Descoberta de preços de ações duplamente listadas: evidência empírica para ADRs de empresas brasileiras
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Data
2019-12-02
Autores
Costa, Nathalia Cristina Ribeiro da [UNIFESP]
Orientadores
Maciel, Leandro dos Santos [UNIFESP]
Tipo
Trabalho de conclusão de curso de graduação
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Resumo
A dupla-listagem de ações é um instrumento cada vez mais utilizado pelas empresas como alternativa de captação de recursos, inclusive no Brasil, sobretudo com a dinamização dos mercados financeiros. Decorrente desse cenário, diversos estudos já abordaram a questão descoberta de preços de ações duplamente listadas de empresas de diversas nacionalidades, principalmente analisando os mercados estadunidense e canadense, contudo, não há um consenso acerca de qual mercado exerce maior influência na formação de preços de um ativo: local ou estrangeiro. Dessa forma, esta monografia analisou o processo de descoberta de preços das ações de empresas brasileiras negociadas duplamente no país e nos Estados Unidos, de modo a compreender qual mercado exerce maior influência na formação dos preços destes ativos. Foram consideradas as 29 companhias brasileiras com ações – entre ordinárias e preferenciais – listadas simultaneamente na Bolsa de Valores de São Paulo (B3) e na Bolsa de Valores de Nova York (NYSE). Foram utilizados os dados diários do preço de fechamento destes ativos em ambas as bolsas e realizados testes de raiz unitária (ADF), confirmando a hipótese da não estacionariedade das series, e cointegração de Johansen, em que os resultados indicaram que apenas 26 dos 29 pares de ação-ADR apresentavam uma relação comum de longo prazo. A partir destes, o modelo VECM foi considerado e, considerando os valores estimados dos parâmetros 𝛼, tanto referente ao mercado local quanto ao estadunidense, calculou-se a medida Component Share, cuja função é indicar o grau de dominância de cada mercado no processo da descoberta de preços. Deste modo, há evidências estatísticas de que 11 empresas têm seu preço totalmente influenciado pelo mercado brasileiro, enquanto em outras 9 o mercado estadunidense é dominante. No caso das 6 companhias restantes, não há dominância de nenhum dos mercados e, sendo assim, nesta situação, o CS foi calculado anualmente de acordo com o intervalo da amostra – a datar do início das negociações nos EUA –, e avaliou-se, ao longo do tempo, qual mercado exerceria mais influência na formação de preços das ações. Com base nos resultados, há indícios de que o CS não é algo constante, isto é, ele varia tanto em graus de dominância como é passível de variação a respeito do mercado que exerce maior influência.
Cross-listing stocks is a tool increasingly used by companies which are seeking alternatives for raising funds, including Brazilian ones, especially after the potentization of the financial market. Due to that, several studies have already approached the price discovery of cross-listed stocks from varied nationality, in most cases it analyses American and Canadian markets. However, there isn’t an agreement on which market influences more on price discovery process: local or foreign market. Thus, this monograph seeks to examine the price discovery process of Brazilian companies’ stocks which are simultaneously traded in their local country and also in United States, for understanding which one influences the most on price formation of these assets. It was considered 29 Brazilian companies with cross-listing assets – including common and preferred shares – traded on Sao Paulo Stock Exchange (B3) and on New York Stock Exchange (NYSE). To this end, it was used the daily closing-price of these shares in both markets and, the following were executed: unit root test, which it has confirmed that all of them are nonstacionary, and Johansen cointegration test, which the results indicated that only 26 of stock-ADR pairs have a long-term relation. Considering that, the VECM model was estimated and based on 𝛼 parameter (refered to host and home market), it was calculated the Component Share, a measure to market dominance in the price discovery process. In accordance with the results, there are evidence that 11 of 26 companies are influenced totally by the brazilian market and the USA market is fully dominant in 9 of them. Regarding the remaining 6 companies, there are no dominancy of any of those markets and, due to that, the Component Share (CS) measure was calculated on an anual basis according to the sample interval – starting from the begging of negotiations in USA. This measure highlighted which market, during this time, has the greatest impact on price discovery process and, in conformity with the results, there are evidences that CS measure is not a constant, i.e., it changes both in dominance level and in the market that has the major influence in the price discovery process.
Cross-listing stocks is a tool increasingly used by companies which are seeking alternatives for raising funds, including Brazilian ones, especially after the potentization of the financial market. Due to that, several studies have already approached the price discovery of cross-listed stocks from varied nationality, in most cases it analyses American and Canadian markets. However, there isn’t an agreement on which market influences more on price discovery process: local or foreign market. Thus, this monograph seeks to examine the price discovery process of Brazilian companies’ stocks which are simultaneously traded in their local country and also in United States, for understanding which one influences the most on price formation of these assets. It was considered 29 Brazilian companies with cross-listing assets – including common and preferred shares – traded on Sao Paulo Stock Exchange (B3) and on New York Stock Exchange (NYSE). To this end, it was used the daily closing-price of these shares in both markets and, the following were executed: unit root test, which it has confirmed that all of them are nonstacionary, and Johansen cointegration test, which the results indicated that only 26 of stock-ADR pairs have a long-term relation. Considering that, the VECM model was estimated and based on 𝛼 parameter (refered to host and home market), it was calculated the Component Share, a measure to market dominance in the price discovery process. In accordance with the results, there are evidence that 11 of 26 companies are influenced totally by the brazilian market and the USA market is fully dominant in 9 of them. Regarding the remaining 6 companies, there are no dominancy of any of those markets and, due to that, the Component Share (CS) measure was calculated on an anual basis according to the sample interval – starting from the begging of negotiations in USA. This measure highlighted which market, during this time, has the greatest impact on price discovery process and, in conformity with the results, there are evidences that CS measure is not a constant, i.e., it changes both in dominance level and in the market that has the major influence in the price discovery process.
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Citação
COSTA, Nathalia Cristina Ribeiro da. Descoberta de preços de ações duplamente listadas: evidência empírica para ADRs de empresas brasileiras. 2019. Trabalho de Conclusão de Curso (Bacharelado em Ciências Econômicas) - Escola Paulista de Política, Economia e Negócios, Universidade Federal de São Paulo, Osasco, 2019.