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  • 标题:EFFECTS OF THE 2008 CRISIS ON THE VOLATILITY OF RETURNS ON BANK STOCKS IN BRAZIL
  • 本地全文:下载
  • 作者:Gabriel Rodrigo Gomes Pessanha ; eiziane Neves de Ázara ; Cristina Lelis Leal Calegario
  • 期刊名称:Business and Management Review
  • 印刷版ISSN:2047-0398
  • 电子版ISSN:2047-0398
  • 出版年度:2014
  • 卷号:3
  • 期号:8
  • 页码:01-13
  • 出版社:Global Research Society
  • 摘要:This study aimed to analyze the stock returns of the Bank of Brazil, ItauUnibanco, Bradesco, Santander andNossa Caixa and the influence of the 2008 crisis on the volatility of all returns of each individual. It uses aquantitative method of analysis of time series, ARCH modeling, in which there is the influence of the crisis onthe returns. It was analyzed a series of closing stock prices of the five largest banks in the period from01/08/2007 to 16/10/2009, with a total of 546 observations. By the models, it was found that the volatility ofreturns of all financial institutions analyzed changed by the existence of the crisis. Tests were conducted toensure the 95% confidence the accuracy of results, and only for the bank Nossa Caixa, the difference betweenthe returns before and after the crisis was not considered statistically representative
  • 关键词:Volatility; return; subprime crisis; stocks; financial institutions
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