Análise Multifractal do Ibovespa: Dinâmicas de Preço, Volume Negociado e Eficiência de Mercado
DOI:
https://doi.org/10.22478/ufpb.2318-1001.2024v12n1.70209Resumo
Objetivo: O presente estudo tem como objetivo investigar as flutuações de preço, volume negociado e correlação cruzada do Ibovespa, por meio da aplicação de métodos multifractais. O foco está em compreender as tendências do mercado financeiro de forma mais aprofundada e embasar decisões de forma mais sólida.
Fundamento: Embora os métodos multifractais sejam comumente utilizados na análise de flutuações de preços de ativos financeiros, este estudo se destaca por investigar as flutuações de preços e volume de ativos negociados no mercado financeiro.
Método: Foram empregados os métodos de Análise de Flutuação Destendenciada Multifractal (MF-DFA) e Análise de Correlação Cruzada Multifractal (MF-DCCA) na análise das propriedades das séries de dados do Índice da Bolsa de Valores de São Paulo (Ibovespa).
Resultados: A análise revelou que as séries diárias em reais e dólares apresentam distribuições e flutuações crescentes, com uma multifractalidade que reflete mudanças temporais tanto anti-persistentes quanto persistentes, indicando um comportamento com grandes e pequenas flutuações. Além disso, o volume negociado e a correlação cruzada do preço-volume demonstraram tendências persistentes, sugerindo um comportamento com memória de longo prazo.
Contribuições: Este estudo contribui significativamente para a literatura multifractal ao analisar a complexidade das séries do Ibovespa e do volume negociado. Destaca a importância de pesquisas mais aprofundadas no mercado brasileiro e fornece evidências relevantes para investidores, especialmente em períodos de turbulência como a recessão causada pela Covid-19. Os resultados ressaltam a relevância do volume negociado como fonte relevante de informações para a tomada de decisões no mercado financeiro.
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