Título Inglês:
Gold Can Be Used as Safe Haven for Extreme Returns of the BM&FBovespa?
Resumo:
Neste trabalho analisamos a capacidade do ouro em preservar o valor de uma carteira de investimentos composta por ações negociadas na Bolsa de Valores de São Paulo (BM&FBovespa) diante de variações extremas do mercado. Para tanto, utilizamos um teste de razão de verossimilhança baseado na estrutura de dependência entre o ouro e o Índice Brasil 100 (IBr X 100). Investigamos se quando esse índice experimenta uma forte queda, o ouro responde com o crescimento extremo de valor ou vice-versa. Inicialmente, a partir da teoria dos valores extremos (TVE), identificamos movimentos extremos em ambos os mercados. Assim, pudemos analisar a relação entre o ouro e o mercado acionário brasileiro através da formulação de várias hipóteses sobre a dependência condicional entre ambos. Utilizando dados diários da cotação do mercado de ações e do ouro referentes ao período compreendido entre janeiro de 2000 e março de 2015, encontramos evidências de que o ouro atua como hedge e como fraco valor refúgio diante de movimentos do mercado acionário.
Resumo Inglês:
This paper analyzes the coverage capacity of gold over extreme variations in the Brazilian stock exchange (BM&FBovespa). For this purpose, we developed a likelihood ratio test based on the dependence structure between gold and the Brazil Index 100-IBrX 100. We investigated if when this index experienced an extreme loss of value, the gold suffers an extreme increase in its value or vice versa. Firstly, based on the extreme value theory, we identified extreme movements in both markets. Thus, we investigate the relationship between gold and the Brazilian stock market by formulating many propositions about the conditional dependence between them. Using daily quotation of the stock and gold market price for the period between January 2000 and March 2015, we found evidences that confirms that gold acts as hedge a and as weak safe haven against negative returns of stocks exchange.
Citação ABNT:
CARVALHO, L. O. P.; BRITO, A. L. T.; MOURA, M. B.; CONCEIÇÃO, E. S.; CASTRO, M. A. R. O Ouro Atua Como Hedge ou Valor Refúgio Diante de Desvalorizações da BM&FBovespa? . Revista Brasileira de Finanças, v. 14, n. 4, p. 579-579, 2016.
Citação APA:
Carvalho, L. O. P., Brito, A. L. T., Moura, M. B., Conceição, E. S., & Castro, M. A. R. (2016). O Ouro Atua Como Hedge ou Valor Refúgio Diante de Desvalorizações da BM&FBovespa? . Revista Brasileira de Finanças, 14(4), 579-579.
Link Permanente:
https://www.spell.org.br/documentos/ver/45810/o-ouro-atua-como-hedge-ou-valor-refugio-diante-de-desvalorizacoes-da-bm-fbovespa--/i/pt-br
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