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Análise dos Saltos e Co-Saltos nas Séries do IBOVESPA, Dow Jones, Taxa de Juros, Taxa de Câmbio e no Spread do C-Bond

Author

Listed:
  • Roberto Tatiwa Ferreira

    (Universidade Federal do Ceará (UFC/CAEN), Brasil)

  • Savio de Melo Zachis

    (Universidade Federal do Ceará (UFC/CAEN), Brasil)

Abstract

O objetivo desse artigo é estimar os movimentos abruptos, denominados de saltos (jumps) das séries de retorno diário do IBOVESPA, Dow Jones, taxa de juros brasileira, taxa de câmbio e no spread do C-Bond e verificar se há co-movimentos abruptos, ou co-saltos (co-jumps) entre as mesmas. Para isso, utilizou-se um teste não paramétrico para identificar os saltos significantes nas séries e a relação entre estes movimentos foram analisadas através de estatísticas descritivas e por um modelo Logit. Dentre os resultados encontrados, destacam-se a resposta assimétrica dos saltos do IBOVESPA às novidades boas e ruins e que os possíveis comovimentos entre Dow Jones e IBOVESPA são menos frequentes do que com os do spread do C-Bond.

Suggested Citation

  • Roberto Tatiwa Ferreira & Savio de Melo Zachis, 2012. "Análise dos Saltos e Co-Saltos nas Séries do IBOVESPA, Dow Jones, Taxa de Juros, Taxa de Câmbio e no Spread do C-Bond," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 13(1), pages 15-34.
  • Handle: RePEc:anp:econom:v:13:y:2012:i:1:15_34
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    Keywords

    IBOVESPA; Volatilidade Realizada; Variação Bi-Power; Co-Quebra;

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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