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- Title
Impactos do Índice Dow Jones, Commodities e Câmbio sobre o Ibovespa: uma Análise do Efeito Contágio.
- Authors
Vartanian, Pedro Raffy
- Abstract
The purpose of this research is to evaluate the existence of contagion effects of the Dow Jones index, commodity prices and exchange rate on the trajectory of the Bovespa index in the period 1999-2010, and analyze the long-term relationships between the variables. The theoretical framework is based on contagion effect, which occurs in the spread of market disturbances from one country to another country as discussed by Dornbusch, Park and Claessens (2000), Pericoli and Sbracia (2003), and Forbes and Rigobon (2002), as well as in empirical studies such as Lamounier and Nogueira (2007), Tabak e Lima (2003), Groppo (2006) and Pimenta (2004), among others, complete with research of the impact on commodity prices in the stock market, as can be seen in Barr and Kantor (2002). For this purpose, a cointegration test from the procedure suggested by Johansen (1991) was applied, and a vector autoregression model (VAR), initially proposed by Sims (1980) and Sims (1986), with the causality/exogeneity Granger test, was utilized. The results of Johansen cointegration test did not indicate the existence of long-term relationships between the variables. As to short-term effects, the impulse response functions showed that the Brazilian stock market index reacts positively to shocks in commodity prices and the U.S. stock market, and it demonstrates a positive reaction to currency depreciation, which suggests presence of the contagion effect.
- Subjects
DOW Jones averages; COMMERCIAL products; FOREIGN exchange rates; PRICES; SAVINGS; FINANCIAL risk; VALUE at risk; VECTOR autoregression model
- Publication
RAC: Revista de Administração Contemporânea, 2012, Vol 16, Issue 4, p608
- ISSN
1415-6555
- Publication type
Article
- DOI
10.1590/S1415-65552012000400007