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1
Tabiš, Peter. "Dynamické modely oceňovania aktiv." Master's thesis, Vysoká škola ekonomická v Praze, 2013. http://www.nusl.cz/ntk/nusl-199290.
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Field of examination is theoretical and empirical review of dynamic CAPM models that assume non constant volatility and correlation. In other words time evolution is considered in estimation process. As theoretical basement is recommended to be R. Engle's (Dynamic Conditional Beta) research and other sources.
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Lemand, (suleimann) Ryan. "Indices boursiers internationaux et la crise des nouvelles technologies : approches switching et DCC-MVGARCH." Phd thesis, École normale supérieure de Cachan - ENS Cachan, 2003. http://tel.archives-ouvertes.fr/tel-00287357.
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Depuis la crise boursi`ere du secteur des Nouvelles Technologies en 2000 et la croissance très grande de la volatilité des actifs boursiers par rapport à ce qui a précédé cette année, la modélisation de cette volatilité et son effet de contagion à travers les marchés boursiers dans le monde, a suscité beaucoup de discussions et de recherches. Nous nous intéressons par conséquent, à la modélisation de la volatilité de trois indices technologiques : NASDAQ-100, IT.CAC et NEMAX et cinq indices globaux : Dow Jones Industrial Average, Standard & Poor 500, NASDAQ Composite, DAX et CAC40, afin de vérifier si le risque d'investissement, mesuré par la valeur à risque (VaR) a changé suite à la crise technologique et afin de montrer que la crise technologique, parmi toutes les crises boursières vécues, est la crise qui a le plus affecté les marchés boursiers à travers le monde. Notre calcul de la VaR exige une modélisation précise de la volatilité des séries étudiées et l'identification de la présence de corrélations conditionnelles dynamiques ou non. Nous utilisons différents modèles pour modéliser la volatilité des indices étudiés, notamment différents modèles à changements de régimes (SWARCH, SWGARCH et MSVECM) et le modèle GARCH multivari é à corrélations conditionnelles dynamiques (DCC-MVGARCH). Nous utilisons les modèles à changements de régimes et les modèles VAR afin de montrer l'existence d'effets de co-mouvements et de contagion entre les indices étudiés et le modèle DCC-MVGARCH afin de montrer l'effet de la crise technologique sur l'augmentation de la volatilité des marchés boursiers et la présence de corrélations dynamiques qui les lient, ainsi que pour le calcul de la VaR. Nous comparons à la fin les VaR calculées par le modèle DCC-MVGARCH avec des VaR calculée par la méthode non-paramétrique des copules.
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Lönnquist, Anders. "The economic relevance of multivariate GARCH models : CCC, DCC, VCC MGARCH(1,1) covariance predictions for the use in global minimum variance portfolios." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-67989.
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Noureldin, Diaa. "Essays on multivariate volatility and dependence models for financial time series." Thesis, University of Oxford, 2011. http://ora.ox.ac.uk/objects/uuid:fdf82d35-a5e7-4295-b7bf-c7009cad7b56.
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This thesis investigates the modelling and forecasting of multivariate volatility and dependence in financial time series. The first paper proposes a new model for forecasting changes in the term structure (TS) of interest rates. Using the level, slope and curvature factors of the dynamic Nelson-Siegel model, we build a time-varying copula model for the factor dynamics allowing for departure from the normality assumption typically adopted in TS models. To induce relative immunity to structural breaks, we model and forecast the factor changes and not the factor levels. Using US Treasury yields for the period 1986:3-2010:12, our in-sample analysis indicates model stability and we show statistically significant gains due to allowing for a time-varying dependence structure which permits joint extreme factor movements. Our out-of-sample analysis indicates the model's superior ability to forecast the conditional mean in terms of root mean square error reductions and directional forecast accuracy. The forecast gains are stronger during the recent financial crisis. We also conduct out-of-sample model evaluation based on conditional density forecasts. The second paper introduces a new class of multivariate volatility models that utilizes high-frequency data. We discuss the models' dynamics and highlight their differences from multivariate GARCH models. We also discuss their covariance targeting specification and provide closed-form formulas for multi-step forecasts. Estimation and inference strategies are outlined. Empirical results suggest that the HEAVY model outperforms the multivariate GARCH model out-of-sample, with the gains being particularly significant at short forecast horizons. Forecast gains are obtained for both forecast variances and correlations. The third paper introduces a new class of multivariate volatility models which is easy to estimate using covariance targeting. The key idea is to rotate the returns and then fit them using a BEKK model for the conditional covariance with the identity matrix as the covariance target. The extension to DCC type models is given, enriching this class. We focus primarily on diagonal BEKK and DCC models, and a related parameterisation which imposes common persistence on all elements of the conditional covariance matrix. Inference for these models is computationally attractive, and the asymptotics is standard. The techniques are illustrated using recent data on the S&P 500 ETF and some DJIA stocks, including comparisons to the related orthogonal GARCH models.
