Stock Market In Brazil Research Articles

ESG Dimensions and Corporate Value: Insights for Sustainable Investments

This study adopts an integrated approach to analyze the environmental, social, and governance (ESG) dimensions and their relationship with corporate value in terms of two separate hypotheses: financial performance and market value. While previous studies in the literature have researched ESG from an overall aspect, this study stands out by simultaneously considering all three dimensions individually, providing a holistic and detailed view of their combined impact on corporate value to obtain insights for sustainable investments. Another contribution to the literature is the best practices associated with dialogue with stakeholders, as this study significantly contributes to the ongoing debate regarding sustainable investments. It is very important to demonstrate the relationship between ESG dimensions and corporate value based on empirical evidence. Thus, this study fills a gap in the literature and offers a basis for future research on sustainable investments from a multidimensional perspective of ESG. A relevant contribution is a dataset that includes detailed information about ESG dimensions for 100 publicly listed companies on the B3 stock market in Brazil. This comprehensive research allows for a robust generalization of the results and proposes insights that can be applied in a variety of contexts, increasing the relevance and practical applicability of this paper.

A Research on the Impact of Global Stock Market Co-movement during Covid-19 Epidemic

Covid-19 has brought huge fluctuations to world economy and such volatilityis evidently indicated by global stock market. In light of econometric hypotheses, this paper explained the comovement mechanism of global stock markets, made descriptive statistical analysis to the market returns of sample countries with VAR and DCC-GARCH models, and examined the comovement of market returns. The result shows that stock market in Brazil was the most volatile among all sample countries. Meanwhile, after the outbreak, VIX and WTI’s influence on dynamic correlation coefficients increased, showing a positive and significant impact and thereby strengthening the comovement of global stock markets.  

Testing volatility and relationship among BRICS stock market returns.

BRICS economies are important in recent times because the economic growth rates will be higher than the growth rates of G-6 economies in the near future. But the year 2020 has smashed up this tendency due to volatile stock markets of BRICS economies. A detailed examination of the BRICS stock market to determine volatility and relationships since the crisis of 2020 is hardly available in the available research. With this in mind, an attempt has been made to track the stock market's volatility and relationship among the BRICS (Brazil, Russia, India, China, and South Africa) stock market return based on the daily for the period from November 18, 2019 to May 7, 2021. This study deals with the statistical test of GARCH family model and ARDL model. GARCH model shows that the stock market of Russia and India are volatile. The EGARCH model demonstrates that leverage effect exists only in the Indian stock market. ARDL test validates a long-run relationship of the stock market of Russia with China and of the Indian stock market with South Africa. ARDL test also shows a short-run relationship running from the Brazil stock market to the other select stock market, from the Indian stock market to the stock markets of Brazil and South Africa, and from the South African stock market to the Indian stock market. So it can finally be said that investors under the BRICS stock markets should design adequate measures to protect their investments by executing appropriate hedging plan.

Pandemi Döneminde Borsa Karlılığının Tahmini

This paper investigates the impact of the Covid-19 pandemic in predicting the profitability of the stock market of the ten most hit countries at the beginning of the pandemic. The study employed the Artificial Neural Network models for the analysis. Specifically, the Backward Propagation (BP) and Feed-Forward (FF) Neural Network models are used to predict the profitability of the stock market on a daily time frame. Taking Covid-19 into account, the estimation result shows that the Neural Network built is resilient in its ability to forecast the profitability of the stock market in Brazil and China. However, in the case of Germany, Russia, Turkey, and the United States, the Neural Network is partly resilient in its forecasting ability; predicted profitability deviated from the actual profitability in some of the periods. For the remaining countries in the sample, the Artificial Neural Network is found to have a weak prediction power.

The integration and efficiency of BRICS and Pakistan stock markets: An analysis using asymmetric cointegration and MF-DFA approaches

This study examines the asymmetric cointegration and efficiency between Pakistan and BRICS equity markets using monthly data from October 1997 to September 2018. The results reveal that the Brazilian stock market is the most efficient during the global financial crisis. Threshold and momentum threshold autoregressive models (TAR and M.TAR) confirm the presence of a long-run relationship between BRICS and Pakistan stock markets, where the speed of negative shocks is higher and significant for Pakistan Russian, Pakistan South Africa stock market pair. This infers quick adjustment of stock prices to negative shocks (bad news) as compared to positive shocks (good news). The speed of adjustment of positive shocks for Pakistan China is higher. The results of asymmetric error correction model (AECM) show results of unidirectional causality between Pakistan China and Pakistan Brazil stock market pairs, while bidirectional causality runs from Pakistan Russia, Pakistan India, and Pakistan South Africa stock market pairs. Thus the Pakistan stock market has short-run and long-run relationships with most other stock markets. Multi-fractal detrended fluctuation analysis supports long run efficiency of Brazilian markets during the global financial crisis. It suggests that investors pay keen attention to the Pakistan stock market when investing in BRICS stock market.

