Análise comparativa da volatilidade condicional de ações listadas nos segmentos de governança corporativa da B3

Abstract

Due to its relevance for financial theory, several studies have been carried out by the academic community about the behavior of the volatility of variable income assets, mainly the stock market, analyzing them from the standards presented in the most different markets around the world. In this view, the utilization of the models for estimation of volatility parameters of GARCH family has been fundamental in the correct evaluation of financial assets volatility behavior. The introduction of the Copula-DCC-GARCH model came to bring even more robustness to results. Its use was considered adequate to the objectives of the present study, being the main one of these to analyze the behavior of the volatility of stocks from different listing segments of B3 Stock Exchange. These segments are differentiated by corporate governance stricter rules. In order to analyze the volatility of stocks returns and to reach the proposed objectives, were created portfolios with stocks that made part, in 2017, of the Mid-Large Cap Index. This index represents 85% of B3 stock exchange market value. Stocks were selected by each B3 corporate governance listing segment Level 1 (Nível 1), Level 2 (Nível 2), New Market (Novo Mercado) and also from the Basic Segment, totalizing 31 companies. Were collected daily data from these companies and from Ibovespa, from 2007 to 2017. This period was tagged by the occurrence of two serious financial crisis, which generated increased volatility on the Brazilian stock market. From the results, supported by highly significant parameters of the model, it was identified that Novo Mercado portfolio has presented the lowest value for the average conditional volatility, in the analyzed period. On the other hand, the portfolio constituted by companies listed on the Basic Segment has shown the highest average volatility among the four analyzed portfolios. Changes on the Dynamic Conditional Correlations (DCC) levels of Novo Mercado, Level 2, Level 1 and Basic portfolios were also identified during the analyzed period.