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Volatility Spillover Effects Between S&P500 Sectors - The special case of IT sector
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Resumo(s)
The main objective of this dissertation is to study the volatility spillover effect between the Information Technologies sector and the other sectors of S&P 500 index. After many studies and research of volatility spillover effects between developed and emerging stock markets, between markets across different countries or even between different assets indexes it is time to make it between sectors. Deepening this question reflects the importance of this study for investors who invest in stocks of the sectors that compose this index, and therefore, at the same time, these same investors want to diversify their portfolio, thus being a protection strategy against large losses. This study involves the application of three models: VAR model, DCC-GARCH and BEKK-GARCH to help in the scope of this study, which comprises a timeline from January 2012 to December 2021. The results showed that, for instance, volatility spillover effects are more evident in the case between the Information Technologies and Industrials sectors as well as in the case between the Information Technologies and Financials sectors, demonstrating that for example, for Industrials and Financials sectors, the investors that already have stocks on companies of Information Technologies sector may have better options in stocks of companies belonging to other sectors when it comes to invest.
Descrição
Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Information Analysis and Management
Palavras-chave
Volatility Spillover effect VAR model DCC-GARCH model BEKK-GARCH model S&P 500 sectors