HTML (English)
PDF (English)
FLIP
XML
Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-CompartirIgual 4.0.
Esta revista está autorizada por una licencia de atribución Creative Commons (CC BY-NC-SA 4.0) Attribution-Non Commercial 4.0 International. Para las licencias CC, el principio es el de la libertad creativa. Este sistema complementa el derecho de autor sin oponerse a este, conscientes de su importancia en nuestra cultura. El contenido de los artículos es responsabilidad de cada autor y no compromete, de ninguna manera, a la revista o a la institución. Se permite la divulgación y reproducción de títulos, resúmenes y contenido total, con fines académicos, científicos, culturales, siempre y cuando, se cite la respectiva fuente. Esta obra no puede ser utilizada con fines comerciales.
La revista no cobra a los autores por la presentación o la publicación de sus artículos
Resumen
El riesgo sistémico causado por el COVID-19 afectó a todos los sectores de la economía y con ello se denotó la vulnerabilidad de algunos sectores en comparación con otros. En este contexto, llamó la atención el choque de oferta experimentado por el sector minero, que, en consecuencia, se tradujo en una alta apreciación de los precios. Vinculado a esto, y con efectos negativos, se produjo en este periodo la devaluación de los precios del petróleo, explicada, entre otros factores, por la guerra de precios entre los países productores. En este sentido, el presente estudio analiza la volatilidad del indicador bursátil brasileño considerando los precios de los productos antes mencionados y la cotización del dólar. Los resultados muestran la importancia de la formación de precios de estos mercados en la variación del indicador de la Bolsa de Brasil, y la apreciación de los precios del petróleo y el mineral Brent cotizados en el mercado de minerales básicos de Dalian (China) deriva en que el indicador Ibovespa vaya en la misma dirección. Además, en términos estadísticos, el estudio destaca la gran importancia del precio de la moneda extranjera como determinante en la variación del indicador de Ibovespa y, consecuentemente, con efectos en la intención de inversión.
Palabras clave:
Citas
Arevalo, J. L. S., de Souza, G. M., & Meurer, R. M. (2020). The Brazilian stock market indicator: Determinants to measure variation and direction. International Journal of Science and Management Studies (IJSMS), 3(5), 48-59. https://doi.org/10.51386/25815946/ijsms-v3i5p105
Arevalo, J. L. S., & Meurer, R. M. (2021). O papel do indicador de liberdade econômica e corrupção na atração de investimento: uma abordagem para países de América do Sul. Revista de Globalización, Competitividad y Gobernabilidad, 15(1). https://doi.org/10.3232/GCG.2021.V15.N1.01
Banco Central do Brasil (BACEN) (2021). Informações estatísticas. https://www.bcb.gov.br
Banco Mundial (2021). Dados do PIB dos países. https://data.worldbank.org/country/CN5. B3. Brasil, Bolsa, Balcão (2021). Bolsa de valores oficial do Brasil. Composição da carteira. https://www.b3.com.br/pt_br/market-data-e-indices/indices/indices-amplos/indice-ibovespa-ibovespa-composicao-da-carteira.htm
Bortoluzzo, M. M., Sakurai, S. N., & Bortoluzzo, A. B. (2021). Allocation of foreign direct investment across brazilian states. Estudos Econômicos, 43(2), 241-269. https://doi.org/10.1590/S0101-41612013000200002
Chowdhury, M. A. F., Meo, M. S., & Aloui, C. H. (2021). How world uncertainties and global pandemics destabilized food, energy and stock markets? Fresh evidence from quantile-on-quantile regressions. International Review of Financial Analysis, 76(101759). https://doi.org/10.1016/j.irfa.2021.101759
Dathein, R. (2021). Crise econômica e taxa de lucro nos EUA. Revista de Economia Contemporânea, 15(2), 322-341. https://doi.org/10.1590/S1415-98482011000200005
Debata, B., & Mahakud, J. (2018). Interdependence between monetary policy and stock liquidity: A panel VAR approach. Margem: The Journal of Applied Economic Research, 12(4), 387-413. https://doi.org/ 10.1177/0973801018786270
Dickey, D.A., & Fuller, W.A. (1979). Distribution of the estimator for auto-regressive time series with a unit root. Journal of the American Statistical Association, Alexandria, 74, 427-431. https://doi.org/10.1080/01621459.1979.10482531
Dickey, D.A., & Fuller, W.A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072. https://doi.org/10.2307/1912517
Drenik, A., & Perez, J. P. (2021). Domestic price dollarization in emerging economies. Journal of Monetary Economics, 122, 38-55.
