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Interaction between Macroeconomics Variables and IBOVESPA, Brazilian Stock Market Index

Author

Listed:
  • Allan Silveira dos Santos

    (Bras¨ªlia University)

  • Angelo Rondina Neto

    (State University of Maring¨¢)

  • Eliane Cristina de Araujo

    (State University of Maring¨¢)

  • Luma De Oliveira

    (Federal University of Rio Grande do Sul)

  • Mateus Boldrine Abrita

    (State University of Mato Grosso do Sul)

Abstract

This paper analyzes the relations between macroeconomic variables and the Brazilian stock market index, the Ibovespa, from January of 2001 to December of 2011, using a Vector Error Correction model (VEC). The main results showed that the Ibovespa reacts negatively to impulses in the exchange rate, interest rate differential and variations in the Selic rate. Results also showed positive reaction to the price index IPCA. Furthermore, an important result was achieved from the decomposition analysis of the variance. This showed that the interest rate differential reflects the perception of risk by foreign investors, which explains the considerable variation in the Ibovespa index during that period.

Suggested Citation

  • Allan Silveira dos Santos & Angelo Rondina Neto & Eliane Cristina de Araujo & Luma De Oliveira & Mateus Boldrine Abrita, 2013. "Interaction between Macroeconomics Variables and IBOVESPA, Brazilian Stock Market Index," Transnational Corporations Review, Ottawa United Learning Academy, vol. 5(4), pages 81-95, December.
    • Handle: RePEc:oul:tncr09:v:5:y:2013:i:4:p:81-95
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    Cited by:

    1. Mercan Hatipoglu, 2023. "What Determined Stock Returns in Turkey from 1990 to 2022: Evidence from Structural Break Regression," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, vol. 73(73-1), pages 185-202, June.

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