文章基本信息

标题：THE SCANDALS OF THE PETROBRAS AND THE BRAZILIAN MARKET: Is there Dynamic Correlation?
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作者：Vinicius Girardi da Silveira ; Luana dos Santos Fraga ; Marcelo Brutti Righi 等
期刊名称：Business and Management Review
印刷版ISSN：2047-0398
电子版ISSN：2047-0398
出版年度：2015
卷号：5
期号：1
页码：477-491
出版社：Global Research Society
摘要：This study aims to analyze the Petrobras stocks behavior in light of the series of published relevant facts, beyond evaluate the impact of the company representation on the Brazilian equity market. To that, the employed data comprehend quotations of Petrobras preferential stock (PN) and Ibovespa, beyond their volum es in Brazilian Reais for the period from January 1, 2004 to March 10, 2015, totalizing 2763 daily observations. It was estimated a Copula-DCC-GARCH model to estimate volatility and dynamic correlation of the series. It was observed that moments that volatility of Petrobras stock price has rised was followed by rises of its correlation with the index. These results salient the strong relationship between Petrobras performance and Brazilian equity market, represented by Ibovespa, illustrating how the bad performance of the company can negatively affect the market performance
关键词：Petrobras; Ibovespa. Copula-DCC-GARCH model; Dynamic correlation; structural breaks