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Os efeitos da pandemia global de 2020 na integração dos mercados financeiros: criptomoedas vs.G7
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A presente dissertação tem como objetivo analisar o impacto da pandemia global de 2020
(covid-19) nos mercados de ações do grupo dos 7 (G7), especificamente nos índices
bolsistas, DJ e S&P 500 (representativos do mercado de ações norte-americano), FTSE 100
(Reino Unido), S&P/TSX (Canadá), DAX 30 (Alemanha), CAC 40 (França), Nikkei 225 (Japão)
e Italy Ds Market (Itália) e nas criptomoedas Bitcoin (BTC), Litecoin (LTC), Ethereum (ETH) e
no índice Crypto 10. Para realizar este estudo foram empregues diferentes abordagens de
forma a responder se: i) As criptomoedas versus os mercados de ações do G7 tendem para
a integração durante o período marcado pela pandemia global de 2020?; ii) os choques
acentuados entre mercados poderão colocar em causa as hipóteses de diversificação de
carteira?. Os resultados dos testes de cointegração para o subperíodo relativo à pandemia de
covid-19 quando comparado com o subperíodo precedente sugerem que as criptomoedas
BTC e ETH diminuíram significativamente o seu nível de integração com os seus pares,
enquanto a LTC manteve. De forma adicional também se constatou que os mercados de
ações dos EUA (DJ, S&P 500) e da Alemanha (DAX 30) diminuíram o nível de integração
quando comparados com o subperíodo pré-covid 19. Já os mercados do Reino Unido (FTSE
100), Canadá (S&P/ TSX), Japão (Nikkei 225), França (CAC 40) e Itália (Italy Ds Market)
assistiram a um aumento do seu nível de integração com os restantes mercados. De forma a
validar os resultados aferiu-se ainda sobre os choques entre mercados através da aplicação
do modelo VAR Granger Causality/Block Exogeneity Wald Tests e verificou-se que as
criptomoedas BTC, ETH e LTC aumentaram os comovimentos com os seus pares, enquanto
o índice Crypto 10 diminuiu o seu número de choques, quando comparado com o subperíodo
de pré-covid 19. Em relação aos mercados de ações verificou-se que o índice DJ manteve o
mesmo nível de choques, enquanto o índice japonês (Nikkei 225) diminuiu. Já os mercados
da Alemanha (DAX), EUA (S&P 500), Canadá (S&P/TSX), Reino Unido (FTSE 100), França
(CAC 40) e Itália (Italy Ds Market) aumentaram os seus comovimentos no período marcado
pela ocorrência da pandemia global. Em jeito de conclusão, pode-se evidenciar a existência
de sincronizações e comovimentos acentuados, resultados estes que colocam em causa a
implementação de estratégias de diversificação de carteiras eficientes. Estas conclusões
também abrem espaço para que os reguladores de mercado intentem medidas para garantir
uma melhor informação sobre as dinâmicas entre os mercados financeiros internacionais.
This dissertation aims to analyze the impact of the 2020 global pandemic (covid-19) on the G7 stock markets, namely DJ, S&P 500 (representative of the US stock market), FTSE 100 (UK), S&P/TSX (Canada), DAX (Germany), CAC 40 (France), Nikkei 225 (Japan) and Italy Ds Market (Italy) and in the cryptocurrencies like Bitcoin (BTC), Litecoin (LTC), Ethereum (ETH) and the Crypto 10 index. To accomplish this research different approaches were used to answer the following: i) Do cryptocurrencies versus G7 stock markets tend towards integration during the 2020 global pandemic?; ii) Could the sharp shocks between markets risk the portfolio diversification? The results of cointegration tests for the 2020 global pandemic, when compared to the previous sub-period (pre-covid), suggest that cryptocurrencies BTC and ETH decreased their level of integration, while LTC was maintained. Additionally, it was also observed a decreased integration level in the American stock markets (DJ and S&P 500) and the German stock market (DAX 30) in comparison to the pre-covid subperiod. On the other hand, the UK (FTSE 100), Canada (S&P/TSX), Japan (Nikkei 225), France (CAC 40), and Italy (Italy Ds Market) stock markets have raised the level of integration with the rest of the markets. To validate the results, it was investigated the shocks between markets through the VAR Granger Causality/Block Exogeneity Wald Tests model which suggest that the BTC, ETH, and LTC cryptocurrencies increased co-movements with their peers, while the Crypto 10 index decreased when compared to the pre-covid subperiod. Regarding the stock markets, it was found that the DJ index maintained the same level of shocks, while the Japanese index (Nikkei 225) declined. Furthermore, the stock markets of Germany (DAX), USA (S&P 500), Canada (S&P/TSX), UK (FTSE 100), France (CAC 40) and Italy (Italy Ds Market) increased their movements during the global pandemic period. In conclusion, the presence of synchronizations and accentuated co-movements can be demonstrated. These results call into question the formulation and implementation of risk diversification strategies. These findings also lead market regulators to attempt measures to guarantee better information about the dynamics between international financial markets.
This dissertation aims to analyze the impact of the 2020 global pandemic (covid-19) on the G7 stock markets, namely DJ, S&P 500 (representative of the US stock market), FTSE 100 (UK), S&P/TSX (Canada), DAX (Germany), CAC 40 (France), Nikkei 225 (Japan) and Italy Ds Market (Italy) and in the cryptocurrencies like Bitcoin (BTC), Litecoin (LTC), Ethereum (ETH) and the Crypto 10 index. To accomplish this research different approaches were used to answer the following: i) Do cryptocurrencies versus G7 stock markets tend towards integration during the 2020 global pandemic?; ii) Could the sharp shocks between markets risk the portfolio diversification? The results of cointegration tests for the 2020 global pandemic, when compared to the previous sub-period (pre-covid), suggest that cryptocurrencies BTC and ETH decreased their level of integration, while LTC was maintained. Additionally, it was also observed a decreased integration level in the American stock markets (DJ and S&P 500) and the German stock market (DAX 30) in comparison to the pre-covid subperiod. On the other hand, the UK (FTSE 100), Canada (S&P/TSX), Japan (Nikkei 225), France (CAC 40), and Italy (Italy Ds Market) stock markets have raised the level of integration with the rest of the markets. To validate the results, it was investigated the shocks between markets through the VAR Granger Causality/Block Exogeneity Wald Tests model which suggest that the BTC, ETH, and LTC cryptocurrencies increased co-movements with their peers, while the Crypto 10 index decreased when compared to the pre-covid subperiod. Regarding the stock markets, it was found that the DJ index maintained the same level of shocks, while the Japanese index (Nikkei 225) declined. Furthermore, the stock markets of Germany (DAX), USA (S&P 500), Canada (S&P/TSX), UK (FTSE 100), France (CAC 40) and Italy (Italy Ds Market) increased their movements during the global pandemic period. In conclusion, the presence of synchronizations and accentuated co-movements can be demonstrated. These results call into question the formulation and implementation of risk diversification strategies. These findings also lead market regulators to attempt measures to guarantee better information about the dynamics between international financial markets.
Description
Keywords
Covid-19 Criptomoedas G7 Integração financeira Comovimentos Diversificação de carteiras Cryptocurrencies Financial integration Co-movements wallet diversification