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Malongo, Elouaï Hassan. "Couverture du risque de volatilité et de corrélation dans un portefeuille." Thesis, Paris 9, 2014. http://www.theses.fr/2014PA090005.
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Ce travail est centré sur la modélisation des dynamiques de volatilités et de corrélations entre rendements d'actifs financiers. Après une présentation de la littérature relative aux modèles Garch univariés et multivariés, l'auteur établit des résultats d'existence et d'unicité pour les solutions stationnaires des modèles de corrélations dynamiques de type DCC (Engle, 2002). Il étend ensuite cette classe de modèles en incluant les volatilités instantanées et des probabilités de changement de régime dans la dynamique des corrélations. Les nouveaux modèles sont évalués empiriquement sur un portefeuille d'indices MSCI. Des tests formels montrent que certaines de ces nouvelles spécifications améliorent le pouvoir prédictif de la matrice de covariance des rendements et s'avèreraient utiles en gestion de portefeuille. Enfin, se focalisant désormais sur le risque de volatilité, l'auteur montre que des stratégies de couvertures des principaux indices actions Européen à partir d'indices de volatilité implicite (VIX, VSTOXX) sont pertinentes et permettent à la fois de couvrir et réduire le risque action d'un portefeuilleThis work focuses on modeling the dynamics of volatilities and correlations between financial assets returns. After a literature review of univariate and multivariate GARCH-type models, the author establishes results for the existence and uniqueness of stationary solutions of dynamic correlations models (DCC model, Engle 2002). He then extends this class of models including instantaneous volatility and probability of regime changes in the dynamics of correlations. The new models are empirically evaluated on a MSCI portfolio. Formal tests have shown that some of these new specifications improve predictive power of the returns covariance matrix that would be useful in portfolio management. Finally, focusing now on the volatility risk, the author shows that hedging strategies of main European equity indices based on implied volatility indices (VIX, VSTOXX) are relevant and allow to both hedge and reduce the equity risk of a portfolio
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Rezaee, Amir. "Le marché des obligations privées à la bourse de Paris au 19ème siècle : performance et efficience d'un marché obligataire." Thesis, Orléans, 2010. http://www.theses.fr/2010ORLE0505/document.
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L’objet de cette thèse est d’analyser d’un point de vue financier la cotation et le comportement des obligations privées à la Bourse de Paris à partir de 1838 jusqu’à l’éclatement de la Première Guerre mondiale. Cette étude est divisée en deux parties : La première relate la création et l’évolution des émissions obligataires (marché primaire) durant le 19ème siècle. On s’intéresse aux grands émetteurs qui ont su se servir le mieux des obligations et les raisons de leur succès. Dans cette partie seront également traitées les caractéristiques techniques et les innovations financières des émissions. La deuxième partie tente d’analyser le comportement boursier des obligations(marché secondaire).Pour cela un indice général des cours d’obligations durant le 19ème siècle a été calculé. En se basant sur cet indice nous mettons en lumière pour la première fois, les caractéristiques de ce marché (rentabilité, volatilité, …). Cela permet de comparer nos résultats avec ceux des études antérieures sur les marchés d’actions et de la rente au 19ème siècle. Cet indice permet également de tester les diverses hypothèses financières relevant de la théorie financière moderne (efficience informationnelle, cointégration avec des autres compartiments du marché,…)This thesis studies the French corporate bonds market during the 19th century. Despite its importance the performance of the corporate bonds quoted on the Paris Bourse has never been studied. In order to analyse this market, a price index of the corporate bond market has been created by using modern techniques. The creation of the index was made possible thanks to an original database created by new data, which has never been used before and collected directly from the publications of the market authorities during the nineteenth century. Thanks to the index, the risk and the return of the market have been measured. Then we compared the performance of the French corporate bonds with those of the stocks and government bonds; the results of thecomparisons are interesting. This study demonstrates that the corporate bonds are the least risky securities and their rate of return is higher than the government bonds during the nineteenth century. Some econometric tests have also been used to compare the efficiency of bond market with the other segments of the Paris Bourse
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Sengsay, Julie Viengsavanh. "La crise financière de 2008 : la volatilité des marchés boursiers canadien et américain." Mémoire, 2013. http://www.archipel.uqam.ca/5455/1/M12950.pdf.
