Volatility transmission between small and large caps in the Brazilian market

Authors

  • Marcelo Brutti Righi UFSM
  • Paulo Sergio Ceretta

DOI:

https://doi.org/10.5902/198346595380

Abstract

Researches about volatility transmission between small and large company stocks had received great attention in last years. Based on this idea, the current paper aims to analyze the occurrence of volatility transmission  between small and large companies in Brazil. To that, we estimate multivariate GARCH models. As asset proxies we used the Small and Mid-Large cap BM&F/Bovespa index. Results allow concluding that large company stocks impact the small stocks conditional volatility. However, the relationship does not maintain it in reverse direction. This result is in accord with the addressed subject.

Downloads

Download data is not yet available.

Downloads

Published

2014-06-08

How to Cite

Righi, M. B., & Ceretta, P. S. (2014). Volatility transmission between small and large caps in the Brazilian market. Revista De Administração Da UFSM, 7(2). https://doi.org/10.5902/198346595380

Issue

Vol. 7 No. 2 (2014): Abr-Jun

Section

Articles

License

This journal remains the copyright holders of articles published. In order to be published, authors must sign the Copyrights Letter, which is sent to the authors by e-mail, thus granting rights, including on translation, to ReA/UFSM. The journal grants third parties the right to use, reproduce, and share the article according to the Creative Commons license agreement (CC-BY 4.0), as stated in the article’s PDF documents.

Most read articles by the same author(s)