Emerging Stock Markets Reaction to COVID-19: Can Cryptocurrencies be a Safe Haven

In this study we discuss the determinants of the BRICS and GCC stock market returns during the COVID-19 outbreak. We employ the OLS regression to discern how crypto-currencies, VIX, oil, GOLD prices, and the number of COVID-19 cases and deaths, affect the Gulf and BRICS stock markets. We find that Bitcoin and Ethereum can generate benefits from portfolio diversification and hedging strategies but not from safe haven strategies for Russia, Brazil, Abu-Dhabi, Bahrain, and Qatar financial investors during the COVID-19 outbreak. Our results reveal that Gold is neither hedge nor a safe haven but is only an effective diversifier for investors during the COVID- 19 outbreak. The results indicated that among all the BRICS and GCC stock indexes, the expected volatility of the US stock market has an effect only on china and Kuwait financial markets. Finally, our results show that the growth rate of confirmed COVID-19 cases has a negative impact only on South Africa and Brazil stock market.

Return and Volatility Transmission between World-Leading and Latin American Stock Markets: Portfolio Implications

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets (USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of the Chinese stock market of 2015. Regarding return spillover, our findings reveal a unidirectional return transmission from Mexico to the US stock market during the global financial crisis. During the crash of the Chinese stock market, the return spillover is found to be unidirectional from the US to the Brazil, Chile, Mexico, and Peru stock markets. Moreover, the results indicate a unidirectional return transmission from China to the Brazil, Chile, Mexico, and Peru stock markets during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results show the bidirectional volatility transmission between the US and the stock markets of Chile and Mexico during the global financial crisis. During the Chinese crash, the bidirectional volatility transmission is observed between the US and Mexican stock markets. Furthermore, the volatility spillover is unidirectional from China to the Brazil stock market during the global financial crisis. During the Chinese crash, the volatility spillover is bidirectional between the China and Brazil stock markets. Lastly, a portfolio analysis application has been conducted.

Market Impact: Evidence From the Brazil Stock Market

Market impact risk is a specific type of liquidity risk. It describes the risk of not being able to execute a trade at the currently quoted price because this trade feeds back in an unfavorable manner on the underlying price. This makes market impact modeling a fascinating and active research agenda from a mathematical point of view. Moreover, market impact models are often used in practical applications and it would be desirable to gain a better understanding of their behavior and their stability. Supported by the international empirical evidence, the continuous-time version of the propagator model, discussed by Gatheral (2010), is applied to Brazil stock market. The main finding, based on the False Discovery Rate (FDR), support the adoption of the square-root law of price impact.

Does corporate governance matter for stock returns volatility in the Brazilian context?

PurposeThis paper aims to examine the Brazilian stock market behavior and volatility term structure of two portfolios that, theoretically, the companies that comprise them have different degrees of idiosyncratic risk: one portfolio consists of firms with good corporate governance and the other comprises firms with poor corporate governance.Design/methodology/approachThe sample comprises corporate firms listed in the Brazilian stock market during the period from January 2008 to December 2017. Generalized autoregressive conditional heteroskedasticity models were applied.FindingsThe results show that the portfolio of firms with good corporate governance practices presents fluctuations that are more often temporary and reactive, with trends’ persistence of shorter durations, when considering the punctual volatility of the parameters estimated. This opposed expectation that the portfolio comprised of companies with good governance practices are better protected from short-term movements. However, over time and with standard error measures in consideration, both portfolios’ volatilities behave in similar ways. These findings may be related to Brazilian market characteristics, such as ownership concentration, ineffective corporate boards and the ever-developing nature of the stock market in Brazil. Any one of these characteristics present challenges to effective enforcement of the corporate governance practices in the Brazilian context.Originality/valueThe findings are potentially to the interest of researchers and practitioners for several reasons. First, this paper contributes to the growing literature on the relationship between corporate governance and market volatility. Second, it informs that volatility in the Brazilian context is likely only partially, if at all, influenced by corporate governance practices. Third, longitudinally, both indices follow the same pattern and converge to the same place.

