Conectividade e integração dinâmica entre os bancos no Brasil

Abstract

This thesis sought to analyze connectedness and dynamic integration between banks operating in Brazil in two essays. In the first essay, the dynamic integration and the risk of contagion between the stock of the main banks in the Brazilian stock market were investigated. The analysis period runs from April 30, 2009 to March 11, 2022, thus capturing the contagion effects of the most critical period of the COVID-19 pandemic in Brazil. The database is made up of 14 stocks from the main banks listed on the São Paulo Stock Exchange (B3). The methodology of dynamic connectedness in the frequency domain based on a TVP-VAR model was used. The results showed an integration influenced by political, social, economic events and, mainly, by the COVID19 pandemic. The level of this integration ranged from 20% to over 50%. The highest peak coincided with the beginning of the increase in cases of COVID-19 in the year 2020. Short-term transmissions were predominant throughout the analyzed period. The banks that showed the greatest potential risk of contagion were Banco do Brasil (BBAS3), Bradesco (BBDC3) and Itaú-Unibanco (ITUB3) with a predominance of transmissions of short-term shocks. The dynamic behavior of the sample integration revealed that there is the possibility of risk diversification in a portfolio composed of stocks of these banks, since the stocks of the analyzed banks showed different patterns of response to the same events. The second essay had the general objective of analyzing the volatility connectedness between the stocks of the main banks operating in Brazil that are listed on B3 during normal market periods. The period of analysis runs from February 1, 2016 to March 17, 2020. The database is composed of 12 stocks of the main banks listed on B3. The methodology of dynamic connectedness in the frequency domain was used. The results showed that in normal market periods and also when there are specific situations of uncertainty, the volatility of bank stocks in Brazil is transmitted to prices initially within a week. Afterwards, there is a period of one month in which the connection is reduced to levels below 5%. During this period, the agents process the information that may generate more lasting repercussions in the market, which culminates in a new increase in connectedness one month after the occurrence of those events that they considered relevant. Furthermore, low-frequency net directional connectedness was the only frequency connected at a relevant level, after the 1-5 day frequency range. It was also found that the largest net transmitters of shocks were Banco do Brasil, Itaú, Bradesco and Banco ABC Mercantil. With this, the potential that the stocks of these banks have to systematically affect the performance of the Brazilian banking stock market was evidenced. Mainly because the shocks to the stock prices of these banks persist longer and with more force than the shocks of the other banks.