Eventos de instabilidade financeira e o comportamento das ações dos bancos nacionais e internacionais

Abstract

The purpose of this research is to verify the effects of the 2008 financial crisis on the variables Return, Systematic Risk, Total Risk and Liquidity of the actions of national and international banks and compare the effects of the financial crisis of 2008 with the event of financial instability of 2016 caused by the impeachment of the President of Brazil. In this way, the daily data available in the Economática program were used. The sample consisted of 86 banks listed on the stock exchanges of the countries Argentina, Brazil, Colombia, Chile and the three stock exchanges of the United States: AMEX, NASDAQ and NYSE. They were used 18 Brazilian banks listed in B3 to compose the comparison between the two crises. The research is characterized as applied, descriptive, quantitative and ex-post-facto. After data collection, statistical techniques of the Wilcoxon test and the Kruskal Wallis test were applied. It was found that the behavior of stocks, return, risks and liquidity were impacted by the financial crisis of 2008. In addition, it was verified that the stock returns of the banks of the Latin American countries studied are superior to the returns of the United States stock exchanges, presenting significant differences. In addition, for the variable Return, the effects began three months before the outbreak of the 2008 crisis. Compared with the indexes of each exchange, the Return and the Systematic Risk of the shares of the banks, on average, presented similarity between their stock indexes, presenting no superior behavior and have lower Total Risks in relation to the indexes. The comparison between the financial crisis of 2008 and the financial instability of 2016 for Brazilian banks revealed that the effects felt in the Return and Total Risk variables are significantly similar in both events, and for the variables Systematic Risk and Liquidity the effects presented significant differences. The negative effects felt in an event of local instability are similar to a global crisis for the Return and Total Risk of Brazilian banks. Thus, the main conclusions of this research are: (1) the financial crisis of 2008 impacted the variables Return, Systematic Risk, Total Risk and Liquidity of banks; (2) the Return of Latin American banks' stocks are similar to each other and have higher rates than the banks of the United States; (3) the Return on bank stocks was on average similar to their respective stock market indexes, not surpassing the index during the crisis period; and (4) global and local events have the same impacts on the Return and Total Risk variables in Brazilian banks.