Análise à volatilidade do mercado da arte
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2012
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Um olhar breve para a história financeira internacional denota que, em períodos de crise ou até mesmo de depressão das principais economias mundiais, os investidores tendem a proteger os seus investimentos, muito para além dos usuais activos financeiros, como o caso das acções, obrigações, entre outros. A principal razão para tal é que, em termos empíricos, verifica-se que estes activos referidos apresentam uma elevada volatilidade, especialmente em momentos de grande turbulência nos mercados financeiros, em virtude da incerteza quanto ao futuro das economias mundiais. Assim sendo, a presente investigação realiza uma análise em torno da previsão de volatilidade dos activos associados a arte e, assim, pretende comparar com a volatilidade existente em torno dos índices ou mercados financeiros. Para tal, serão adoptados os modelos de heterocedasticidade condicional, com a finalidade de previsão de volatilidade marginal ou incondicional. A análise efectuada baseou-se na comparação da volatilidade marginal dos índices S&P 500 e DJ Euro Stoxx 50, representativos dos activos financeiros, face à volatilidade marginal das principais empresas (Christie´s e Sotheby´s) e do principal índice de arte (ArtPrice Global Index), representativos dos activos associados à arte. Os resultados evidenciam uma diferença significativa entre as volatilidades marginais ou incondicionais previstas, resultando numa menor volatilidade prevista incondicional dos activos de arte face aos activos financeiros.
A brief look at the history of international finance indicates that in periods of recession or even depression of the major economies, investors tend to protect their investment, far beyond the usual financial assets, as the case of shares, bonds, among others. The main reason for this is that, empirically, it appears that these assets have such a high volatility, especially in times of great turmoil in financial markets, because of uncertainty about the future of world economies. Indeed, this is what happened also with the great financial crisis of 2008, which quickly that uncertainty around the financial markets was passed for the real economy, with devastating effects already known, especially in social terms. Thus, this research is the opportunity to make a prediction about the analysis of volatile assets related art, and thus compared with the existing around the volatility index and the financial markets. This will be adopted heteroscedasticity conditional models, in order to estimate the marginal or unconditional volatility. Subsequent to a review about the evolution of the art market, especially in the headquarters of major international financial crisis of 2008, will use the Christie´s Company, Sotheby's and the Glogal Artprice Index to scrutinize the hypothesis mentioned above. The issue of comparability is based on two of the most recognized indices, ie, the S & P 500 and DJ Euro Stoxx 50. This opportunity to research seems to point to a statistical evidence about the existence of a significant difference between the marginal or unconditional volatilities provided.
A brief look at the history of international finance indicates that in periods of recession or even depression of the major economies, investors tend to protect their investment, far beyond the usual financial assets, as the case of shares, bonds, among others. The main reason for this is that, empirically, it appears that these assets have such a high volatility, especially in times of great turmoil in financial markets, because of uncertainty about the future of world economies. Indeed, this is what happened also with the great financial crisis of 2008, which quickly that uncertainty around the financial markets was passed for the real economy, with devastating effects already known, especially in social terms. Thus, this research is the opportunity to make a prediction about the analysis of volatile assets related art, and thus compared with the existing around the volatility index and the financial markets. This will be adopted heteroscedasticity conditional models, in order to estimate the marginal or unconditional volatility. Subsequent to a review about the evolution of the art market, especially in the headquarters of major international financial crisis of 2008, will use the Christie´s Company, Sotheby's and the Glogal Artprice Index to scrutinize the hypothesis mentioned above. The issue of comparability is based on two of the most recognized indices, ie, the S & P 500 and DJ Euro Stoxx 50. This opportunity to research seems to point to a statistical evidence about the existence of a significant difference between the marginal or unconditional volatilities provided.
Descrição
Orientação : Carlos Eduardo Capelo Ramos do Rosário
Palavras-chave
GESTÃO, GESTÃO DE EMPRESAS, COMÉRCIO DE ARTE, CRISES ECONÓMICAS, MERCADOS FINANCEIROS, MANAGEMENT, BUSINESS MANAGEMENT, ART COMMERCE, MERCADOS FINANCEIROS, MESTRADO EM GESTÃO DE EMPRESAS