Economatica (2021). Informações financeiras de empresas e cotações de mercado. https://economatica.com
Energy Information Administration (EIA) (2021). Analise de mercados, petróleo global e outros combustíveis. https://www.eia.gov/outlooks/steo/report/global_oil.php
Enders, W. (2014). Applied Econometric Time Series (4th ed.). Wiley.
Escher, F., & Wilkinson, J. (2019). A economia política do complexo Soja- Carne Brasil. Revista de Economia e Sociologia Rural 57(4), 656-678. https://doi.org/10.1590/1806-9479.2019.191017
Falato, A., Goldstein, I., & Hortaçsu, A. (2021). Financial fragility in the COVID-19 crisis: The case of investment funds in corporate bond markets. Journal of Monetary Economics, 123, 35-52. https://doi.org/10.1016/j.jmoneco.2021.07.001
Fuller, W. A. (1976). Introduction to statistical time series. John Wiley & Sons.
Ghazali, M. F., Lean, H. H., & Bahari, Z. (2020). Does Gold Investment Offer Protection Against Stock Market Losses? Evidence from Five Countries. The Singapore Economic Review (SER), 65(02), 275-301. https://doi.org/ 10.1142/S021759081950036X
Gouvea, R., Kapelianis, D., & Li, S. (2020). Fostering intra-BRICS trade and investment: The increasing role of China in the Brazilian and South African economies. Thunderbird International Business Review, 62(1), 17-26. https://doi.org/10.1002/tie.22098
Greaves, J. G. (2018). Investigating saving and investment relationship: Evidence from an autoregressive distributed lag bounds testing approach in Liberia. International Journal of Economics and Financial Issues, 8(4), 89-104.
Instituto Brasileiro de Geográfica e Estatística (IBGE) (2021). Produto Bruto Interno – PIB. https://www.ibge.gov.br/explica/pib.php
Instituto Brasileiro de Mineração (IBRAM) (2021). Principais destinos das exportações minerais brasileiras. https://ibram.org.br/wp-content/uploads/2021/06/Infografico-Mineracao-em-Numeros-2020-NOVO.pdf
Johansen, S. (1995). Likelihood-base inference in cointegrated vector auto-regressive models. Oxford University Press.
Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economics Dynamics and Control, 12, 231- 254.
Khan, R. E. A., & Ali, R. (2015). Causality analysis of volatility in exchange rate and stock market prices: A case study of Pakistan. Asian Economic and Financial Review, 5(5), 805–815. https://doi.org/10.18488/journal.aefr/2015.5.5/102.5.805.815
Lourenço, A. L. C. de, & Roos, B. C. (2015). Efeitos do aumento da produção de petróleo sobre o potencial de crescimento da economia brasileira: um modelo voltado para a projeção (2013-2020). Estudos Econômicos, 45(3). https://doi.org/10.1590/0101-416145367alb
Maciel, L., Silveira, R. L. F., Luna, I., & Ballini, R. (2012). Impacto dos contratos futuros do Ibovespa na volatilidade dos índices de ações no Brasil: uma análise na crise do subprime. Estudos Econômicos, 42(4), 801-825. https://doi.org/10.1590/S0101-41612012000400006
Mandaci, P. E., & Kirkpinar, A. (2022). Oil assets and portfolio diversification: Firmlevel analysis for Borsa Istanbul. Borsa Istanbul Review, 22(3), 571-585. https://doi.org/10.1016/j.bir.2021.07.004
Ministério da Indústria, Comércio Exterior e Serviços (MDIC) (2021). Informações sobre o comércio exterior. http://comexstat.mdic.gov.br/pt/home
Milan, M., & Quadros, B. C. de (2016). A política monetária e a crise financeira: podem os Bancos Centrais se antecipar? Economia e Sociedade, 25(2), 341-372. https://doi.org/10.1590/1982-3533.2016v25n2art2