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Ce mémoire s'intéresse à la transmission de la volatilité des marchés financiers. Les marchés canadien et américain sont étudiés durant la crise financière de 2008. Afin d'analyser ces transmissions, nous utilisons le modèle d'hétéroscédasticité conditionnelle autorégressive généralisé à corrélations conditionnelles dynamiques d'Engle (2002). La période analysée est du 1er janvier 2005 au 31 juillet 2010. Cette période se divise en deux sous-périodes, soit une période de calme et une période de crise. La période de calme est du 1er janvier 2005 au 8 septembre 2008 et la période de crise est du 9 septembre 2008 au 31 juillet 2010. Les résultats obtenus indiquent qu'il y a eu une transmission de volatilité des États-Unis vers le Canada durant cette crise. Nous avons aussi trouvé une augmentation des corrélations conditionnelles dynamiques entre le Canada et les États-Unis en temps de crise.
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MOTS-CLÉS DE L’AUTEUR : GARCH multivarié, DCC-GARCH, crise financière, volatilité.
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Chen, Nash, and 陳昱宏. "Optimal Hedge Ratio of Commodity Futures Using Bivariate DCC-CARR and DCC-GARCH Models." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/83027752092707981578.
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碩士國立中央大學
財務金融研究所
93
When traders participate in both cash and futures markets they must choose a hedging strategy that reflects their individual goals and attitudes towards risk. At the same time, optimal portfolio management depends not only on the fundamental and technological analysis in maximizing returns, but it also encompasses diversification techniques in (un)systematic risk. Nevertheless, systematic risk can be effectively eliminated by futures contracts. In this thesis, we focus on diversification to minimize the portfolio variance and will consider the minimum-variance hedge strategy because the benefits of sophisticated estimation techniques of the hedge ratio are small (Lence, 1995b). At first, we take the commodity prices, and then compute the Optimal Hedge Ratios (OHRs) between spot and futures using different methods. Here, the hedge ratios are used to hedge the spot price risk in simulations of investment. In analysis, we use the Dynamic Conditional Correlation - Conditional Autoregressive Range (DCC-CARR) model proposed by Chou et. al. (2005) to compute the OHRs. Other alternative methods used for comparison include the ordinary least squares (OLS) estimator which provides an estimate for the minimum-variance hedge ratio, Constant Conditional Correlation –Generalized Autoregressive Conditional Heteroskedasticity and CARR (CCC-GARCH and CCC-CARR) models, and DCC-GARCH model. Different methods used to compute hedge ratios are compared with each other in their performance of variance-reduction. While the spot price risk is hedged by their corresponding futures, within-sample hedge, the results show that the DCC-CARR model performs better than the other hedge models for the selected commodities with the exception of gold. For an out-sample hedge in one-period it supports that the DCC-CARR model is the best model for any commodity. But, in other period, the results are mixed because of the trading noises. In conclusion, we suggest that the DCC-CARR model is the better model for investors to find the minimum-variance of a portfolio.
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Jílek, Jiří. "Evropské realitní investiční trusty: Analýza korelace za použití DCC- GARCH modelu." Master's thesis, 2012. http://www.nusl.cz/ntk/nusl-307443.
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Bibliographic Record JÍLEK, Jiří. European Real Estate Investment Trusts: Analyzing Correlation with a DCC- GARCH Model. Prague, 2012. 50 p. Master thesis (Mgr.) Charles University in Prague, Faculty of Social Sciences, Institute of Economic Studies. Supervisor: Tomáš Jandík MA MSc MRICS. Abstract The main goal of this thesis is to study the interdependencies between returns of European real estate investment trusts (REITs) and other investment asset classes such as European equities, government bonds and commodities. The thesis is divided into two parts: in the first part, we describe the necessary background that led to the emergence of first REIT structures and also provide an overview of the European REITs market. In the second part, we apply the Dynamic Conditional Correlation GARCH (DCC-GARCH) model to examine correlations between the above mentioned asset classes. The general understanding of real estate is that it provides diversification benefits to a diversified portfolio. However, our results suggest that returns of European REITs and stocks show a relatively high correlation and more importantly, the correlation increases in time. These findings have significant implications for investors and portfolio managers who seek protection for their portfolios in time of market downturns. Our results...
