ALAVANCAGEM EM TEMPOS DE INCERTEZA: VOLATILIDADE CONDICIONAL NO MERCADO DE AÇÕES
DOI:
https://doi.org/10.24325/issn.2446-5763.v11i33p1-26Keywords:
alavancagem financeira, volatilidade condicional, alavancagem, GARCHAbstract
This study examines the relationship between financial leverage and conditional volatility of Brazilian firms’ stock returns, focusing on the effects associated with the 2007–2008 subprime financial crisis. Annual volatility is estimated using GARCH(1,1) models applied to daily return series and then analyzed through a multivariate regression framework that includes variables related to capital structure, stock performance, firm size, corporate governance, and external factors represented by the Dow Jones Industrial Average. The results show that volatility in 2008 was higher than in other periods, confirming the impact of the crisis on the equity market. The estimations confirm the leverage effect, indicating that more leveraged firms display higher stock price volatility. A significant influence of the U.S. market is also observed, highlighting international financial integration. Additionally, larger firms tend to exhibit lower volatility, supporting the role of firm size as a risk-mitigating factor. Overall, the findings highlight how corporate financing decisions affect asset price behavior during periods of financial instability.
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