Macroeconomic and Financial Variables’ Influence on Brazilian Stock and Real Estate Markets: A Comparative Analysis in the Period from 2015 to 2019 — Oak Academic Publishing
Research ArticleOpen AccessGoogle Scholar indexed
Macroeconomic and Financial Variables’ Influence on Brazilian Stock and Real Estate Markets: A Comparative Analysis in the Period from 2015 to 2019
Mackenzie Presbyterian University, São Paulo, Brazil
,
Mackenzie Presbyterian University, São Paulo, Brazil
,
FGV, São Paulo, Brazil
,
Mackenzie Presbyterian University, São Paulo, Brazil
1 Mackenzie Presbyterian University, São Paulo, Brazil
2 Mackenzie Presbyterian University, São Paulo, Brazil
3 FGV, São Paulo, Brazil
4 Mackenzie Presbyterian University, São Paulo, Brazil
Numerous studies have sought to investigate the relationship between macroeconomic variables and financial market evolution. Such analyses, however, have focused on the stock market. The present research, as a distinction, included the index of real estate funds (IFIX) in its approach. In this context, the study comparatively analyzed the impact of macroeconomic indicators (interest rates, inflation, industrial production, and the exchange rate) and financial indicators (the S&P 500 and the oil price) on the Ibovespa and the IFIX from January 2015 to December 2019. This period was chosen due to the peculiar characteristics of the resumption of economic growth after the 2014-2016 recession in the context of changes in the degree of intervention in the economy. The research addressed the historical evolution of stock and real estate fund indices, such as the Ibovespa and the IFIX, respectively, which showed a positive trajectory, especially from 2016 onward. To achieve its objective, the research applied the vector with error correction (VEC) econometric model to determine whether there is a possibility of diversification between the two markets. Among the results obtained were relatively convergent behavior of the Ibovespa and the IFIX in the face of macroeconomic and financial shocks, according to the impulse response functions of the estimated econometric model, which prevents diversification between the two markets.
Ajayi, R. A., Friedman, J., & Mehdian, S. M. (1998). On the Relationship between Stock Returns and Exchange Rates: Tests of Granger Causality. Global Finance Journal, 9, 241-251. https://doi.org/10.1016/S1044-0283(98)90006-0
Akaike, H. (1974). A New Look at the Statistical Model Identification. IEEE Transactions on Automatic Control, 19, 716-723. https://doi.org/10.1109/TAC.1974.1100705
Anbima (2020). Anbima-Associação Brasileira das Entidades dos Mercados Financeiro e de Capitais. https://www.anbima.com.br
Basher, S. A., Haug, A. A., & Sadorsky, P. (2012). Oil Prices, Exchange Rates and Emerging Stock Markets. Energy Economics, 34, 227-240. https://doi.org/10.1016/j.eneco.2011.10.005
Bilson, C. M., Brailsford, T. J., & Hooper, V. J. (2001). Selecting Macroeconomic Variables as Explanatory Factors of Emerging Stock Market Returns. Pacific-Basin Finance Journal, 9, 401-426. https://doi.org/10.1016/S0927-538X(01)00020-8
Caselani, C. N. (2005). O efeito de determinantes microeconômicos e conjunturais sobre a volatilidade dos retornos das principais ações negociadas no Brasil. Doctoral Thesis, Getúlio Vargas Foundation.
Caselani, C. N., & Eid Junior, W. (2008). A influência dos determinantes microeconômicos e macroeconômicos sobre a volatilidade das ações negociadas no Brasil. In V EncontroBrasileiro de Finanças (pp. 1-21). SBFIN.
Chen, N.-F., Roll, R., Ross, S. A. (1986). Economic Forces and the Stock Market. Journal of Business, 59, 383-403. https://doi.org/10.1086/296344
Cusinato, R. T., Minella, A., & Pôrto Júnior, S. d. S. (2013). Produção Industrial no Brasil: Uma análise de dados em tempo real. Economia Aplicada, 17, 49-70. https://doi.org/10.1590/S1413-80502013000100003
Costa Júnior, N. C. A. d. (1990). Sazonalidades do IBOVESPA. Revista de Administração de Empresas, 30, 79-84. https://doi.org/10.1590/S0034-75901990000300008
Da Silva, F. M., & Arruda Coronel, D. (2012). Análise da causalidade e cointegração entre variáveis macroeconômicas e o IBOVESPA. Revista de Administração FACES Journal, 2, 31-52.