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Morais, Inês Filipa Vitorino de. "O contágio financeiro nos países do grupo Visegrád: as crises entre 2000 e 2014." Master's thesis, 2015. http://hdl.handle.net/10071/11240.
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Códigos JEL: E44, G01 e G15Com a realização deste estudo pretende-se analisar a relação que existe entre os mercados acionistas dos países do grupo Visegrád, ao longo dos últimos catorze anos, tendo como objetivo investigar a existência de contágio financeiro entre os vários mercados acionistas, para os vários períodos de crise identificados. Adicionalmente, também se estudam as relações entre o índice bolsista de referência para os EUA e cada um dos membros do grupo Visegrád. A análise é concretizada com recurso à estimação de modelos econométricos DCC-GARCH, utilizando os retornos diários dos índices acionistas para os EUA, a Eslováquia, a Hungria, a Polónia e a República Checa, para o período compreendido entre janeiro de 2000 e dezembro de 2014. Os resultados da análise, para as hipóteses consideradas, sugerem ter existido contágio financeiro em, praticamente, todas as crises identificadas como intrínsecas a cada país e, também, contágio mas induzido por eventos externos durante a Crise do Subprime e na Crise da Dívida Soberana. Relativamente à relação entre o mercado acionista norte-americano e cada um dos membros do grupo Visegrád verifica-se que existiu contágio durante as principais crises financeiras com origem na grande potência mundial (Crise da Bolha dot.com, do Subprime e da Dívida Soberana). Note-se que para nenhum caso se registou evidência de contágio durante a crise financeira de 2009.
This dissertation focuses on the analyses of co-movements between stock markets of countries of the Visegrád group, for the last fourteen years. The objective is to investigate the existence of financial contagion between the stock markets in different identified crises periods. In addition, this research also studies the relation between the reference stock index for the USA and each member of the Visegrád group. The analyses is based on the estimation of DCC-GARCH models, using data of daily stock returns for the USA, Slovakia, Hungary, Poland and the Czech Republic, for the period between January 2000 and December 2014. The obtained results suggest the existence of contagion at almost all identified crises intrinsic to each country and contagion by external event during the subprime and sovereign debt crises. Relatively to the co-movements between the USA stock index and each Visegrád country, the results also suggest the existence of contagion during the main financial crises from the USA (dot.com, subprime and sovereign debt crises). There is, however, no evidence of contagion during the 2009 financial crisis.
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Nováková, Martina. "Mnohorozměrné modely zobecněné autoregresní podmíněné heteroskedasticity." Master's thesis, 2021. http://www.nusl.cz/ntk/nusl-437910.
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This master thesis deals with extension of the univariate GARCH model to multivari- ate models. We present individual models and deal with methods of their estimation. Then we describe some statistical tests for diagnosting the models. We have programmed in the statistical software R one of them - the Ling-Li test. Afterwards we apply selected models to real data of stock market index S&P 500, stock market index Russell 2000 and stocks of crude oil. For the GO-GARCH model, we compare all available estimation methods and show their differences. Then we compare the results of all models with each other and also with univariate models in terms of estimates of conditional variances, estimates of conditional correlations and also in terms of computational complexity. 1
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Bureček, Tomáš. "Modely vícerozměrných finančních časových řad v úloze optimalizace portfolia." Master's thesis, 2020. http://www.nusl.cz/ntk/nusl-434574.
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This master thesis deals with the modeling of multivariate volatility in finan- cial time series. The aim of this work is to describe in detail selected approaches to modeling multivariate financial volatility, including verification of models, and then apply them in an empirical study of asset portfolio optimization. The results are compared with the classical approach of portfolio optimization theory based on unconditional moment estimates. The evaluation was based on four known op- timization problems, namely minimization of variance, Markowitz's model, ma- ximization of the Sharpe ratio and minimization of CVaR. The output portfolios were compared by using four metrics that reflect the returns and risks of the port- folios. The results demonstrated that employing the multivariate volatility models one obtains higher expected returns with less expected risk when comparing with the classical approach. 1
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Chin, Yu-ming, and 秦裕明. "MRS-DCC-GARCH MODELS FOR ESTIMATING THE HEDGE-PERFORMANCE, TAKE AN EXAMPLE FOR TATWAN AND JAPAN STOCK INDICES." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/55745192540753239583.
