Investigação da efetividade e estabilidade de hedge em índices de mercado futuro dos Estados Unidos e Brasil: evidenciação da crise mundial de 2008

Abstract

This paper aims to evaluate the stability and level of hedge effectiveness as a risk minimizer for G8 and Brazil countries. The period considered covers May 2004 until December 2017 because it was at this time the beginning of the 2008 global crisis that brought much uncertainty in the economic market. In addition, the research aims to investigate the hedge behavior during periods of crisis and normality in order to evaluate its risk coverage, in the same way we will investigate if periods of economic imbalances, influence the stability and effectiveness of the hedge relationship to world markets. Firstly, we seek to contextualize the importance of risk management, which is the hedge tool and how it is used to protect price volatility; then the relevance of the hedge to the future world market is discussed, and the research will show the effectiveness of the hedge strategies in terms of risk reduction. The methodology to be used is based on the econometric estimation of the minimum variance model proposed by Ederington (1979). The results show that hedge behavior presents instability in the pre-crisis period of 2008, the results also show high hedge effectiveness for all periods, for the other periods the hedge relationship did not present instabilities.