Comportamento temporal de fundos mono ação e ações no Brasil: uma análise baseada em quebras estruturais

Abstract

The investor has some alternatives when investing his money, among them, buying stocks via home broker and through investment funds. However, despite the ease of investing in both ways, the analysis about which format is the most ”adequate” is still debatable due to their differences in fees, risks, and profitability. Therefore, the main objective of this research was to analyze the stocks of Vale, Petrobras and mono stocks funds of these selected companies, where we sought to identify the events that generate uncertainties which may cause structural breaks in the financial series from January 2018 to June 2021. Bai and Perron's (1998) method for dating structural breaks were applied. As a result, four structural breaks were found for each enterprise, involving political, sanitary, environmental issues, economic and financial relations disputes, which generally had an impact on the quotation price levels, modifying the levels of uncertainties of the sce- narios in which they were inserted. Furthermore, it was evidenced that Vale stocks were able to anticipate structural breaks in two periods comparing to its funds, while Petrobras stocks anticipated them in only one period, while Petrobras investment funds did it in only one structural break.