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碩士銘傳大學
經濟學系碩士班
96
Abstract Stock market of the country is the module of economy, and the stock price indicts usually means one country’s economic status. In this paper we describe an approach for determining time-varying minimum variance hedge ratio in stock index futures markets by using Markov Regime Switching (MRS) GARCH models. The MRS nests within it both the dynamic conditional correlation GARCH (DCC) and the constant conditional correlation GARCH (CCC). The relation behind the use of these models stems from the fact that the dynamic relationship between spot and futures returns may be characterized by regime shifts, which, suggest that by allowing the hedge ratio to be dependent upon the state of the market. Point estimates based on the Taiwan Weighted and the Nikkei225 index data shows that MRS hedge-performance outperforms other models in reducing portfolio risk.
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Chang, Wu-Yen, and 張戊烟. "The Study of Hedge Ratios and Hedging Performance of Stock Spot/Stock Index Futures in Taiwan–The Applications of OLS, Rolling Regression, Bivariate CC GARCH and Bivariate DCC GARCH Models." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/40688370472586313781.
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碩士國立中興大學
企業管理學系所
100
When investors hold stock future index to avoid investment risk, if they can choose the optimal estimated model to get the realized hedge ratio, they can get the better hedge performance. However, though the domestic relative researches about the estimation of the spot/stock future index have used OLS and GARCH models to estimate the realized hedge ratio, most of them just regard the reduction of variance as hedge performance. In this way, they may neglect the real demand of investors which is investors want to undertake every unit of risk to get the super profit. So we use the OLS, Rolling Regression, Bivariate CC GARCH and Bivariate DCC GARCH models to analyze three spot stock indexes and three future stock indexes. Therefore, we can get the realized hedge ratio and use the Sharpe index to compare the hedge performance of each model. The result shows that the realized hedge ratio of Bivariate CC GARCH model has better hedge performance than others. Besides, the realized hedge ratio of Bivariate DCC GARCH model is lower than Bivariate CC GARCH. It means when investors adjust the realized hedge ratio, they must avoid adjusting it frequently.
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Pereira, Inês de Jesus Prates. "Contágio da crise da dívida soberana na área do euro no período de 2007 a 2013: os casos de Portugal, Grécia e Irlanda." Master's thesis, 2013. http://hdl.handle.net/10071/7271.
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Este estudo analisa o co-movimento entre o mercado obrigacionista português e o mercado obrigacionista grego, irlandês e alemão, após o início da crise do subprime (2007 a 2013). Pretende-se com este trabalho perceber se existiram evidências de contágio entre o mercado obrigacionista português e o mercado obrigacionista grego e irlandês e se existiram fluxos de capitais do mercado obrigacionista português e grego para o mercado obrigacionista da Alemanha (fuga para a qualidade), nos períodos de crise identificados (desde o início da crise do subprime até ao 1º trimestre de 2013). O estudo permite também averiguar se existe um decoupling entre o mercado obrigacionista de Portugal e da Grécia e uma aproximação dos mercados obrigacionistas de Portugal e Irlanda, como tem vindo a ser percecionado pelos investidores.
A análise é realizada através da estimação de modelos econométricos DCC-IGARCH, utilizando dados diários dos yields das OT com maturidade a 10 anos do mercado obrigacionista de Portugal, Grécia, Irlanda e Alemanha.
Os resultados obtidos sugerem a existência de contágio entre o mercado obrigacionista grego e português na maior parte das crises identificadas. A análise da evolução da correlação entre os mercados obrigacionistas, no final do período em estudo, indicia a não existência de decoupling entre os yields de Portugal e da Grécia e um afastamento entre os yields de Portugal e Irlanda. São evidentes, na maior parte das crises identificadas (inclusive nas verificadas em 2012 e 2013), fluxos de fuga para a qualidade do mercado obrigacionista português e grego para o alemão.
