Impacto dos contratos futuros do Ibovespa na volatilidade dos índices de ações no Brasil: uma análise na crise do subprime

Maciel, Leandro; Silveira, Rodrigo Lanna Franco da; Luna, Ivette; Ballini, Rosângela

doi:10.1590/s0101-41612012000400006

Cited by 5 publications

(3 citation statements)

References 36 publications

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“…In this context, the question was what effects these two events would have in the dynamics of the economy as well as in the financial sector in the short term. Empirical studies that incorporate events of a similar nature have found that in this scenario it is common to observe high volatility and asymmetric effects among exchanges, in addition to the chance of prices with abnormal returns (Chowdhury et al, 2021;Ozkan, 2021;Yang et al, 2021;Maciel et al 2012).…”

Section: La Respuesta De Ibovespa Al Comportamiento De Los Precios De...mentioning

confidence: 99%

Ibovespa’s response to the behavior of oil and ore prices during the international crisis caused by COVID-19

Arevalo

Andrade

Vendramin

2023

Finanz. polit. econ

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The systemic risk caused by COVID-19 affected all sectors of the economy, thus showing the vulnerability of some sectors in comparison to others. In this context, the supply shock experienced by the iron ore sector has drawn attention and resulted in a price increase. Linked to this, and in a negative way, oil prices fell due, among other factors, to the price war between producing countries.In this sense, this study analyses the volatility of the Brazilian stock market indicator in relation to the prices of the aforementioned products and the price of the dollar. The results show the importance of the price formation in these markets for the variation of the indicator. The appreciation of Brent oil and iron ore prices on the Dalian Commodity Exchange (DCE), in China, caused the Ibovespa indicator to move in the same direction. In addition, in statistical terms, the study highlights the great importance of the exchange rate as a determinant in the variation of the indicator and, consequently, affecting the intention to invest.

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Section: La Respuesta De Ibovespa Al Comportamiento De Los Precios De...mentioning

confidence: 99%

Ibovespa’s response to the behavior of oil and ore prices during the international crisis caused by COVID-19

Arevalo

Andrade

Vendramin

2023

Finanz. polit. econ

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“…e fourth control variable was included to analyze the e ect of the subprime crisis. us, the variable will indicate the crisis period occurring from mid-2007 to April of 2009 (Maciel et al, 2012).…”

Section: The Cressey Hypothesis (1953) and An Investigation Into The mentioning

confidence: 99%

The Cressey hypothesis (1953) and an investigation into the occurrence of corporate fraud: an empirical analysis conducted in Brazilian banking institutions

Machado

Gartner

2017

Rev. contab. finanç.

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ABSTRACTis article lls a technical-scienti c gap that currently exists in the Brazilian literature on corporative fraud, by combining the theoretical framework of agency theory, of criminology, and of the economics of crime. In addition, it focuses on a sector that is usually excluded from analyses due to its speci c characteristics and shows the application of multinomial logit panel data regression with random e ects, which is rarely used in studies in the area of accounting. e aim of this study is to investigate the occurrence of corporative fraud, as well as cases of fraud in Brazilian banking institutions, by using detection variables related to the Cressey fraud triangle. Research into fraud and methods of detecting fraud has grown in management literature, especially a er the occurrence of various corporative scandals in the 1990s. Although regulatory agencies have increased their investments in monitoring and control, fraud investigations and convictions are still common in the day-to-day administration of banks, as can be seen in the Brazilian Central Bank and the National Financial System Resource Council's databases of punitive proceedings. We believe that this article will have a positive impact in the area of accounting sciences, since it involves corporative fraud in a multidisciplinary form and because it provides the incentive to use a quantitative tool that can help increase the development of similar studies in the area. is study tested the theory that the dimensions of the fraud triangle condition the occurrence of corporative fraud in Brazilian banking institutions. irtytwo representative variables of corporative fraud were identi ed in the theoretical-empirical review, which were reduced to seven latent variables by the principal component analysis. Finally, the seven factors formed the independent variables in the multinomial logit models used in the hypothesis tests, which presented promising results.

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“…Com exceção da relação MFnac MFBGI, os resultados obtidos se assemelham aos resultados alcançados por Galvão et al (2000), que não encontraram relação causal entre as variâncias dos retornos diários do índice Ibovespa e a variância dos retornos diários dos contratos referenciados em índice Ibovespa. Maciel et al (2010), que analisaram o impacto da variância dos contratos futuros de Ibovespa na variância dos índices Ibovespa, FGV-100, IBrX-50, IGC, SMLL, MLCX e Ibovespa Futuro também não puderem estabelecer relação causal entre a variância dos mesmos.…”

Section: Relação Causal Entre a Variância Dos Mercados Financeiros E unclassified

Análise Da Influência Do Mercado Financeiro Sobre O Mercado Futuro Agropecuário No Brasil

Silva

Mattos

Coelho

2014

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A trajetória altista dos preços das commodities, iniciada em 2002, tem sido acompanhada pelo aumento do volume de negociações nos mercados futuros. Nesse contexto, a migração de investimentos dos mercados financeiros para os mercados futuros tem sido apontada como um dos fatores responsáveis pelo aumento dos preços e da volatilidade no mercado de alimentos. Isto posto, objetivou-se neste trabalho analisar a influência do mercado financeiro sobre o mercado futuro agropecuário no Brasil. Os resultados mostram ter ocorrido transmissão de volatilidade do mercado financeiro internacional para o mercado futuro de milho, café arábica e soja; e do mercado financeiro nacional para o mercado futuro de milho. Com exceção da relação Ibovespa-mercado futuro de boi gordo, não há relação de causalidade entre a volatilidade dos mercados, assim como não há relação linear causal partindo da variação de volume de contratos futuros negociados em direção aos retornos dos preços.

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Impacto dos contratos futuros do Ibovespa na volatilidade dos índices de ações no Brasil: uma análise na crise do subprime

Cited by 5 publications

References 36 publications

Ibovespa’s response to the behavior of oil and ore prices during the international crisis caused by COVID-19

Ibovespa’s response to the behavior of oil and ore prices during the international crisis caused by COVID-19

The Cressey hypothesis (1953) and an investigation into the occurrence of corporate fraud: an empirical analysis conducted in Brazilian banking institutions

Análise Da Influência Do Mercado Financeiro Sobre O Mercado Futuro Agropecuário No Brasil

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