The recent dynamics of the stock exchange in Brazil

André ABDALA, Silvia Borges Dondi GUIDO

Abstract


Abstract. This study is a literary analysis with the purpose of verifying the dynamic relation of the São Paulo stock exchange index with some macroeconomic variables, between January 2014 and August 2017, when Brazil was going through a serious political crisis, in which the economic activity was affected and therefore the stock market. Thus, these relationships are evaluated by the Johansen Cointegration Test to precisely verify the long-term relationship between the Brazilian stock market and the other variables. And the results indicate a negative weight of inflation expectations, interest rates and public debt, while the exchange rate and economic activity positively affect the stock market index.

Keywords. Stock price, Index of the São Paulo Stock Exchange, Johansen Cointegration Test.

JEL. C13, E44, G12.


Keywords


Stock price; Index of the São Paulo Stock Exchange; Johansen Cointegration Test.

Full Text:


References


Akdogu, S.K., & Birkan A.O. (2016). Interaction between stock prices and exchange pate in emerging market economies. Research in World Economy, 7(1), 80-94. doi. 10.5430/rwe.v7n1p80

Akova, S. (2016). Stock market response to fiscal policy shocks: evidence from EU countries from Central and Eastern Europe. Network Intelligence Studies, 4(2), 161-169.

Engle, R.F. & Granger, C.W.J. (1987). Co-Integration and Error Correction: Representation, Estimation, and Testing. Econometrica, 55(2), 251-276. doi. 10.2307/1913236

Haughton, A.Y., & Iglesias, E.M. (2017). Exchange rate movements, stock prices and volatility in the Caribbean and Latin America. International Journal of Economics and Financial Issues, 7(2), 437-447.

Johansen, S. (1988). Statistical analysis of cointegration vectors (1988). Journal of Economic Dynamics and Control, 12(2-3), 231-254. doi. 10.1016/0165-1889(88)90041-3

Joshi, P., & Giri, A.K. (2015). Fiscal deficits and stock prices in India: Empirical evidence. International Journal of Financial Studys, 3, 393-410. doi. 10.3390/ijfs3030393

Khan, M.N., Rizwan, M., Islam, F., Ahmed, H.I., & Rasheed, S. (2016). Impact of inflation on stock prices in Pakistan. International Journal of Commerce, Business and Management 5(2), 355-365.

Kumudumi, H.R.K., & Jameel, A.L.M. (2016). Relationship between inflation and stock market return: Special reference to the Colombo Stock Exchange (CSE). In,5th Annual International Research Conference– SEUSL, Oluvil.

Kutty, G. (2010). The relationship between exchange rates and stock prices: the case of Mexico. North American Journal of Finance and Banking Research, 4(4), 1-12.

Ribeiro, A.A.S., Leite, A.D., & Justo, W.R. (2016). Análise de cointegração e causalidade entre variáveis macroeconômicas e o índice Dow Jones sobre o IBOVESPA. Rev. Adm. UFSM, Santa Maria, 9(1), 121-137. doi. 10.5902/1983465911741

Saleem, F., Yasir, M., Shehzad, F., Ahmed, K., & Sehrish, S. (2012). Budget deficit and stock prices: evidence from Pakistan and India. Interdisciplinary Journal of Contemporary Research in Business, 4(5), 176-185.

Sargent, T.J., & Wallace, N. (1981). Some unpleasant monetarist arithmetic. Federal Reserve Bank of Minneapolis, Quarterly Review, 5(3), 1-18.

Suriani, S., Kumar, M.D., Jamil, F., & Muneer, S. (2015). Impact of exchange rate on stock market. International Journal of Economics and Financial Issues, 5(S), 385-388.

Tripathi, V., & Kumar, A. (2014). Relationship between inflation and stock returns – Evidence from BRICS markets using panel cointegration test. International Journal of Accounting and Financial Reporting, 4(2), 647-658.

Woodford, M. (2001). Fiscal requirements for price stability. Journal of Money, Credit and Banking, 33(3), 669-728. doi. 10.2307/2673890




DOI: http://dx.doi.org/10.1453/jepe.v5i3.1730

Refbacks

  • There are currently no refbacks.


Bookmark and Share


.......................................................................................................................................................................................................................................................................................................................................

Journal of Economics and Political Economy - J. Econ. Pol. Econ. - JEPE - www.kspjournals.org

ISSN: 2148-8347

Editor: [email protected]   Secretarial: [email protected]   Istanbul - Turkey.

Copyright © KSP Library