Palavras-chave: contágio; fuga para a qualidade; crise da dívida soberana da área do euro; .This work aims to analyse the co-movements between the Portuguese and the Greek, Irish and German government bond market, after the subprime crisis (2007 to 2013). Its double objective is to detect the existence of contagion between the Portuguese market and the Greece and Ireland markets and to explore the phenomena of flight-to-quality, by taking a look at the capital flows moving from the Portuguese and Greek bond markets to the German bond market. This study also investigates if Portugal bond market is decoupling from Greek bond market and approaching the Irish market situation, seen as a better one by the market participants. The analysis is undertaken through econometric estimations (DCC-IGARCH models), using daily data for the yields of 10 year maturity government bonds of Portugal, Greece, Ireland and Germany. The obtained results suggest the existence of contagion between the Greek and the Portuguese market. The correlation between the Portuguese and Greek yields at the end of the analysed period indicates the not existence of decoupling between the two countries. By other hand, the correlation between Portugal and Ireland shows these countries are heading to different directions. During most of the identified crises periods, flight-to-quality flows are evident from the Portuguese and Greek bond markets to Germany.
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Lobo, Joana Miguel Barbosa de Oliveira. "A transmissão de volatilidade nos mercados acionistas e de mercadorias." Master's thesis, 2020. http://hdl.handle.net/10773/30354.
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Com a realização deste estudo pretende-se analisar a relação existente entre o mercado acionista e o mercado de mercadorias, aqui representados pelo índice financeiro representativo do mercado norte-americano SP500 e por quatro mercadorias que representam vários ativos subjacentes de contratos de futuros comercializados, petróleo, ouro, milho e algodão, a fim de medir o impacto que a crise, período de maior turbulência financeira, teve em cada uma dessas relações e a existência de possíveis efeitos de contágio financeiro entre estes mercados nas últimas duas décadas. A análise é feita com recurso às estimações do modelo DCC-GARCH, utilizando os dados semanais dos retornos dos futuros analisados e também do índice em causa, para o período de janeiro de 2000 a dezembro 2017.
Os resultados empíricos sugerem a existência de efeitos de contágio financeiro nas últimas duas décadas, uma vez que para as todas as análises efetuadas entre o mercado acionista e os quatro mercados de mercadorias em estudo, há um aumento de correlação no período identificado como correspondente à crise financeira, que representa a transmissão de volatilidade existente.
Comparando os períodos pré e pós-crise, o nível de correlação no período após a crise é, em todos os casos, superior ao verificado no período anterior à mesma, o que indica que as ligações entre os mercados acionistas e de mercadorias são agora mais fortes do que antes.The goal of this study is to analyse the existing relationship between the stock market and the commodity market, hereby represented by the North American markets financial index SP500 and by four commodities representing several underlying assets of future contracts traded: oil, gold, corn, and cotton, in order to measure the impact that the crisis, period of greatest financial turmoil, had in each of these relationships and whether there are possible effects of financial contagion between these markets in the last two decades. The analysis is performed with estimates from the DCC-GARCH model, using weekly data on the returns of the analysed futures and also the index in question, for the period between January 2000 and December 2017. The empirical results suggest there are financial contagion effects in the last two decades, since all analyses between the stock market and the four commodities markets studied show an increase in correlation for the period identified as corresponding to the financial crisis, which represents the existing volatility transmission. Comparing the pre-crisis and post-crisis periods, the level of correlation in the post-crisis is, in all cases, higher than verified in period before crisis, wich indicates that the links between the stock and commodity markets are now stronger than before.
Mestrado em Gestão
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Santos, João Luís Rosa dos. "Relação entre o mercado acionista e os denominados ativos de refúgio: o caso europeu entre 2001 e 2015." Master's thesis, 2016. http://hdl.handle.net/10071/12955.
