31302

Regis Augusto Ely

Revista Brasileira de Finanças

Este artigo examina a relação entre correlação serial e volatilidade nos retornos do índice Ibovespa, estendendo a evidência empírica do efeito LeBaron para ordens de correlação serial mais altas. Para a estimação da volatilidade, utilizamos modelos com heteroscedasticidade condicional. Para o cálculo da correlação serial, utilizamos uma estatística de razão de variância onde a defasagem é calculada endogenamente. Os resultados estão de acordo com alguns fatos estilizados da teoria de finanças comportamental e ajudam a explicar alguns fenômenos encontrados na literatura empírica, demonstrando que (i) a correlação serial dos retornos semanais está negativamente relacionada com volatilidade, (ii) essa relação negativa está presente nos retornos diários apenas se utilizarmos correlação serial de primeira ordem, e (iii) a crise de 2008 não intensificou esse efeito para retornos semanais, mas produziu uma relação positiva entre volatilidade e correlação serial para retornos diários.

correlação serial, efeito LeBaron, volatilidade

ELY, R. A.Relações entre correlação serial e volatilidade: existe o efeito LeBaron no Brasil?. Revista Brasileira de Finanças, v. 12, n. 1, p. 13-13, 2014.

Ely, R. A.(2014). Relações entre correlação serial e volatilidade: existe o efeito LeBaron no Brasil?. Revista Brasileira de Finanças, 12(1), 13-13.

https://www.spell.org.br/documentos/ver/31302/relacoes-entre-correlacao-serial-e-volatilidade--existe-o-efeito-lebaron-no-brasil-/i/pt-br

Artigo

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