Effects of the 2008 crisis on the volatility of returns on bank stocks in Brazil

Abstract

This study aimed to analyze the stock returns of the Bank of Brazil, ItauUnibanco, Bradesco, Santander and Nossa Caixa and the influence of the 2008 crisis on the volatility of all returns of each individual. It uses a quantitative method of analysis of time series, ARCH modeling, in which there is the influence of the crisis on the returns. It was analyzed a series of closing stock prices of the five largest banks in the period from 01/08/2007 to 16/10/2009, with a total of 546 observations. By the models, it was found that the volatility of returns of all financial institutions analyzed changed by the existence of the crisis. Tests were conducted to ensure the 95% confidence the accuracy of results, and only for the bank Nossa Caixa, the difference between the returns before and after the crisis was not considered statistically representative.