Covariance stability and the 2008 financial crisis: the impact in the portfolio of the 10 biggest companies in BM&FBOVESPA between 2004 e 2012
Article Sidebar
Main Article Content
Abstract
This study's purpose is to analyse the covariance between the ten biggest participants of the BM&FBovespa stock market to test the influence of the instability in the covariance between assets to the structure of a portfolio of investments of a portfolio composed by this assets. To acomplish that, we check the covariances between the daily returns of the 10 selected stocks before, during and after the 2008 financial crisis. The procedure of this research includes: (1) collection of returns of the selected stocks between 2004 and 2012; (2) the composition of the classical portfolio theory proposed by Markowitz(1952); and (3) the measurement of the effect of the unstable covariance between the 10 selected assets in the maintenance of the portfolio when controlling for return and risk preferences of a hipotetical investor. We find that asset correlations are impacted by the assets covariances that not stable in the whole time set for the study but are specialy sensitive in the financial crisis period. This means that both risk and return of the portfolio will change greatly if the weights are not recalculated from time to time. This suports the idea that portfolio theory might benefit from the development of stability weigthed techniques are developed.
Downloads
Article Details
1. Proposal of Policy for Free Access Periodics
Authors whom publish in this magazine should agree to the following terms:
a. Authors should keep the copyrights and grant to the magazine the right of the first publication, with the work simultaneously permitted under the Creative Commons Attribution-NonCommercial-ShareAlike 4.0 that allows the sharing of the work with recognition of the authorship of the work and initial publication in this magazine.
b. Authors should have authorization for assuming additional contracts separately, for non-exclusive distribution of the version of the work published in this magazine (e.g.: to publish in an institutional repository or as book chapter), with recognition of authorship and initial publication in this magazine.
c. Authors should have permission and should be stimulated to publish and to distribute its work online (e.g.: in institutional repositories or its personal page) to any point before or during the publishing process, since this can generate productive alterations, as well as increasing the impact and the citation of the published work (See The Effect of Free Access).
Proposal of Policy for Periodic that offer Postponed Free Access
Authors whom publish in this magazine should agree to the following terms:
a. Authors should keep the copyrights and grant to the magazine the right of the first publication, with the work simultaneously permitted under the Creative Commons Attribution-NonCommercial-ShareAlike 4.0 [SPECIFY TIME HERE] after the publication, allowing the sharing of the work with recognition of the authorship of the work and initial publication in this magazine.
b. Authors should have authorization for assuming additional contracts separately, for non-exclusive distribution of the version of the work published in this magazine (e.g.: to publish in institutional repository or as book chapter), with recognition of authorship and initial publication in this magazine.
c. Authors should have permission and should be stimulated to publish and to distribute its work online (e.g.: in institutional repositories or its personal page) to any point before or during the publishing process, since this can generate productive alterations, as well as increasing the impact and the citation of the published work (See The Effect of Free Access).
d. They allow some kind of open dissemination. Authors can disseminate their articles in open access, but with specific conditions imposed by the editor that are related to:
Version of the article that can be deposited in the repository:
Pre-print: before being reviewed by pairs.
Post-print: once reviewed by pairs, which can be:
The version of the author that has been accepted for publication.
The editor's version, that is, the article published in the magazine.
At which point the article can be made accessible in an open manner: before it is published in the magazine, immediately afterwards or if a period of seizure is required, which can range from six months to several years.
Where to leave open: on the author's personal web page, only departmental websites, the repository of the institution, the file of the research funding agency, among others.
References
ALMEIDA, N.; SILVA, R. F.; RIBEIRO, K. (2010) Aplicação do modelo de Markowitz na seleção de carteiras eficientes: uma análise de cenários no mercado de capitais brasileiro. XIII Seminários em administração, Uberlândia. Setembro.
HIEDA, A.; ODA, A. L. (1998) Um estudo sobre a utilização de dados históricos no modelo de Markowitz aplicado a Bolsa de Valores de São Paulo. In: Seminários de Administração, 3, Out. 1998, São Paulo. Anais do III SEMEAD. São Paulo: Faculdade de Economia, Administração e Contabilidade da USP.
BODIE, Z.; MARCUS, A. J.; KANE, A. (2010) Investimentos. New York: Artmed.
DANTHINE, J.; DONALDSON, J. B. (2005) Intermediate financial theory. California: Elsevier.
LUENBERGER, D. G. (1997) Investment Science. USA: Oxford University Press. p. 137-172.
MARKOWITZ, H.y M. (1952) Portfólio selection. Journal of Finance, v. 7, n. 1, p. 77-91. Mar.
PENTEADO, M. A.; FAMÁ, R. (2002) Será que o beta que temos é o beta que queremos?. Cadernos de pesquisas em administração, São Paulo, v. 09, n. 3, julho/setembro.
SHARPE, W. F.; ALEXANDER, G. J.; BAILEY, J. V. (1995) Investments. NewJersey: Prentice Hall.