Study on the relationship between the IVol-BR and the future returns of the Brazilian stock market,

Cainelli, Paloma Vanni; Pinto, Antônio Carlos Figueiredo; Klötzle, Marcelo Cabús

doi:10.1590/1808-057x202009890

Cited by 4 publications

(1 citation statement)

References 27 publications

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“…Before the COVID breakdown, a negative relationship has been found between the Indian VIX and stock market return (Chakrabarti & Kumar, 2020). For Brazil, investors could anticipate instabilities in the Brazilian market by getting indications from the fear index and could identify opportunities to enter and exit the markets (Cainelli et al, 2020). Though stock market returns and VIX move inversely, China observed them moving in tandem before the COVID crisis (Liu, 2019).…”

Section: Review Of Literaturementioning

confidence: 99%

Comovement of Fear Index, Stock Returns, Brent Oil Prices in BRIC Countries: The Case of COVID-19

Sharma

Malik²

2022

The Indian Economic Journal

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The study investigates long-run and short-run cointegrating relationship between stock market returns, fear index (VIX), brent crude oil prices and growth in deaths due to the COVID-19 pandemic for BRIC countries using daily data from 23 January 2020 to 24 August 2020 using Autoregressive Distributed Lag (ARDL) model. CUSUM test and serial correlation test estimates point towards the robustness of the model used. The evidence reveals that for India and Brazil, with the outbreak of COVID-19, decrease in crude oil prices and increase in volatility index, the stock returns started declining in the short run, but the impact has declined and the stock returns have regained in the long run. For China, due to the outbreak of COVID-19 and increase in fear index, stock returns declined in the short run, but the Chinese economy has recovered well due to a strong industrial and services sector. For Russia, increase in deaths due to COVID and decline in oil prices has impacted the stock returns in the long- and short run. Due to a decline of 53% for crude oil prices from January 2020 to May 2020, the Russian economy would face the consequences in the long run as well. The results suggest that though BRIC countries were impacted by growth in COVID-19 deaths, but the recovery trajectory and stability has resumed for all countries except Russia. Results of Granger Causality indicate a bidirectional causality between VIX and stock returns for the Indian market.

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Section: Review Of Literaturementioning

confidence: 99%

Comovement of Fear Index, Stock Returns, Brent Oil Prices in BRIC Countries: The Case of COVID-19

Sharma

Malik²

2022

The Indian Economic Journal

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Economic policy uncertainty, sentiment and Brazilian stock market performance

Bitencourt,

Iquiapaza

2024

Rev. contab. finanç.

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The aim of this article was to investigate the causal relationships between economic policy uncertainty, investor sentiment, and the performance of the Brazilian market, while taking into account the presence of asymmetries and both short- and long-term cointegration. In market dynamics, it is expected that economic policy uncertainty, investor sentiment, and market performance will show some degree of relationship. In the Brazilian context, the analysis of these three variables has not been carried out, especially considering their assymmetric interrelations and the behavior of the relationships in the short and long term simultaneously. Understanding these relationships is important because it allows agents to know the potential impacts that these variables have on each other, which will facilitate informed decision-making among the involved parties. The results obtained are relevant for investment strategies, as informed investors will direct their decisions towards minimizing their exposure to market fluctuation, based on identified causal relationships and anticipating potential market movements. Utilizing a nonlinear autoregressive distributed lag model, the study showed that the relationships between investor sentiment, economic policy uncertainty, and stock market performance are more complex than suggested by previous studies applied to the Brazilian market. We identified asymmetric short- and long-term relationships not previously observed.

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A incerteza da política econômica, sentimento e o desempenho do mercado de ações brasileiro

Bitencourt,

Iquiapaza

2024

Rev. contab. finanç.

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Resumo O objetivo deste artigo foi investigar as relações causais entre incerteza da política econômica, sentimento do investidor e desempenho do mercado brasileiro, levando em consideração a presença de assimetrias e cointegração de curto e longo prazo. Na dinâmica do mercado, espera-se que a incerteza da política econômica, o sentimento do investidor e o desempenho do mercado apresentem algum grau de relacionamento. No contexto brasileiro, a análise dessas três variáveis não foi realizada, especialmente considerando inter-relações assimétricas e o comportamento das relações no curto e longo prazo simultaneamente. Compreender essas relações é importante porque permite aos agentes conhecer os impactos potenciais que essas variáveis têm entre si, o que facilitará na tomada de decisão informada entre as partes envolvidas. Os resultados obtidos são relevantes para estratégias de investimento, uma vez que investidores informados direcionarão suas decisões para minimizar sua exposição à flutuação do mercado, com base nas relações causais identificadas e antecipando possíveis movimentos de mercado. Utilizando um modelo autorregressivo distribuído não linear, o estudo mostrou que as relações entre o sentimento do investidor, a incerteza da política econômica e o desempenho do mercado de ações são mais complexas do que sugerido por estudos anteriores aplicados ao mercado brasileiro. Identificamos relações assimétricas de curto e longo prazo não observadas anteriormente.

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Study on the relationship between the IVol-BR and the future returns of the Brazilian stock market,

Cited by 4 publications

References 27 publications

Comovement of Fear Index, Stock Returns, Brent Oil Prices in BRIC Countries: The Case of COVID-19

Comovement of Fear Index, Stock Returns, Brent Oil Prices in BRIC Countries: The Case of COVID-19

Economic policy uncertainty, sentiment and Brazilian stock market performance

A incerteza da política econômica, sentimento e o desempenho do mercado de ações brasileiro

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