou seja, a existência de relações estacionárias de longo prazo, que podem colocar em causa uma estratégia de diversificação de carteiras eficiente, o que valida parcialmente a primeira questão de investigação. Os resultados do modelo VAR Granger Causality/Block Exogeneity Wald Tests sugerem duas relações de causalidade bidirecionais entre os casos confirmados e as mortes decorrentes do vírus. Verificámos também a existência de 45 causalidades entre os oito mercados de ações da Europa (em 56 possíveis), ou seja, a existência de relações de curto prazo entre mercados, mas não com as séries de dados. Em jeito de conclusão podemos evidenciar que hipótese de eficiência dos mercados poderá ser questionável, uma vez que a previsão do movimento de determinado mercado pode ser melhorada se considerados os movimentos desfasados dos restantes mercados, possibilitando assim a ocorrência de operações de arbitragem.
This dissertation aims to investigate the relationship between Covid-19 (confirmed cases and deaths), and the markets of Portugal, Spain, Greece, Ireland, Italy, France, Germany and the United Kingdom, from december 31st, 2019 to october 20th, 2020. It is intended to verify whether: the evolution of the Covid-19 time series (confirmed cases and deaths) are synchronized with the European stock markets under analysis?. If there are accentuated levels of integration, will there be accentuated shocks at the same time that call into question portfolio diversification?. The results suggest that the Covid-19 data series (confirmed cases) integrate with the Covid-19 data series (deaths) and the Irish market. In addition, we found that there are 49 pairs of integrated stock markets (out of 56 possible), that is, the existence of long-term stationary relationships, may call into question an efficient portfolio diversification strategy, which partially validates the first investigation question. The results of the VAR Granger Causality / Block Exogeneity Wald Tests model suggest two bidirectional causal relationships between confirmed cases and deaths from the virus. We also verified the existence of 45 causalities among the eight stock markets in Europe (out of 56 possible), that is, the existence of short-term relationships between markets, but not with the Covid-19 data series. In conclusion, we can evidence that the hypothesis of market efficiency may be questionable, since the forecast of the movement of a given market can be improved if we consider the lagged movements of the other markets, thus enabling arbitrage operations to occur.
This dissertation aims to investigate the relationship between Covid-19 (confirmed cases and deaths), and the markets of Portugal, Spain, Greece, Ireland, Italy, France, Germany and the United Kingdom, from december 31st, 2019 to october 20th, 2020. It is intended to verify whether: the evolution of the Covid-19 time series (confirmed cases and deaths) are synchronized with the European stock markets under analysis?. If there are accentuated levels of integration, will there be accentuated shocks at the same time that call into question portfolio diversification?. The results suggest that the Covid-19 data series (confirmed cases) integrate with the Covid-19 data series (deaths) and the Irish market. In addition, we found that there are 49 pairs of integrated stock markets (out of 56 possible), that is, the existence of long-term stationary relationships, may call into question an efficient portfolio diversification strategy, which partially validates the first investigation question. The results of the VAR Granger Causality / Block Exogeneity Wald Tests model suggest two bidirectional causal relationships between confirmed cases and deaths from the virus. We also verified the existence of 45 causalities among the eight stock markets in Europe (out of 56 possible), that is, the existence of short-term relationships between markets, but not with the Covid-19 data series. In conclusion, we can evidence that the hypothesis of market efficiency may be questionable, since the forecast of the movement of a given market can be improved if we consider the lagged movements of the other markets, thus enabling arbitrage operations to occur.
Description
Keywords
Pandemia global de 2020 Mercado de ações da Europa Integrações financeiras Choques Global pandemic 2020 European stock market Financial integrations Shocks