Artigo
Effects of the 2008 crisis on the volatility of returns on bank stocks in Brazil
Registro en:
PESSANHA, G. R. G. et al. Effects of the 2008 crisis on the volatility of returns on bank stocks in Brazil. Business and Management Review, [S. l.], v. 3, n. 8, p. 1-13, Jun. 2014.
Autor
Pessanha, Gabriel Rodrigo Gomes
Ázara, Leiziane Neves de
Calegario, Cristina Lelis Leal
Safadi, Thelma
Institución
Resumen
This study aimed to analyze the stock returns of the Bank of Brazil, ItauUnibanco, Bradesco, Santander and
Nossa Caixa and the influence of the 2008 crisis on the volatility of all returns of each individual. It uses a
quantitative method of analysis of time series, ARCH modeling, in which there is the influence of the crisis on
the returns. It was analyzed a series of closing stock prices of the five largest banks in the period from
01/08/2007 to 16/10/2009, with a total of 546 observations. By the models, it was found that the volatility of
returns of all financial institutions analyzed changed by the existence of the crisis. Tests were conducted to
ensure the 95% confidence the accuracy of results, and only for the bank Nossa Caixa, the difference between
the returns before and after the crisis was not considered statistically representative.