摘要：The goal of the essay is to compare the volatilities of the traditional and the new market segments in the BOVESPA, from January 2008 to December 2012. Other than this, we investigate the relation of stock return and volatility based on the Leverage and Feedback theories. We use ARCH/GARCH models and regressions by Ordinary Least Square. The empirical evidences show that the stock volatilities of the new market is less reactive and more persistent when compared to the traditional segment. The empirical results also show that the long run volatility and the speed of convergence to the long run level is lower for the stocks with better governance practices. Other than this, we can argue that the Leverage and Feedback effects are not the main factors explaining the relation for the stock return and volatility, indicating empirical support for the behavioral theory