De Moraes, A. V., & Serra, R. G. (2017). Comparação do risco-retorno do IFIX com IBOVESPA, IDIV, SMLL e IMOB. Revista Resenha B3, 1, 29-37.
Grôppo, G.d.S. (2006). Relação dinâmica entre Ibovespa e variáveis de política monetária. Revista de Administração de Empresas, 46, 72-85. https://doi.org/10.1590/S0034-75902006000500006
Fama, E. F. (1970). Efficient Market Hypothesis: A Review of Theory and Empirical Work. Journal of Finance, 25, 28-30. https://doi.org/10.2307/2325486
Farber, H. S., & Hallock, K. F. (1999a). Changing Stock Market Response to Announcements of Job Loss: Evidence from 1970-1997. Industrial Relations Section Working Paper. No. 414, Princeton University.
Farber, H. S., & Hallock, K. F. (1999b). Has Employment Reductions Become Good News for Shareholders? The Effect of Job Loss Announcements on Stock Prices, 1970-1997. Working Paper No. 7295, National Bureau of Economic Research. https://doi.org/10.3386/w7295
Floros, N. I., & Tsetsekos, G. P. (1996). The Impact of Credit Line Announcements on Stock Prices: Analysis of Stated Reasons and Financial Risk. International Review of Economics and Finance, 5, 307-320. https://doi.org/10.1016/S1059-0560(96)90036-2
Frade, R. B. (2015). Avaliação da sensibilidade dos Fundos de Investimento Imobiliários à variações nas taxas de juros através da análise de componentes principais. Doctoral Thesis, Getúlio Vargas Foundation.
Funke, N., & Matsuda, A. (2006). Macroeconomic News and Stock Returns in the United States and Germany. German Economic Review, 7, 189-210. https://doi.org/10.1111/j.1468-0475.2006.00152.x
Granger, C. W., & Newbold, P. (1974). Spurious Regressions in Econometrics. Journal of Econometrics, 2, 111-120. https://doi.org/10.1016/0304-4076(74)90034-7
Grigoryev, R. (2010). The Interdependence between Stock Markets of BRIC and Developed Countries and the Impact of Oil Prices on This Interdependence. Tese de Doutorado, University of Portsmouth.
Gujarati, D. (2019). Econometria: princípios, teoria e aplicações práticas. Saraiva.
Hardouvelis, G. A. (1986). Macroeconomic Information and Stock Prices. Working Paper Series No. FB-86-13, FirstBoston.
Heaney, R., Hooper, V., & Jaugietis, M. (2002). Regional Integration of Stock Markets in Latin America. Journal of Economic Integration, 17, 745-760. https://doi.org/10.11130/jei.2002.17.4.745
Hu, Z., & Li, L. (1998). Responses of the Stock Market to Macroeconomic Announcements across Economic States. International Monetary Fund. https://doi.org/10.5089/9781451850178.001
Humpe, A., & Macmillan, P. (2009). Can Macroeconomic Variables Explain Long-Term Stock Market Movements? A Comparison of the US and Japan. Applied Financial Economics, 19, 111-119. https://doi.org/10.1080/09603100701748956
Jain, P. C. (1988). Response to Hourly Stock Prices and Trading Volume to Economic News. Journal of Business, 61, 219-231. https://doi.org/10.1086/296429
Johansen, S. (1988). Statistical Analysis of Cointegration Vectors. Journal of Economic Dynamics and Control, 12, 231-254. https://doi.org/10.1016/0165-1889(88)90041-3
Lee, W. Y., & Solt, M. E. (2001). Economic Exposure and Hysteresis: Evidence from German, Japanese, and US Stock Returns. Global Finance Journal, 12, 217-235. https://doi.org/10.1016/S1044-0283(01)00029-1
Leite, A. R., Da Costa, R. F. R., & Do Monte, P. A. (2012). Análise da causalidade entre o IBOVESPA e a taxa de câmbio em um contexto de crise. Pensamento & Realidade, 27, 5-21.
