ARTÍCULO
TITULO

The Behaviour of Volatility Components of Brazilian Stocks

Hudson Chaves Costa    
João Henrique Gonçalves Mazzeu    
Newton Carneiro Affonso da Costa Jr.    

Resumen

The present paper evaluates by approach of Campbell et al. (2001) the evolution of the three volatility components of the Brazilian stocks in the period 1996 to 2010. It is identified that the idiosyncratic component of the volatility does not have the same temporal growth trend in other countries. Instead, it displays a downward trend from the end of the 90?s. Statistical tests were performed to confirm this hypothesis, including structural break test, unit root and trend. The results indicate that the idiosyncratic volatility has structural break and there is no evidence that the trend is stochastic, because when performing deterministic trend tests it appears that there is a statistically significant decrease pattern.

 Artículos similares

       
 
David G. McMillan    
Understanding the behaviour of the equity yield and its relation to the bond yield is important for portfolio managers and those engaged in modelling the interaction between asset classes. During the mid-1900s, the equity yield?which was previously great... ver más

 
Titus Suciu, Patrizia Gazzola     Pág. 1 - 12
Risk is a permanent feature of the capital market, as it plays the main part on the stock exchange.The work shows us the impact of risk on the behaviour of the stock exchange traders: ignoring correlations, prejudice of familiarity, national bias, local ... ver más

 
Aye Aye Khin,Wong Hong Chau,Ung Leng Yean,Ooi Chee Keong,Raymond Ling Leh Bin     Pág. 33 - 40
There are two objectives of this study, first, it is to determine the impact of exchange rate volatility on Malaysian natural rubber (NR) prices of (SMR20 and RSS4); second, it is to forecast a short-term exchange rate (ERP) of Malaysian Ringgit (RM per ... ver más

 
Charles O. Manasseh,Ambrose N. Omeje     Pág. 1491 - 1501
In the past, studies on the linkage between share prices movement and inflation has been subjected to extensive research by academics, researchers, practitioners and policy makers since the 1990s. Most studies in the industrialized economies showed the e... ver más

 
Serpil TURKYILMAZ,Mesut BALIBEY     Pág. 400 - 410
This study examines the weak-form market efficiency of Pakistan Stock Market namely Karachi Stock Exchange for the period 2010-2013. The efficiency of stock market has tested by using ARFIMA-FIGARCH models estimated under different distribution assumptio... ver más