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RESPOSTA DO MERCADO ACIONISTA PERUANO AOS EFEITOS DO CONTÁGIO FINANCEIRO DURANTE A PANDEMIA DE COVID-19

Pedro Pablo Chambi Condori | Biografia
UNIVERSIDAD NACIONAL JORGE BASADRE GROHMANN
Miriam Chambi Vásquez | Biografia
Universidad Nacional Mayor de San Marcos
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Resumo

O objetivo da investigação foi analisar o efeito da pandemia de Covid-19 sobre a presença de contágio financeiro e a resposta do mercado bolsista peruano aos impulsos que ocorreram nos mercados bolsistas de vários países emergentes e desenvolvidos durante a crise sanitária da Covid-19; também realizou uma análise comparativa dos efeitos da volatilidade em tempos pré e pós-pandémicos. A metodologia utilizada aplicou modelos de correlação dinâmica e vetorial autoregressivo em séries temporais diárias de índices bolsistas entre janeiro de 2005 e dezembro de 2022. Foram estimadas as correlações dinâmicas condicionais e a causalidade de Granger, e os resultados mostraram um aumento significativo do índice de correlação dinâmica no período de crise em relação aos períodos pré-crise e mesmo superior ao período da crise financeira dos EUA de 2008, e a causalidade foi estimada em níveis desfasados óptimos, bem como as respostas do mercado bolsista peruano como prova empírica de contágio financeiro. A investigação é importante para a política monetária no Peru, para a fixação de preços no mercado bolsista e para a diversidade de opções na estruturação de carteiras de investimento com activos financeiros internacionais que procuram eficiência na gestão do risco e do retorno.

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Como Citar
Chambi Condori, P. P., & Chambi Vásquez, M. (2024). RESPOSTA DO MERCADO ACIONISTA PERUANO AOS EFEITOS DO CONTÁGIO FINANCEIRO DURANTE A PANDEMIA DE COVID-19. Semestre Económico, 27(62), 1-27. https://doi.org/10.22395/seec.v27n62a4470

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