Relação entre o preço do petróleo e o preço das ações da petrobrás
Data
2023-12-15
Autores
Llorente, Matheus Leite 
Orientadores
Lucas, Edimilson Costa
Tipo
Trabalho de conclusão de curso
Título da Revista
ISSN da Revista
Título de Volume
Resumo
Ativos financeiros podem ser influenciados por várias formas de transmissão, as quais podem mudar ao longo do tempo. As commodities, dentro desse âmbito, tendem a exercer influências consideráveis em ativos atrelados de forma direta ou indireta às mesmas, sendo suas oscilações suscetíveis a variações da matéria-prima. Assim, o presente trabalho tem como objetivo apresentar a influência do preço da commodity petróleo sob as ações da Petrobrás e VALE, através dos seus respectivos retornos entre 2021 a 2023, período esse afetado pelo COVID-19, como também pelo conflito Rússia x Ucrânia. A fim de mensurar de que modo os choques nos preços internacionais do petróleo e no índice S&P-500 têm influenciado o preço das ações, foi aplicado um Vetor Autorregressivo (VAR). Foram extraídos dados diários de janeiro de 2021 até janeiro de 2023 dos índices CL1 (contratos futuros do preço do petróleo internacional), S&P500, PETR4 e VALE3. Para o procedimento econométrico, foi aplicado o teste de Dickey-Fuller, como o de KPSS para verificar a estacionariedade da série temporal, e pelos métodos BIC, AIC e Hannan-Quinn, indicou um índice de defasagem igual a um. Após a validação de normalidade e autocorrelação residual, aplicou-se a técnica de Diebold e Yilmaz (2012) para identificar índices de spillover entre os ativos, no qual CL1 exerceu uma influência de 4,81% sob a variância de PETR4, enquanto exerceu 7,72% sob VALE3 dentro de um horizonte de 10 dias. Dentro da série temporal, identificou-se que o índice de spillover reduziu em picos de casos de COVID-19, como também no início do conflito Rússia x Ucrânia, indicando fatores exógenos com quebras temporais. O teste de Granger (1969) foi aplicado, entretanto não foram encontradas transmissões significativas.
Financial assets can be influenced by various transmission mechanisms, which can change over time. Commodities, within this context, tend to exert considerable influences on assets directly or indirectly linked to them, with their fluctuations being susceptible to variations in raw materials. Thus, this study aims to present the influence of the price of the commodity oil on the shares of Petrobras and VALE, through their respective returns from 2021 to 2023, a period affected by COVID-19 as well as the Russia-Ukraine conflict. In order to measure how shocks in international oil prices and the S&P-500 index have influenced stock prices, a Vector Autoregressive (VAR) model was applied. Daily data were extracted from January 2021 to January 2023 for the CL1 (international oil futures price), S&P500, PETR4, and VALE3 indices. For the econometric procedure, the Dickey-Fuller test and the KPSS test were applied to check the stationarity of the time series, and the BIC, AIC, and Hannan-Quinn methods indicated a lag index of one. After validating normality and residual autocorrelation, the Diebold and Yilmaz (2012) technique was applied to identify spillover indices between assets, where CL1 exerted an influence of 4.81% on the variance of PETR4, while exerting 7.72% on VALE3 within a 10-day horizon. Within the time series, it was found that the spillover index decreased during COVID-19 peaks, as well as at the beginning of the Russia-Ukraine conflict, indicating exogenous factors with temporal breaks. The Granger test (1969) was applied, but no significant transmissions were found.
Financial assets can be influenced by various transmission mechanisms, which can change over time. Commodities, within this context, tend to exert considerable influences on assets directly or indirectly linked to them, with their fluctuations being susceptible to variations in raw materials. Thus, this study aims to present the influence of the price of the commodity oil on the shares of Petrobras and VALE, through their respective returns from 2021 to 2023, a period affected by COVID-19 as well as the Russia-Ukraine conflict. In order to measure how shocks in international oil prices and the S&P-500 index have influenced stock prices, a Vector Autoregressive (VAR) model was applied. Daily data were extracted from January 2021 to January 2023 for the CL1 (international oil futures price), S&P500, PETR4, and VALE3 indices. For the econometric procedure, the Dickey-Fuller test and the KPSS test were applied to check the stationarity of the time series, and the BIC, AIC, and Hannan-Quinn methods indicated a lag index of one. After validating normality and residual autocorrelation, the Diebold and Yilmaz (2012) technique was applied to identify spillover indices between assets, where CL1 exerted an influence of 4.81% on the variance of PETR4, while exerting 7.72% on VALE3 within a 10-day horizon. Within the time series, it was found that the spillover index decreased during COVID-19 peaks, as well as at the beginning of the Russia-Ukraine conflict, indicating exogenous factors with temporal breaks. The Granger test (1969) was applied, but no significant transmissions were found.
Descrição
Citação
LLORENTE, Matheus Leite. Relação entre o preço do petróleo e o preço das ações da petrobrás. 2023. Trabalho de Conclusão de Curso (Bacharelado em Ciências Atuariais) - Universidade Federal de São Paulo, Escola Paulista de Política, Economia e Negócios, Osasco, 2023.