RELAÇÃO DINÂMICA ENTRE RETORNO, VOLUME DE NEGOCIAÇÕES E VOLATILIDADE DAS AÇÕES DAS EMPRESAS DE CAPITAL ABERTO DO AGRONEGÓCIO BRASILEIRO

Authors

  • Valéria Gama Fully Bressan Universidade Federal de Viçosa
  • Aureliano Angel Bressan Universidade Federal de Minas Gerais
  • João Eustáquio de Lima Universidade Federal de Viçosa
  • Marcelo José Braga Universidade Federal de Viçosa

DOI:

https://doi.org/10.5380/rcc.v1i2.15420

Keywords:

Financial Returns. Trading Volume. Volatility, EGARCH, Agribusiness.

Abstract

In order to verify similarities and/or differences in the behavior of returns and volatility of traded stocks of Brazilian agribusiness companies, this study examines the existence of leverage effects and tests the hypothesis that trading volume is a useful proxy for information innovations in their stock market, for a sample of 25 stock-listed Brazilian agribusiness companies. Using daily data from July/1999 to January/2007, two specifications of EGARCH models are tested, with and without trading volume as an explanatory variable. The results confirm the existence of leverage effects for almost all of the analyzed companies, and some influence of trading volume in the explanation of the volatility dynamics, but without any remarkable differences between companies and/or their related sub-sectors.

Author Biographies

Valéria Gama Fully Bressan, Universidade Federal de Viçosa

Doutora em Economia Aplicada Bolsista de Desenvolvimento Tecnológico Industrial do CNPq.

Departamento de Economia Rural

Universidade Federal de Viçosa

Aureliano Angel Bressan, Universidade Federal de Minas Gerais

Doutor em Economia Aplicada

Professor Adjunto da Faculdade de Ciências Econômicas

Universidade Federal de Minas Gerais

Pesquisador do CNPq.

João Eustáquio de Lima, Universidade Federal de Viçosa

PhD pela University of Florida

Professor Titular do Departamento de Economia Rural

Universidade Federal de Viçosa

Pesquisador do CNPq.

Marcelo José Braga, Universidade Federal de Viçosa

PhD pela University of Califórnia at Davis

Professor Adjunto do Departamento de Economia Rural

Universidade Federal de Viçosa

Pesquisador do CNPq.

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How to Cite

Bressan, V. G. F., Bressan, A. A., Lima, J. E. de, & Braga, M. J. (2009). RELAÇÃO DINÂMICA ENTRE RETORNO, VOLUME DE NEGOCIAÇÕES E VOLATILIDADE DAS AÇÕES DAS EMPRESAS DE CAPITAL ABERTO DO AGRONEGÓCIO BRASILEIRO. Revista Contabilidade E Controladoria - RC&C, 1(2). https://doi.org/10.5380/rcc.v1i2.15420

Issue

Vol. 1 No. 2 (2009): Volume 1| Número 2| Mai./Ago.| 2009

Section

Articles

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