Administração de Empresas - Teses - CCSA Higienópolis
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- TeseEssays on market volatilityAdelino, Rogerio Batista (2023-09-05)
Centro de Ciências Sociais e Aplicadas (CCSA)
The understanding of volatility and its dynamics plays a crucial role in financial markets and theory. In the field of finance and investments where the general random variable being considered is the return of an asset, volatility can be understood as the dispersion of the returns in relation to a centrality measure. This idea has direct implications for both the academy and the practice, from a simple compounding return appraisal to the pricing of financial assets and portfolio management. Additionally, volatility also can be analyzed as a dynamic process, with a changing nature over time, according to specific events or trends in the market, affecting as an example the protection capacity that diversification is able to provide. In recent years, computing capabilities and information availability opened a new perspective for volatility studies. The computation of data on the high-frequency scale enabled a potentially new econometric framework. In common sampling frequency, such as daily calculations, for example, traditional econometric models can be used to understand the elements of the series, as in the case of drift or randomness. As the model evolves based on the usage of high-frequency data, in the sort of seconds or even shorter frequencies, some other crucial elements in the dynamic of prices in the form of ruptures in the time series (jumps) may be uncovered. This research project aims to contribute to the existing theoretical framework of volatility and risk by advancing the understanding of the interconnectedness between the traditional and high-frequency volatility measures, evolving the use of jump identification measures and their economic enablers, developing the understanding of market efficiency and microstructure risk, providing innovative examples of real-life modeling, and approximation of the theory with practical strategies in the investment industry. To achieve these goals, the work includes three articles designed to highlight novelties in the calculation and usage of volatility measures in investment practice, pointing to the broadness of the theme of the study. The first article focuses on the hedging capability of volatility indexes in equity portfolios, the second article utilizes the sort of upper-end of high-frequency data to demonstrate the riskiness differences between large and small-cap equities, and the last article goes beyond in evaluating the Brazilian stock exchange under an ultra-high-frequency framework. The research depicts implications to hedging using volatility instruments, points to the presence of jumps in high-frequency, and demonstrate efficient conditions in which jumps or noise are frequent in terms of market efficiency and heterogeneity of microstructure riskiness.