Spillover de liquidez entre distintas regiões geográficas: uma análise de wavelets
Resumo
O objetivo deste trabalho é identificar spillovers de liquidez entre Estados Unidos e as regiões da América Latina, Ásia, PIGGS (Europa) e Tops (Europa), durante o período de 06 de janeiro de 2005 a 03 de junho de 2014, em diferentes escalas.
METODOLOGIA
A metodologia utilizada consiste em decompor em escalas, por meio do método de wavelets, os índices de iliquidez de cada região analisada. Nas escalas foi computado o índice de correlação entre cada par de índices. Com o intuito de analisar os efeitos da crise sobre a liquidez de cada região, a amostra foi dividida em períodos de não crise e de crise.
RESULTADOS E CONCLUSÕES
Com a análise identificou-se que a associação entre os índices de iliquidez é distinta de acordo com a escala e o período analisado. Nota-se que a associação entre os índices de iliquidez de cada região é mais intensificada em períodos de crise. Em escalas menores percebe-se menor associação.
IMPLICAÇÕES PRÁTICAS
A partir dos resultados dessa pesquisa, é possível verificar o distinto comportamento dos investidores em atividade especulativa e de investimento. Além disso, notam-se os efeitos das duas últimas crises sobre a transmissão de liquidez entre as regiões. Como principais implicações práticas desse trabalho, tem-se a proposição de um índice de iliquidez para diferentes regiões. Além da possibilidade dos investidores analisarem a dinâmica da liquidez em distintas escalas, para fundamentarem suas estratégias de negociação em distintos períodos de tempo.
PALAVRAS-CHAVE
Spillover de iliquidez, wavelets, crise.
LIQUIDITY SPILLOVER BETWEEN DIFFERENT REGIONS GEOGRAPHICALS: AN ANALYSIS OF WAVELETS
OBJECTIVE
This study aimed to identify the liquidity spillovers between the United States and the regions of Latin America, Asia, PIGGS (Europe) and Tops (Europe) for the period of 06 January 2005 to June 3, 2014, in different time scales.
METHODOLOGY
The methodology consists in decomposing into scales through the wavelet method of the illiquidity indexes of each region. In each pair of indexes the correlation coefficient was computed. With the purpose of analyze the effects of the crisis on the liquidity of each region divided the sample into periods of non-crisis and crisis.
RESULTS AND CONCLUSIONS
According the identified results it is observed that the association between illiquidity index is distinct in different scales and periods analyzed. Note that the association between illiquidity indices for each region is intensified during periods of crisis. In finest scales the association is smaller.
PRACTICAL IMPLICATIONS
From the results of this research, we observed different behavior of investors in speculative activity and investment activity. Furthermore, we note effects of the crisis on transmission of liquidity among the regions. The main practical implications of this work, is the proposition of an illiquidity index for different regions. Besides the possibility of the investors analyzes the dynamics of liquidity in different scales, for help their trading strategies in different periods.
KEYWORDS
Spillover of illiquidity, wavelets, crisis.
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Apontamentos
- Não há apontamentos.
Este trabalho está licenciado sob uma Licença Creative Commons Attribution 3.0 .
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