The effects of Leverage and Feedback on brazilian stock market volatility

  • Luciano Ferreira Carvalho Universidade Federal de Uberlândia
  • Flávio Vilela Vieira Universidade Federal de Uberlândia
  • Kárem Cristina de Souza Ribeiro Universidade Federal de Uberlândia
  • Wemerson Gomes Borges Universidade Federal de Uberlândia
DOI: https://doi.org/10.4025/enfoque.v36i2.31375

Abstract

The goal of the essay is to compare the volatilities of the traditional and the new market segments in the BOVESPA, from January 2008 to December 2012. Other than this, we investigate the relation of stock return and volatility based on the Leverage and Feedback theories. We use ARCH/GARCH models and regressions by Ordinary Least Square. The empirical evidences show that the stock volatilities of the new market is less reactive and more persistent when compared to the traditional segment. The empirical results also show that the long run volatility and the speed of convergence to the long run level is lower for the stocks with better governance practices. Other than this, we can argue that the Leverage and Feedback effects are not the main factors explaining the relation for the stock return and volatility, indicating empirical support for the behavioral theory

Downloads

Download data is not yet available.

Author Biographies

Luciano Ferreira Carvalho, Universidade Federal de Uberlândia

Professor de Finanças da Faculdade de Gestão e Negócios da Universidade Federal de Uberlândia.

Doutor em economia pelo Instituto de Economia da Universidade Federal de Uberlândia.

Mestre em administração pela Faculdade de Gestão e Negócios da Universidade Federal de Uberlândia.

Possui graduação em Administração - enfase em Finanças pela Faculdade Politécnica de Uberlândia (2005), atuando principalmente com os seguintes temas: vantagem competitiva, estratégias genéricas e análise financeira.  Currículo Lattes

Flávio Vilela Vieira, Universidade Federal de Uberlândia

- Professor Associado do Instituto de Economia da Universidade Federal de Uberlândia;

- Doutorado em Phd Em Economia. University of New Hampshire, UNH., Estados Unidos.

Kárem Cristina de Souza Ribeiro, Universidade Federal de Uberlândia

- Professora na Faculdade de Gestão e Negócios da Universidade Federal de Uberlândia;

- Doutora em Administração pela Universidade de São Paulo.

Wemerson Gomes Borges, Universidade Federal de Uberlândia

- Professor na Faculdade de Ciências Contábeis da Universidade Federal de Uberlândia;

- Mestre em Ciências Contábeis pela Universidade Federal de Uberlândia.

Published
2017-05-12
How to Cite
Carvalho, L. F., Vieira, F. V., Ribeiro, K. C. de S., & Borges, W. G. (2017). The effects of Leverage and Feedback on brazilian stock market volatility. Enfoque: Reflexão Contábil, 36(2), 19-37. https://doi.org/10.4025/enfoque.v36i2.31375
Issue
Vol 36 No 2 (2017)
Section
Original Articles

DECLARATION OF ORIGINALITY AND COPYRIGHTS

I Declare that current article is original and has not been submitted for publication, in part or in whole, to any other national or international journal. 

The copyrights belong exclusively to the authors. Published content is licensed under Creative Commons Attribution 3.0 (CC BY 3.0) guidelines, which allows sharing (copy and distribution of the material in any medium or format) and adaptation (remix, transform, and build upon the material) for any purpose, even commercially, under the terms of attribution.

Read this link for further information on how to use CC BY 3.0 properly.