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Códigos JEL: E44, F31, G11 e G15Esta investigação tem o objetivo de analisar a relação existente entre o mercado acionista europeu e os denominados ativos de refúgio, a fim de perceber qual o impacto que as crises bolsistas têm neste tipo de ativo. Este estudo procura também perceber se existem diferenças entre o comportamento dos investidores europeus e americanos, através das reações que os ativos de refúgio têm às crises bolsistas, de cada continente. Para o estudo, utilizam-se dados diários, do período entre Janeiro de 2001 e Dezembro de 2015, do índice EURO STOXX 50 e do índice S&P 500, em representação do mercado acionista europeu e norte-americano, respetivamente. No lado dos ativos de refúgio são utilizadas as taxas de juro das Obrigações do Tesouro com rating elevado (Alemanha e Estados Unidos), o Franco Suíço (par EUR/CHF e USD/CHF) e o preço do ouro. Para aferir a relação entre mercados acionistas e ativos de refúgio recorre-se à metodologia desenvolvida por Engle (2002): o modelo DCC-GARCH. Os resultados empíricos comprovam que todos os ativos contidos no estudo apresentam propriedades de refúgio e cobertura, face ao mercado acionista europeu. A relação entre o mercado acionista americano e estes ativos é semelhante à europeia, porém com maiores debilidades na capacidade de refúgio de alguns ativos (principalmente na crise do subprime), como é o exemplo do ouro e Franco Suíço.
This research aims at analyzing the relationship between the European stock market and the so-called safe haven assets, in order to understand the impact that the stock market crises have in this type of asset. This study also tries to find out whether there are differences between the behavior of European and American investors, through the different reactions of safe haven assets during the stock market crises in each continent. In order to carry out this investigation, daily data have been used, from the period between January 2001 and December 2015, from the EURO STOXX 50 Index and the S&P 500 Index, representing the European and American stock market, respectively. With regard to refuge assets we have used the interest rates from Treasury Bonds with high rating (Germany and United States), the Swiss Franc (EUR/CHF and USD/CHF) and the Gold price. To assess the connection between the stock markets and the safe haven assets we have applied the methodology developed by Engle (2002): the DCC-GARCH model. The empirical results prove that all assets in this study show hedge and safe haven properties, compared to EURO STOXX 50. On the other hand, the relationship between the US stock market and this kind of asset is similar to the European one, with hedge and safe haven capability, but some assets (gold and CHF) have more weaknesses in refuge capacity, especially during subprime crisis.
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Tsafack, Kemassong Georges Desire. "Asymmetric dependence modeling and implications for international diversification and risk management." Thèse, 2007. http://hdl.handle.net/1866/2157.
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Asseiceiro, Mariana de Sousa Magalhães. "Risk and returns of financial stock market indices: an empirical application." Master's thesis, 2019. http://hdl.handle.net/10071/19695.
Full textAbstract:
In this dissertation it is presented an empirical study that focus the period from 3 January 2007 to 1 October 2018, about the interactions between stock markets of Europe, United States of America (USA) and Asia, by implementing a generalized vector autoregressive (VAR) model and a dynamic conditional correlation (DCC) model.
For this purpose, three different stock market indices (Euro Stoxx 50 - Europe, S&P 500 – USA, and Nikkei 225 – Asia) were chosen to be representative of each geography they concern, in order to inquire if the indices are related between each other or not.
In general, the empirical results allow to conclude that returns of S&P 500 and Euro Stoxx 50 returns depend on their own past returns. Additionally, Euro Stoxx 50 returns are influenced by past returns of S&P 500 and there is no evidence of causality relationship from Nikkei 225 returns to any of the other indices returns.
Moreover, the conditional analysis of the pairwise correlations reveals that these are positive. The results presented by the DCC model indicate that it provides an accurate description of the dynamics of the correlations between the time series analysed for the purpose of this dissertation.No presente trabalho, é apresentado um estudo empírico com base no período entre 3 de Janeiro de 2007 e 1 de Outubro de 2018, acerca das interações entre os mercados de capitais da Europa, Estados Unidos da América (EUA) e Ásia, através da estimação do modelo VAR e do modelo DCC. Para este propósito, foram escolhidos três índices de ações representativos da geografia a que dizem respeito (Euro Stoxx 50 – Europa, S&P 500 – EUA e Nikkei 225 – Ásia) de modo averiguar se os índices estão relacionados entre si ou não. Em termos gerais, os resultados obtidos permitiram concluir que as taxas de rendibilidade dos índices S&P 500 e Euro Stoxx 50 dependem das suas rendibilidades passadas, as rendibilidades do Euro Stoxx 50 são influenciados pelas rendibilidades passadas do S&P 500 e não há evidências de causalidade nem do S&P 500 nem do Nikkei 225 para as rendibilidades dos restantes índices. Adicionalmente, a análise das correlações condicionais a pares revela que estas são positivas. Os resultados produzidos pelo modelo DCC revelam que este é um modelo apropriado para descrever as dinâmicas correlacionais entre as várias séries temporais em questão.