O Impacto da Introdução de Opções sobre a Volatilidade do Ativo Objeto: Um Estudo sobre a Função dos Mercados Derivativos / The Impact of the Introduction of Options on the Volatility of the Underlying Asset: A Study on the Purpose of Derivatives Markets

AUTOR(ES)

Jr., William Eid

DATA DE PUBLICAÇÃO

24/11/2005

RESUMO

There is a lot of misunderstanding about derivative markets. Many people believe that they are a kind of casinos and have no utility to the investors. This work looks on the effects of options introduction in the Brazilian market, seeking for another benefit for this introduction: changes in the stocks risk level due to this introduction. Our results are the same found in the US and other markets: the options introduction reduces the stocks volatility. We also found that there is a slight indication that the volatility became more stochastic with this introducion.

ASSUNTO(S)

introdução de opções volatilidade volatilidade da volatilidade garch

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