78202

Alexandra Kelly de Moraes
Paulo Sérgio Ceretta
Luiz Gonzaga Castro Júnior

Revista Evidenciação Contábil & Finanças

Objetivo: Este estudo investiga as flutuações de preço, volume negociado e correlação cruzada do Ibovespa por meio de métodos multifractais, buscando compreender as dinâmicas do mercado fi-nanceiro brasileiro e fornecer suporte para decisões financeiras mais informadas.Fundamento: A pesquisa se baseia na literatura sobre análise multifractal, que tem demonstrado eficácia na investigação de flutuações de preços em mercados financeiros. O estudo amplia essa abordagem ao integrar a análise de preços e volumes no contexto do mercado brasileiro, uma pers-pectiva ainda pouco explorada.Método: Foram empregados os métodos de Análise de Flutuação Destendenciada Multifractal (MF-DFA) e Análise de Correlação Cruzada Multifractal (MF-DCCA) para examinar séries temporais do Ibovespa em reais e dólares, compreendendo o período de 4 de janeiro de 2010 a1 de setembro de 2022, totalizando 3.137 observações.Resultados: A análise revelou características multifractais nas séries diárias, com flutuações tanto anti-persistentes quanto persistentes, refletindo a complexidade do mercado financeiro brasileiro. Durante períodos críticos, como a recessão provocada pela pandemia da Covid-19, observou-se um aumento significativo na volatilidade e no volume negociado, sugerindo respostas emocionais dos investidores. Além disso, a persistência nas tendências de preço e volume aponta para um compor-tamento com memória de longo prazo, mesmo em cenários de instabilidade global.Contribuições: O estudo oferece uma contribuição significativa ao aplicar métodos multifractais para analisar a complexidade do mercado financeiro brasileiro. Os achados destacam o volume ne-gociado como uma importante fonte de informação para decisões financeiras e reforçam a necessi-dade de estratégias adaptativas em cenários de alta volatilidade, como os provocados pela recessão da Covid-19.

Correlação cruzada do preço-volume, Flutuação do preço, Flutuação do volume negociado, Ibovespa, Multifractal

MORAES, A. K.; CERETTA, P. S.; CASTRO JÚNIOR, L. G. Análise multifractal do ibovespa: dinâmicas de preço, volume negociado e eficiência de mercado. Revista Evidenciação Contábil & Finanças, v. 12, n. 1, p. 0-0, 2024.

Moraes, A. K., Ceretta, P. S., & Castro Júnior, L. G. (2024). Análise multifractal do ibovespa: dinâmicas de preço, volume negociado e eficiência de mercado. Revista Evidenciação Contábil & Finanças, 12(1), 0-0.

https://www.spell.org.br/documentos/ver/78202/analise-multifractal-do-ibovespa--dinamicas-de-preco--volume-negociado-e-eficiencia-de-mercado/i/pt-br

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