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Publication
Crises da Segunda Década do Século XXI: O seu Impacto nos Mercados Acionistas
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Authors
Abstract(s)
A presente dissertação propõe analisar os impactos da COVID-19, tal como da invasão da
Ucrânia pela Rússia, sobre as rendibilidades dos mercados acionistas.
Utilizando a abordagem de estudo de evento, recorreu-se ao modelo de mercado para estimar
os parâmetros α e β dos mercados de oito países: Portugal (PSI), Espanha (IBEX35),
Alemanha (DAX), Suíça (SMI), França (CAC), Holanda (AEX), Itália (FTSE MIB) e
Áustria (ATX) e, com base neles, calcular as rendibilidades anormais e as rendibilidades
anormais acumuladas em janelas de evento definidas.
Os resultados empíricos demonstraram que ambos os eventos geraram impactos
estatisticamente significativos, com diferenças de sensibilidade entre os índices que refletem
as particularidades estruturais de cada mercado, tais como a integração monetária e a
localização geográfica. Em particular, os coeficientes β revelaram que índices com valores
superiores a 1 (ex.: CAC, FTSE MIB) apresentaram maior sensibilidade aos movimentos do
mercado, enquanto países com β inferiores a 1 (ex.: SMI, ATX) foram menos afetados. A
comparação dos efeitos dos dois eventos indica que, embora ambos tenham gerado impactos
negativos significativos nas rendibilidades, a magnitude e a intensidade das quedas variaram.
Em particular, o impacto inicial da COVID-19 revelou-se mais acentuado, com quedas mais
expressivas nas rendibilidades, comparativamente aos efeitos da invasão da Ucrânia pela
Rússia, que apesar de também negativos, foram menos pronunciados. Esta diferença
evidencia padrões distintos de contágio financeiro e níveis diferenciados de reação adversa
dos mercados aos dois eventos.
Estas descobertas contribuem para o entendimento dos mecanismos de transmissão de
choques em períodos de elevada incerteza e oferecem dados úteis para investidores e
reguladores na avaliação da eficiência dos mercados financeiros.
This dissertation aims to analyse the impacts of COVID-19, as well as the Russia’s invasion of Ukraine, on stock market returns. Using the event study approach, the market model was applied to estimate the α and β parameters for the markets of eight countries: Portugal (PSI), Spain (IBEX35), Germany (DAX), Switzerland (SMI), France (CAC), the Netherlands (AEX), Italy (FTSE MIB), and Austria (ATX). Based on these estimates, abnormal returns (AR) and cumulative abnormal returns (CAR) were calculated for defined event windows. The empirical results show that both events had statistically significant impacts, with differences in sensitivity between indices reflecting structural specificities of each market, such as monetary integration and geographical location. In particular, the β coefficients revealed that indices with values greater than one (e.g., CAC, FTSE MIB) were more sensitive to market movements, while countries with β values below 1 (e.g., SMI, ATX) were less affected. Comparing the effects of both events, the findings indicate that, although each generated significant negative impacts on returns, the magnitude and intensity of the declines varied. The initial impact of COVID-19 proved to be more pronounced, with sharper drops in returns compared to the effects of the Russia’s invasion of Ukraine, which, despite also being negative, were less severe. This distinction highlights different patterns of financial contagion and varied levels of market reaction to each event. These findings contribute to the understanding of shock transmission mechanisms during periods of high uncertainty and offer valuable insights for investors and regulators in assessing the efficiency of financial markets.
This dissertation aims to analyse the impacts of COVID-19, as well as the Russia’s invasion of Ukraine, on stock market returns. Using the event study approach, the market model was applied to estimate the α and β parameters for the markets of eight countries: Portugal (PSI), Spain (IBEX35), Germany (DAX), Switzerland (SMI), France (CAC), the Netherlands (AEX), Italy (FTSE MIB), and Austria (ATX). Based on these estimates, abnormal returns (AR) and cumulative abnormal returns (CAR) were calculated for defined event windows. The empirical results show that both events had statistically significant impacts, with differences in sensitivity between indices reflecting structural specificities of each market, such as monetary integration and geographical location. In particular, the β coefficients revealed that indices with values greater than one (e.g., CAC, FTSE MIB) were more sensitive to market movements, while countries with β values below 1 (e.g., SMI, ATX) were less affected. Comparing the effects of both events, the findings indicate that, although each generated significant negative impacts on returns, the magnitude and intensity of the declines varied. The initial impact of COVID-19 proved to be more pronounced, with sharper drops in returns compared to the effects of the Russia’s invasion of Ukraine, which, despite also being negative, were less severe. This distinction highlights different patterns of financial contagion and varied levels of market reaction to each event. These findings contribute to the understanding of shock transmission mechanisms during periods of high uncertainty and offer valuable insights for investors and regulators in assessing the efficiency of financial markets.
Description
Keywords
Mercados financeiros Crises financeiras COVID-19 Invasão da Ucrânia pela Rússia Contágio financeiro Estudo de evento