Volatilidade dos retornos e governança: um estudo de eventos da crise do subprime

The financial crisis that occurred between the years 2007 and 2008, known as the subprime crisis, has highlighted the governance of companies in Brazil and worldwide. To monitor the financial risk, quantitative tools of risk management were created in the 1990s, after several financial disasters. The market turmoil has also led companies to invest in the development and use of information, which are applied as tools to support process control and decision making. Numerous empirical studies on informational efficiency of the market have been made inside and outside Brazil, revealing whether the prices reflect the information available instantly. The creation of different levels of corporate governance on BOVESPA, in 2000, made the firms had greater impairment in relation to its shareholders with greater transparency in their information. The purpose of this study is to analyze how the subprime financial crisis has affected, between January 2007 and December 2009, the volatility of stock returns in the BM&BOVESPA of companies with greater liquidity at different levels of corporate governance. From studies of time series and through the studies of events, econometric tests were performed by the EVIEWS, and through the results obtained it became evident that the adoption of good practices of corporate governance affect the volatility of returns of companies

Análise de volatilidade, integração de preços e previsibilidade para o mercado brasileiro de camarão

The present paper has the purpose of investigate the dynamics of the volatility structure in the shrimp prices in the Brazilian fish market. Therefore, a description of the initial aspects of the shrimp price series was made. From this information, statistics tests were made and selected univariate models to be price predictors. Then, it was verified the existence of relationship of long-term equilibrium between the Brazilian and American imported shrimp and if, confirmed the relationship, whether or not there is a causal link between these assets, considering that the two countries had presented trade relations over the years. It is presented as an exploratory research of applied nature with quantitative approach. The database was collected through direct contact with the Companhia de Entrepostos e Armazéns Gerais de São Paulo (CEAGESP) and on the official website of American import, National Marine Fisheries Service - National Oceanic and Atmospheric Administration (NMFS- NOAA). The results showed that the great variability in the active price is directly related with the gain and loss of the market agents. The price series presents a strong seasonal and biannual effect. The average structure of price of shrimp in the last 12 years was R$ 11.58 and external factors besides the production and marketing (U.S. antidumping, floods and pathologies) strongly affected the prices. Among the tested models for predicting prices of shrimp, four were selected, which through the prediction methodologies of one step forward of horizon 12, proved to be statistically more robust. It was found that there is weak evidence of long-term equilibrium between the Brazilian and American shrimp, where equivalently, was not found a causal link between them. We concluded that the dynamic pricing of commodity shrimp is strongly influenced by external productive factors and that these phenomena cause seasonal effects in the prices. There is no relationship of long-term stability between the Brazilian and American shrimp prices, but it is known that Brazil imports USA production inputs, which somehow shows some dependence productive. To the market agents, the risk of interferences of the external prices cointegrated to Brazilian is practically inexistent. Through statistical modeling is possible to minimize the risk and uncertainty embedded in the fish market, thus, the sales and marketing strategies for the Brazilian shrimp can be consolidated and widespread

Uma nova forma de calcular os centros dos Clusters em algoritmos de agrupamento tipo fuzzy c-means

Clustering data is a very important task in data mining, image processing and pattern recognition problems. One of the most popular clustering algorithms is the Fuzzy C-Means (FCM). This thesis proposes to implement a new way of calculating the cluster centers in the procedure of FCM algorithm which are called ckMeans, and in some variants of FCM, in particular, here we apply it for those variants that use other distances. The goal of this change is to reduce the number of iterations and processing time of these algorithms without affecting the quality of the partition, or even to improve the number of correct classifications in some cases. Also, we developed an algorithm based on ckMeans to manipulate interval data considering interval membership degrees. This algorithm allows the representation of data without converting interval data into punctual ones, as it happens to other extensions of FCM that deal with interval data. In order to validate the proposed methodologies it was made a comparison between a clustering for ckMeans, K-Means and FCM algorithms (since the algorithm proposed in this paper to calculate the centers is similar to the K-Means) considering three different distances. We used several known databases. In this case, the results of Interval ckMeans were compared with the results of other clustering algorithms when applied to an interval database with minimum and maximum temperature of the month for a given year, referring to 37 cities distributed across continents

Clusters locais de responsabilidade social das organizações: possibilidades e limites em debate

