Navegando por Autor "Reis, Felipe Alves"

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    Bitcoin como hedge e diversificador: efeitos no mercado de ações do Brasil
    (2019) Teotônio, Cícero Emanuel; Reis, Felipe Alves; http://lattes.cnpq.br/4966295939906577
    This work aims to analyzewhether Bitcoin can be used as a hedge or diversifier against the Ibovespa index, the Brazilian stock market. This analysis allows investors who use the investments a better position in forming a strategy. For this, the time series model GARCH (1,1) is used, which allows an asset relation. The model was released for data with the return. The results indicate that Bitcoin is an effective and a diversified hedge for this index, which is frequency dependent. As the weekly series adjust, the weekly ones, an efficient diversifier, however, the monthly ones were not meant, and they are always shown as weak hedge.
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    Preço do petróleo e o mercado acionista brasileiro: uma análise usando o modelo SVAR
    (2022-06-08) Santana, Ana Paula Florentino; Reis, Felipe Alves; http://lattes.cnpq.br/4966295939906577
    This study seeks to analyze the effects of fluctuations in the price of Brent oil on the Ibovespa index – the main performance indicator of the Brazilian stock market. For that, a structural autoregression vector model (SVAR) was estimated with monthly data referring to industrial production, exchange rate, Ibovespa and the price of oil, during the period from January 2002 to December 2021. According to the results of the variance decomposition, it was found that shocks in the analyzed variables directly impact the stock market. In addition, the results of the impulse response functions suggest a highly significant reaction of the Ibovespa to positive shocks in oil prices, exchange rates and industrial production