Montes, G. C., & Tiberto, B. P. (2012). Macroeconomic environment, country risk and stock market performance: Evidence for Brazil. Economic Modelling, 29(5), 1666-1678. https://doi.org/10.1016/j.econmod.2012.05.027
Mroua, M., & Trabelsi, L. (2020). Causality and dynamic relationships between exchange rate and stock market indices in BRICS countries: Panel/GMM and ARDL analyses. Journal of Economics, Finance, and Administrative Science, 25(50), 395-412. https:// doi.org/10.1108/jefas-04-2019-0054
Ozkan, O. (2021). Impact of COVID-19 on stock market efficiency: Evidence from developed countries. Research in International Business and Finance, 58(101445). https://doi.org/10.1016/j.ribaf.2021.101445
Padula, A. J. A., & Albuquerque, P. H. M. (2018). Government corruption on Brazilian capital markets: A study on Lava Jato (Car Wash) investigation. Revista de Administração de Empresas, 58(4), 405-417. https://doi.org/10.1590/S0034-759020180406
Peersman, G., Ruth, S., & Veken, W. V. (2021). The interplay between oil and food commodity prices: Has it changed over time? Journal of International Economics, 133(103540). https://doi.org/10.1016/j.jinteco.2021.103540
Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289-32. https://doi.org/10.1002/jae.616
Resende, M. F. da C., Terra, F. H. B., & Filho, F. F. (2021). Conventions, money creation and public debt to face the Covid-19 crisis and its aftermath: A post-Keynesian view. Brazilian Journal of Political Economy, [S. l.], 41(2), 254-270. https://doi.org/10.1590/0101-31572021-3260
Santana, H. N., De Lima, S. A., & Ferreira, B. P. (2018). 20 Anos de Real: uma análise da relação entre câmbio, inflação, taxa de juros e o Ibovespa. Revista Gestão & Tecnologia, 18(2), 44-69.
Saraç, T. B., & Karagoz, K. (2016). Impact of short-term interest rate on exchange rate: The case of Turkey. Procedia Economics and Finance, 38, 195-202. https://doi.org/10.1016/S2212-5671(16)30190-3
Sek, S. K., Teo, Q. T., & Wong, Y. N. (2015). A comparative study on the effects of oil price changes on inflation. Procedia Economics and Finance, 26, 630-636. https://doi.org/10.1016/S2212-5671%2815%2900800-X
Shakil, M. H., Mustapha, I. M., Tasnia, M., & Saiti, B. (2018). Is gold a hedge or a safe haven? An application of ARDL approach. Journal of Economics, Finance, and Administrative Science, 23(44), 60-76. https://doi.org/10.1108/JEFAS-03-2017-0052
Solarin, S. A., & Eric, O. O. (2015). Impact of economic globalization on human capital: Evidence from nigerian economy. International Journal of Economics and Financial Issues, 5(3), 786-789.
Tuo, J., & Zhang, F. (2020). Modelling the iron ore price index: A new perspective from a hybrid data reconstructed EEMD-GORU model. Journal of Management Science and Engineering, 5(3), 212-225. https://doi.org/10.1016/j.jmse.2020.08.003
United Nations Conference on Trade and Development (UNCTAD) (2021). Dados de taxa de câmbio entre os países. https://unctadstat.unctad.org/wds/TableViewer/tableView.aspx?ReportId=117
Yang, Y., Li, L., & Jiang, J. (2021). The Impact of COVID-19 pandemic on emerging country stock markets: Evidence of the value effect. Emerging Markets Finance and Trade, https://doi.org/10.1080/1540496X.2021.1973423
Zavadska, M., Morales, L., & Coughlan, J. (2020). Brent crude oil prices volatility during major crises. Finance Research Letters, 32(C). https://doi.org10.1016/j.frl.2018.12.026
##submission.citations.for##
