Banca de DEFESA: ARTHUR DE BRITO BALDINI

Uma banca de DEFESA de MESTRADO foi cadastrada pelo programa.
STUDENT : ARTHUR DE BRITO BALDINI
DATE: 26/06/2023
TIME: 14:00
LOCAL: PPGA
TITLE:

MGARCH supported event studies: applications in corporate and monetary policy events in the period between 2021 and 2022

KEY WORDS:

Efficient Markets Hypothesis, Event Study, GARCH.

JEL: G12, G14, G15, G32.

PAGES: 170
BIG AREA: Ciências Sociais Aplicadas
AREA: Administração
SUMMARY:

The event studies methodology is the most popular way of testing the efficient markets hypothesis in semi-strong form. However, problems related to the presence of heteroscedas- ticity and the difficulty of modeling dynamic betas limit the scope of their results, making alternative models proposed by the literature a form of methodological support. This work follows this line of methodological support by using multivariate GARCH models (MGARCH) to model both heteroscedasticity and dynamic betas in event studies. With this objective, two works were carried out on events related to the Brazilian stock market between 2012 and 2022, one of them being endogenous to the Brazilian economy and the other exogenous. The work involving events endogenous to the Brazilian market explored debt offering annoucements through BEKK-GARCH models, to verify how information about changes in the leverage of Brazilian firms would affect their returns. The results presented both by the classic methodology and by the methodology with MGARCH models indicate a negative and statistically significant reaction of the Brazilian market to announcements of debenture offers, being the biggest reaction verified by the methodology with volatility modeling. In the work involving exogenous events to the Brazilian stock market, Ibovespa’s reaction to monetary announcements by the Federal Open Market Committee (FOMC) was investigated. For this, the event study methodology was con- ducted considering the BEKK-GARCH and DCC models. The results of the estimated MGARCH models indicate a significant transfer of volatility from the S&P500 index to the Ibovespa, but no persistently abnormal returns were observed on the dates of the FOMC announcements. However, on the dates when there was a statistically significant reaction by the Brazilian stock market, it was explained by elements of forward guidance present in the FOMC announcements. Together, the results of the two articles show relevant differences in the abnormal returns obtained through the classical event study methodology and through the methodology that used MGARCH models as support

BANKING MEMBERS:
Interno - 2288460 - CARLOS ROSANO PENA
Presidente - 2746674 - IVAN RICARDO GARTNER
Externo à Instituição - JOSE ANGELO COSTA DO AMOR DIVINO - UCB
Externo ao Programa - 1550794 - JOSE GUILHERME DE LARA RESENDE