IMPACT LOCK NEW YORK STOCK EXCHANGE (NYSE) ABOUT THE MARKET RISK OF NEGOTIATED COMPANIES IN BM & FBOVESPA: A STUDY ON THE OPTICAL OF MARKET BETWEEN INTERDEPENDENCE
In the last week of October 2012, due to the weather phenomenon Sandy, the Stock Exchange of New York (NYSE) suspended operations for two consecutive days. At the same time, the BM&FBovespa reduced its trading volume those days, which may be related due to integration between markets. The ai...
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| Principais autores: | , , , , |
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| Formato: | Online |
| Idioma: | por |
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Portal de Periódicos Eletrônicos da UFRN
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| Endereço do item: | https://periodicos.ufrn.br/ambiente/article/view/6567 |
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| Resumo: | In the last week of October 2012, due to the weather phenomenon Sandy, the Stock Exchange of New York (NYSE) suspended operations for two consecutive days. At the same time, the BM&FBovespa reduced its trading volume those days, which may be related due to integration between markets. The aim of this study was to verify if the closing of the NYSE, on 29 and 30 October 2012, changed the market risk of Brazilian companies traded. To carry out the research, we proceeded to an analysis of structural breaks using the Chow’s test (1960) in a sample of 198 companies. The main results indicate that, among the companies in the sample, 60% have shown structural break during the analyzed days. For these companies the significance of the test remained between 0.0000 to 0.0469 (day 29) and 0.0000 to 0.0411 (day 30). The segmented analysis by sector indicates that the sectors of Information Technology (87.50%, 7 companies) and Oil and Gas (83.33%, 5 companies) had the highest scores of structural break, followed by sectors telecommunications (80.00%), industrial goods (64.71). Furthermore, 75% of the companies that trade ADR’s on the NYSE had presented structural break.Keywords: Interdependence. Capital Markets. Structural Break. |
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