Maximiliano Kruel

This study examined extreme return spillovers and connectedness between crude oil (West Texas Intermediate), the Volatility Uncertainty Index (VIX), S&P 500, and six Latin American stock markets, namely, Argentina, Brazil, Chile, Colombia, Mexico, and Peru, using quantile connectedness. This approach allowed for a nuanced investigation of connectedness and added to the understanding the integration between these markets. The results indicated that the S&P 500 market was a full sender of spillover in the whole sample of the quantiles, when, to the contrary, the oil market was the highest receiver. The total spillovers were more intense during extreme quantiles, with swings between transmission and reception for VIX, Colombia, Mexico, and Peru. In addition, when the market turned to operate during bullish conditions, the VIX became a strong sender of spillover. Furthermore, an intense spillover was observed only in the lower and upper quantiles, and the spillover was sharper for the extreme upper quantile.

A preocupação com o desenvolvimento sustentável demonstra a busca das empresas pela sua sobrevivência em longo prazo através de uma relação transparente e ética com sociedade, ambiente, funcionários e familiares, empregando ações pró-ativas para projetos voltados à responsabilidade social e garantindo qualidade de natureza social, econômica e ambiental. Esta atitude evidencia uma consciência empresarial de que sua atividade lucrativa impacta a comunidade e o ambiente circunstante e que, garantir que esse impacto seja o menor possível, faz parte de sua atividade empresarial. Esses investimentos, entretanto, geram custos para as empresas, custos que as empresas buscam recuperar através dos benefícios obtidos através desses. O objetivo deste estudo é verificar se existe relação entre os investimentos sócio-ambientais e a performance financeira empresarial. O estudo empírico foi realizado utilizando a análise de dados em painel com uma amostra de 59 empresas que operam no Brasil, com balanço disponível em meio eletrônico, dos anos de 2005 a 2008. Foi identificada relação significativa entre os indicadores sociais externos e a receita líquida e entre indicadores sociais internos, indicadores sociais externos, indicadores sociais externos defasados em um período com o resultado operacional líquido. Palavras-chave: Responsabilidade sócio-ambiental. Performance financeira. Análise de dados em painel. Abstract The concern with the sustainable development shows the attempt of companies for their survival in the long term through an ethical and transparent relationship with society, environment, employees and their families. They do so by acting on proactive projects aimed on social responsibility and providing the improvement of quality on social, economic and environmental levels. Such procedure evidences an entrepreneurial awareness that their profitable activity has impact on the community and the environment around them and that making this impact as little as possible is also part of their activity. These investments, however, result on costs which companies try to make up for through benefits obtained from the investments themselves. The purpose of this study is to verify whether there is a relationship between environmental and social investments and corporate financial performance. The empirical study was carried out using panel data analysis with a sample of 59 companies operating in Brazil, with social balance-sheet available on-line, from 2005 to 2008. A significant relationship was identified between external social indexes and net income and between internal social indexes, external social indexes, external social indexes lagged for one period with net operational result. Keywords: Environmental and social responsibility. Financial performance. Panel Data Analysis.