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Publication
O Impacto do Covid-19 nos Mercados de Ações e de Títulos de Portugal e da EDP: Uma Abordagem Econofísica
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| 1.36 MB | Adobe PDF |
Advisor(s)
Abstract(s)
A pandemia COVID-19, registada a 30 de janeiro pela OMS como um problema de escala
global, que não só alterou a vida das pessoas, mas como também causou muitas mortes,
perdas de emprego, fez com que muitas empresas fechassem para conter o surto do vírus,
e inclusive interrompeu o mercado de capitais, gerando quebras significativas.
Face a estes acontecimentos a presente dissertação pretende analisar a eficiência, na sua
forma fraca, nos mercados de ações e de dívida da EDP e Portugal, no período de 31 de
dezembro de 2019 a 08 de outubro de 2020.
Com o propósito de se alcançar o objetivo da investigação pretende-se dar resposta a três
questões de investigação, designadamente em saber, se: (i) a evolução da pandemia global
(Covid-19), fez aumentar a (in) eficiência dos mercados de ações e de dívida de Portugal
e da EDP? (ii) A volatilidade extrema vivida nos mercados internacionais origina
sincronizações acentuadas entre os mercados em análise? iii) se a integração financeira
origina transmissão de risco entre mercados?
Os expoentes 𝐷𝐹𝐴 sugerem a existência de memorias longas nestes mercados, o que faz
concluir que os mesmos não são eficientes, na sua forma fraca, validando a primeira
questão de investigação. Estes resultados poderão ser benéficos para os investidores, uma
vez que algumas rendibilidades podem ser expectáveis, criando oportunidades de
arbitragem e de rendibilidades anormais.
Para responder à segunda questão de investigação realizamos o teste de integração
Gregory-Hansen que mostra que estes mercados apresentam níveis de integração
acentuados o que era expectável devidos aos fatores comuns onde estão inseridos, o que
valida a segunda questão de investigação.
Para validar se a integração financeira implica transmissão de risco entre os mercados em
analise estimamos os coeficientes de correlação cruzada sem tendência (λDCCA), que
evidenciam 4 pares de mercados a mostrarem transmissão de risco (4 em 10 possíveis),
ou seja, existe uma relação causal parcial entre a integração financeira e a transmissão de
risco nos mercados analisados, estes resultados validam parcialmente a terceira questão
de investigação.
As metodologias utilizadas ao longo do trabalho mostraram ser ferramentas adequadas
para as séries temporais financeiras, transformando esse estudo num material de interesse
público, útil para acadêmicos no desenvolvimento de matérias relacionadas com a teoria
financeira subjacente a HME e finanças comportamentais, assim como também benéfica
para os investidores por fazerem escolhas de produtos e estratégias de investimento.
The COVID-19 pandemic, registered on 30 January by the WHO as a global problem, which not only changed people's lives, but also caused many deaths, job losses, caused many companies to close to contain the outbreak virus, and even interrupted the capital market, causing significant falls. In view of these events, this thesis intends to analyse the efficiency, in its weak form, in the stock and debt markets of EDP and Portugal, in the period from December 31, 2019 to October 8, 2020. With the purpose of achieving the aim of the investigation is to answer three research questions, namely whether: (i) the evolution of the global pandemic (Covid-19), has increased the (in) efficiency of Portugal's stock and debt markets and EDP? (ii) Does the extreme volatility experienced in international markets lead to marked synchronizations between the markets under analysis? iii) whether financial integration leads to risk transmission between markets? DFA exponents suggest the existence of long memories in these markets, which leads to the conclusion that they are not efficient, in their weak form, validating the first research question. These results may be beneficial for investors, since some returns can be expected, creating opportunities for arbitrage and abnormal returns. In order to answer the second research question, we carried out the Gregory-Hansen integration test, which shows that these markets have marked levels of integration, which was expected due to the common factors where they are inserted, which validates the second research question. To validate whether financial integration implies risk transmission between the markets under analysis, we estimate the trendless cross-correlation coefficients (λ_DCCA), which show 4 pairs of markets showing risk transmission (4 out of 10 possible), that is, not there is a causal relationship between financial integration and risk transmission in the analysed markets, these results partially validate the third research question. The methodologies used throughout the work proved to be adequate tools for financial time series, transforming this study into a public interest, useful for academics in the development of subjects related to the financial theory underlying HME and behavioural finance, as well as beneficial to investors for making product choices and investment strategies.
The COVID-19 pandemic, registered on 30 January by the WHO as a global problem, which not only changed people's lives, but also caused many deaths, job losses, caused many companies to close to contain the outbreak virus, and even interrupted the capital market, causing significant falls. In view of these events, this thesis intends to analyse the efficiency, in its weak form, in the stock and debt markets of EDP and Portugal, in the period from December 31, 2019 to October 8, 2020. With the purpose of achieving the aim of the investigation is to answer three research questions, namely whether: (i) the evolution of the global pandemic (Covid-19), has increased the (in) efficiency of Portugal's stock and debt markets and EDP? (ii) Does the extreme volatility experienced in international markets lead to marked synchronizations between the markets under analysis? iii) whether financial integration leads to risk transmission between markets? DFA exponents suggest the existence of long memories in these markets, which leads to the conclusion that they are not efficient, in their weak form, validating the first research question. These results may be beneficial for investors, since some returns can be expected, creating opportunities for arbitrage and abnormal returns. In order to answer the second research question, we carried out the Gregory-Hansen integration test, which shows that these markets have marked levels of integration, which was expected due to the common factors where they are inserted, which validates the second research question. To validate whether financial integration implies risk transmission between the markets under analysis, we estimate the trendless cross-correlation coefficients (λ_DCCA), which show 4 pairs of markets showing risk transmission (4 out of 10 possible), that is, not there is a causal relationship between financial integration and risk transmission in the analysed markets, these results partially validate the third research question. The methodologies used throughout the work proved to be adequate tools for financial time series, transforming this study into a public interest, useful for academics in the development of subjects related to the financial theory underlying HME and behavioural finance, as well as beneficial to investors for making product choices and investment strategies.
Description
Keywords
EDP Mercados de dívida e ações Integração Memorias longas Diversificação de carteiras Debt and equity markets Integration Long memories Portfolio diversification