Instabilidade dos retornos e liquidez durante a pandemia de Covid-19: evidências do mercado de ações brasileiro
DOI:
https://doi.org/10.5902/1983465984713Palavras-chave:
Volatilidade, Risco, finanças comportamentais, Mercado de açõesResumo
Propósito: Este estudo teve como objetivo analisar o impacto da liquidez na volatilidade do mercado de ações brasileiro, considerando os efeitos decorrentes da pandemia de COVID-19.
Design/metodologia/abordagem: A amostra para esta pesquisa consistiu no IBOVESPA e nos índices setoriais da B3. A análise abrange o período de 2 de janeiro de 2019 a 11 de julho de 2021. As estimativas foram realizadas usando o método de alternância de regime de Markov de dois regimes.
Resultados: Os resultados mostram que a liquidez tem um impacto assimétrico na volatilidade de retorno, tanto para o IBOVESPA quanto para os índices setoriais. Essa relação é mais pronunciada durante o período da pandemia do que antes da crise. Portanto, esta pesquisa procurou contribuir para a discussão sobre como a liquidez do mercado impactaria os retornos em períodos de crise. Além disso, dialoga e contribui para a literatura em países emergentes sobre liquidez de mercado e risco sistêmico.
Limitações/implicações da pesquisa: Os resultados deste estudo não permitem generalizações, uma vez que os dados utilizados consideram uma série temporal curta de um único país emergente.
Originalidade/valor: Este estudo oferece contribuições práticas aos investidores com informações adicionais sobre liquidez de mercado e risco sistêmico, pois pode demonstrar melhores oportunidades de investimento. Também há contribuições para a literatura, a partir de uma perspectiva comportamental sobre liquidez e volatilidade de mercado em um país emergente. Além disso, os achados fornecem argumentos sobre a eficiência do mercado, assim como confirmam a teoria de precificação de ativos.
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