Determinants of the Brazilian Stock Market Development

It has become well-known now that stock markets play a key role in stimulating economic growth process. As economists and politicians alike, battle in finding ways of growing economies, it becomes imperative to establish the drivers of stock market development as they have an ultimate bearing on the stimulants of economic growth. In recent years, studies on the stock market determinants have sprung up, however, with results far from being conclusive. What turned out to be determinants in one study may not be in another study. Therefore, in this paper, we examine the key determinants of stock market development in Brazil using annual time-series data spanning from 1980 to 2016. The study was motivated by the growing important role of stock market development in economic development, on the one hand, and the conflicting findings on the determinants of stock market development, on the other hand; coupled with little to no study coverage of the topic on Brazil. Unlike some previous studies that used cross-sectional data, the current study has used time-series techniques that take into consideration the Brazilian country-specific issues. Furthermore, the current study has also employed the ARDL bounds testing procedure to determine the determinants of stock market development in Brazil. This procedure is well known for its superior small sample properties; hence it is considered more suitable for this study. The results of the study reveal that the stock market development in Brazil is positively determined by trade openness, banking sector development and exchange rate, irrespective of whether the analysis is done in the long run or in the short run. Contrary to the results of some previous studies, investment and stock market liquidity are found to have a negative influence on the development of stock market in Brazil – both in the long run and in the short run. The study, therefore, recommends that policies that favour international trade, bank-based financial sector development and exchange rate stability should be pursued in Brazil, as this would translate into further stock market development.

Return Volatilities of U.S., U.K. and Australian Stock Markets on the Influence of Brazil Stock Markets

This paper proposes a three variable’s double threshold-GRACH model, and uses this model to discuss U.S., U.K. and Australian stock return volatilities on the influence of the Brazil’s stock market. The empirical result demonstrates that the three variable’s double threshold-GARCH(1, 1) model is indeed appropriate, and also the response to the Brazil stock market has an asymmetrical effect. The empirical result also shows the different influence of the good news and the bad news on the eight kinds of the proposed model. Therefore, the information of U.S., U.K. and Australian stock return volatilities is able to affect the Brazil stock market returns’ volatility.

Análise da eficácia da variância e de medidas Downside Risk para formação de carteiras

O objetivo deste artigo é analisar a eficácia da variância e de medidas de downside risk para formação de carteiras de investimentos no mercado de ações brasileiro. Utilizando as metodologias de Ang (1975), Markowitz et al. (1993), Ballestero (2005), Estrada (2008) e Cumova e Nawrocki (2011), foi verificado qual o melhor método para resolução do problema de matriz assimétrica e endógena e, inspirando-se nos trabalhos de Markowitz (1952) e Lohre, Neumann e Winterfeldt (2010), foi constatada qual métrica de risco é mais indicada para a realização da alocação mais eficiente dos recursos disponíveis no mercado acionário do Brasil. A amostra utilizada foi composta pelas ações do IBrX 50, no período de 2000 a 2013. Os resultados indicaram que, ao empregar a semivariância como medida de risco assimétrico, caso o investidor possua meios para utilizar modelos mais requintados para resolução do problema da matriz de semivariância-cosemivariância assimétrica, será mais eficaz o modelo de Cumova e Nawrocki (2011). Além disso, a partir dos dados brasileiros, o VaR apresentou-se mais eficaz do que a variância e outras medidas de downside risk no que tange à minimização do risco de perda. Assim, dada a premissa de que o investidor possui preferências assimétricas em relação ao risco, a formação de carteiras de ações no mercado brasileiro é mais eficiente ao se utilizar critérios de minimização de downside risk do que a abordagem tradicional de média-variância.

Análise da Alíquota Efetiva de Tributos Sobre o Lucro no Brasil: Um Estudo com foco na ETRt e na ETRc

Esse estudo teve como objetivo analisar a alíquota efetiva de tributos sobre o lucro de empresas de capital aberto atuantes no Brasil no período de 2003 e 2013, tanto em relação à alíquota efetiva total (ETRt) quanto à alíquota efetiva corrente (ETRc), buscando verificar indícios da presença de gerenciamento tributário. Esta análise consiste em (i) avaliar se a alíquota média apresenta uma carga superior, igual ou inferior à nominal de 34%; (ii) verificar se a ETR sofreu influência dos ajustes do RTT decorrente da introdução dos IFRS; (iii) identificar proxies (tamanho, rentabilidade, índice de estoques, índice de imobilizado, endividamento, despesas tributárias diferidas) que possam explicar a variação da ETR. De maneira geral, os resultados mostraram que: (i) as empresas apresentam uma ETR significativamente menor que a alíquota prevista na legislação; (ii) no período de adoção plena dos IFRS as empresas apresentaram uma ETR inferior; (iii) a ETR possui relação com tamanho (negativa), endividamento (positiva) e componentes do ativo (positiva); e (iv) há indicação de diferimento de tributos considerando-se o sinal negativo de tributos diferidos em relação à ETRc. Os resultados confirmam a prática de gerenciamento tributário e demonstram também que os ajustes decorrentes do RTT implicaram em uma carga fiscal menor, corroborando estudos anteriores que estimaram lucros menos conservadores após o início do processo de convergência. Finalmente, observou-se que empresas de maior porte apresentam menor carga fiscal e que em geral as empresas adotam escolhas que permitem o diferimento dos tributos sobre o lucro.

