Coberturas e reequilíbrio de carteiras: Uma análise para as ações ouro e prata nos mercados bolsistas da América Latina
DOI:
https://doi.org/10.5902/1983465961307Palavras-chave:
Gold, Silver, Safe haven, Risk diversification, Latin America.Resumo
Finalidade - Esta pesquisa tem como objetivo analisar se o Ouro (Gold Bullion: Zurich) e a Prata (Silver Paris Spot E/KG), serão um porto seguro para a diversificação de carteiras nos mercados de ações da América Latina.
Desenho / metodologia / abordagem -Os dados analisados são os prices index dos mercados de ações da Argentina (S&P Merval), Brasil (Ibovespa), Chile (S&P/CLX IGPA), Peru (S&P/BVL General IGBL), México (IPC), EUA (Dow Jones), Ouro (Gold Bullion: Zurich), e a Prata (Silver Paris Spot E/KG), no período de 31 de dezembro de 2019 a 02 de setembro de 2020. Para respondermos à questão de investigação utilizamos a metodologia de Gregory and Hansen (1996), e o modelo VAR Granger Causality/Block Exogeneity Wald Tests. Constatações - Os resultados indicam que os mercados apresentam integrações e causalidades muito significativas, ou seja, o Ouro e a Prata não funcionam como portos seguros à diversificação de carteiras nos mercados de ações da América Latina.
Limitações/ implicações da pesquisa - A presente investigação recorreu a índices gerais, em estudos futuros podemos recorrer a índices setoriais, bem como a dados intradiários para ter evidências mais robustas no que concerne à diversificação de carteiras nestes mercados regionais.
Originalidade/valor - Esta investigação distingue-se dos estudos anteriores, porque incidiu sobre o reequilíbrio de carteiras, através da estimação de modelos de integração e choques entre o Ouro e a Prata, e os mercados da América Latina, o que se diferencia dos anteriores, que analisaram as dependências médias entre o ouro e os movimentos dos mercados financeiros, e entre o ouro e a depreciação da moeda.
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