O presente artigo trata do papel das empresas no desenvolvimento social e econômico, considerando para tal as análises que envolvem a temática da Responsabilidade Social Empresarial numa perspectiva integrada a ações sociais de entidades governamentais e ONGs. Nesse sentido, o conceito de clusters de RS pressupõe que aglomerações de empresas, localizadas num mesmo território, estabeleçam interações entre si e com outros atores locais para otimizar práticas conjuntas de RS voltadas para o desenvolvimento sustentado da região, numa perspectiva integrada e global. As possibilidades interventivas dos clusters de RS podem expressar um avanço nos resultados das ações sociais e/ou ambientais empreendidas através de redes integradas

Desenvolvimento territorial no Rio Grande do Norte: uma identificação de clusters rurais

The general objective of this study is the identification of rural spaces in Rio Grande do Norte through a territorial approach. It looks if there is spatial correlations between municipalities that influence and are influenced by the rural environment, allowing the identification of clusters. To accomplish this objective it`s used, in the methodology, the factor analysis of principal components to achieve the indicators of rurality and territorial development, that deal with four dimensions of analysis: environmental, political-institutional, economical and spatial. Moreover, to identify the spatial correlations structure between municipalities it used the Moran index to both rurality and territorial development, leading to clustering identification. The results show that the rurality is present in most of Rio Grande do Norte municipalities, except in cases like Mossoró, Pau dos Ferros, Caicó and Natal, where can be regional dynamic poles. It is also verified that the more rural municipalities tend to be less developed, according to the territorial development index, and have less correlations with neighboring municipalities

Volatilidade dos retornos e governança: um estudo de eventos da crise do subprime

The financial crisis that occurred between the years 2007 and 2008, known as the subprime crisis, has highlighted the governance of companies in Brazil and worldwide. To monitor the financial risk, quantitative tools of risk management were created in the 1990s, after several financial disasters. The market turmoil has also led companies to invest in the development and use of information, which are applied as tools to support process control and decision making. Numerous empirical studies on informational efficiency of the market have been made inside and outside Brazil, revealing whether the prices reflect the information available instantly. The creation of different levels of corporate governance on BOVESPA, in 2000, made the firms had greater impairment in relation to its shareholders with greater transparency in their information. The purpose of this study is to analyze how the subprime financial crisis has affected, between January 2007 and December 2009, the volatility of stock returns in the BM&BOVESPA of companies with greater liquidity at different levels of corporate governance. From studies of time series and through the studies of events, econometric tests were performed by the EVIEWS, and through the results obtained it became evident that the adoption of good practices of corporate governance affect the volatility of returns of companies

Análise de volatilidade, integração de preços e previsibilidade para o mercado brasileiro de camarão

The present paper has the purpose of investigate the dynamics of the volatility structure in the shrimp prices in the Brazilian fish market. Therefore, a description of the initial aspects of the shrimp price series was made. From this information, statistics tests were made and selected univariate models to be price predictors. Then, it was verified the existence of relationship of long-term equilibrium between the Brazilian and American imported shrimp and if, confirmed the relationship, whether or not there is a causal link between these assets, considering that the two countries had presented trade relations over the years. It is presented as an exploratory research of applied nature with quantitative approach. The database was collected through direct contact with the Companhia de Entrepostos e Armazéns Gerais de São Paulo (CEAGESP) and on the official website of American import, National Marine Fisheries Service - National Oceanic and Atmospheric Administration (NMFS- NOAA). The results showed that the great variability in the active price is directly related with the gain and loss of the market agents. The price series presents a strong seasonal and biannual effect. The average structure of price of shrimp in the last 12 years was R$ 11.58 and external factors besides the production and marketing (U.S. antidumping, floods and pathologies) strongly affected the prices. Among the tested models for predicting prices of shrimp, four were selected, which through the prediction methodologies of one step forward of horizon 12, proved to be statistically more robust. It was found that there is weak evidence of long-term equilibrium between the Brazilian and American shrimp, where equivalently, was not found a causal link between them. We concluded that the dynamic pricing of commodity shrimp is strongly influenced by external productive factors and that these phenomena cause seasonal effects in the prices. There is no relationship of long-term stability between the Brazilian and American shrimp prices, but it is known that Brazil imports USA production inputs, which somehow shows some dependence productive. To the market agents, the risk of interferences of the external prices cointegrated to Brazilian is practically inexistent. Through statistical modeling is possible to minimize the risk and uncertainty embedded in the fish market, thus, the sales and marketing strategies for the Brazilian shrimp can be consolidated and widespread