The Contagion Effect of the Subprime Crisis in the Brazilian Stock Market

Oscillations in the financial market during the subprime crisis brought about a rise in volatility and fall of the prices of assets, in addition to increasing the degree of common movements among markets. This paper surveyed the contagion effect of the international financial crisis on the indices of Brazil's stock market, from the study of the pattern of alterations of the correlations estimated between indices of Brazilian and American stock market. The empirical analysis was based on the multivariate GARCH - BEKK models. The results showed that the structure of the estimated correlations between the years 2007 and 2010, showed clear evidence of contagion in the indices at issue. In the period of the international financial crisis, there was an increase of the correlation between the indices of the U.S. and Brazilian markets, such a result being corroborated by the structural break test. The Financial Index presented the greatest percent rise in the correlation between the pre - crisis and crisis periods, reflecting the scarcity of domestic and foreign credit during the period of financial instability.

Lead-Lag Effect in the Stock Market of BRICS

Recent performance of Brazil's stock market contributed to attracting investments from various parts of the globe. This study aims to examine the lead-lag effect between the stock market of the BRICs, from March 2004 until March 2013, using the methodology proposed by Shih Chen and Hsiao (2008). Among the results the research emphasizes, we analyzed that the Brazilian market is leading others stock exchange in periods before and after the financial crisis, which the magnitude of the effect took about two days to be dissipated.

The Brazilian stock market development: A critical analysis of progress and prospects during the past 50 years

This paper highlights the origin of the stock market in Brazil, and traces the reforms that have been undertaken to develop the stock market. It also highlights the growth of the Brazilian stock market, as well as the challenges currently facing the market. The country has one big stock market, known as the BM&FBOVESPA, which is one of the world’s largest stock markets. Over the years, a number of stock market reforms have been implemented in Brazil. Among these reforms have been the restructuring of the financial market, the replacement of the traditional trading systems by full electronic trading systems, the enactment of new laws governing the stock market, as well as the revision of the existing laws. In addition, the formation of a regulatory body known as Securities and Exchange Commission (CVM) in 1976 also assisted in the creation of an environment conducive for the growth and development of the stock market. Since the implementation of these reforms, the Brazilian stock market has developed significantly in terms of market capitalisation, the total value of stocks traded, and the turnover ratio.

Prediction of assets behavior in financial series using machine learning algorithms

The prediction of financial assets using either classification or regression models, is a challenge that has been growing in the recent years, despite the large number of publications of forecasting models for this task. Basically, the non-linear tendency of the series and the unexpected behavior of assets (compared to forecasts generated in studies of fundamental analysis or technical analysis) make this problem very hard to solve. In this work, we present for this task some modeling techniques using Support Vector Machines (SVM) and a comparative performance analysis against other basic machine learning approaches, such as Logistic Regression and Naive Bayes. We use an evaluation set based on company stocks of the BVM&F, the official stock market in Brazil, the third largest in the world. We show good prediction results, and we conclude that it is not possible to find a single model that generates good results for every asset. We also present how to evaluate such parameters for each model. The generated model can also provide additional information to other approaches, such as regression models.

Private contracting and corporate governance: Evidence from the provision of tag-along rights in Brazil

We identify two opposing effects of issuing equity with tag-along rights that secure an equal price in the event of a takeover. First, the anti-self dealing effect commits controlling owners to sell only to new owners that increase shareholder value. Second, the rent transfer effect shifts rents to existing unprotected minority owners. The institutional setting in Brazil's stock market allows us to test this trade-off. We find that announcements of tag-along rights are associated with an average cumulative abnormal return of around 5%, and that the probability of issuing shares with tag-along rights increases with the cost of self-dealing and decreases in the share of existing unprotected minority investors. Overall, our analysis confirms that private contracting can mitigate the economic costs associated with the inadequate legal protection of investors in emerging markets.

Long-range correlations and nonstationarity in the Brazilian stock market

We report an empirical study of the Ibovespa index of the São Paulo Stock Exchange in which we detect the existence of long-range correlations. To analyze our data, we introduce a rescaled variant of the usual detrended fluctuation analysis that allows us to obtain the Hurst exponent through a one-parameter fitting. We also compute a time-dependent Hurst exponent H( t) using 3-year moving time windows. In particular, we find that before the launch of the Collor Plan in 1990 the curve H( t) remains, in general, well above 1 2 , while afterwards it stays close to 1 2 . We thus argue that the structural reforms set off by the Collor Plan has lead to a more efficient stock market in Brazil. We also suggest that the time dependence of the Ibovespa Hurst exponent could be described in terms of a multifractional Brownian motion.