Lien, D., & Luo, X. (1994). Multiperiod Hedging in the Presence of Conditional Heteroskedasticity. The Journal of Futures Markets, 14, 927-955. https://doi.org/10.1002/fut.3990140806
Maia, P. M. S., & De Souza, R. M. (2015). Análise do mercado de fundos de investimento imobiliário negociados na Bolsa. Revista de Contabilidade do Mestrado em Ciências Contábeis da UERJ, 20, 18-36.
Marchiori, N. C. et al. (2015). Um estudo sobre a relação de risco entre os fundos de investimento imobiliário e o mercado em geral. Latin American Real Estate Society (LARES).
Maysami, R. C., & Koh, T. S. (2000). A Vector Error Correction Model of the Singapore Stock Market. International Review of Economics & Finance, 9, 79-96. https://doi.org/10.1016/S1059-0560(99)00042-8
Meurer, R. (2006). Fluxo de capital estrangeiro e desempenho do IBOVESPA. Revista Brasileira de Finanças, 4, 345-361. https://doi.org/10.12660/rbfin.v4n1.2006.1156
Mukherjee, T. K., & Naka, A. (1995). Dynamic Relations between Macroeconomic Variables and the Japanese Stock Market: An Application of a Vector Error Correction model. Journal of Financial Research, 18, 223-237. https://doi.org/10.1111/j.1475-6803.1995.tb00563.x
Orru Neto, A. (2015). Fundos de investimentoimobiliário e suascaracterísticas de hedge contra inflação no Brasil. Doctoral Dissertation, Getúlio Vargas Foundation.
Pimenta Júnior, T. (2004). Uma mensuração do fenômeno da interdependência entre os principais mercados acionários da América Latina e a Nasdaq. RAUSP Management Journal, 39, 177-185.
Pimenta Júnior, T., & Higuchi, R. H. (2008). Variáveis macroeconômicas e o IBOVESPA: Um estudo da relação de causalidade. REAd-Revista Eletrônica de Administração, Porto Alegre, 14, 296-315.
Rapach, D. E. (2001). Macro Shocks and Real Stock Prices. Journal of Economics and Business, 53, 5-26. https://doi.org/10.1016/S0148-6195(00)00037-0
Sadorsky, P. (1999). Oil Price Shocks and Stock Market Activity. Energy Economics, 21, 449-469. https://doi.org/10.1016/S0140-9883(99)00020-1
Santana, H. N., Silva, 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, 44-69. https://doi.org/10.20397/2177-6652/2018.v18i2.1224
Schwarz, G. (1978). Estimating the Dimension of a Model. Annals of Statistics, 6, 461-464. https://doi.org/10.1214/aos/1176344136
Scolese, D., Bergmann, D. R., da Silva, F. L., & Savoia, J. R. F. (2015). Análise de estilo de fundos imobiliários no Brasil. Revista de Contabilidade e Organizações, 9, 24-35. https://doi.org/10.11606/rco.v9i23.83452
Sirucek, M. (2012). Macroeconomic Variables and Stock Market: US Review. MPRA Paper 39094, University Library of Munich, Germany.
Vartanian, P. R. (2010). Choques monetários e cambiais sob regimes de câmbio flutuante nos países membros do Mercosul: Há indícios de convergência macroeconômica? Revista Economi A, 11, 435-464.
Vartanian, P. R. (2012). Impactos do índice Dow Jones, commodities e câmbio sobre o IBOVESPA: Uma análise do efeito contágio. Revista de Administração Contemporânea, 16, 608-627. https://doi.org/10.1590/S1415-65552012000400007
Vartanian, P. R., & Garbe, H. (2019). The Brazilian Economic Crisis during the period 2014-2016: Is there Precedence of Internal or External Factors? Journal of International and Global Economic Studies, 12, 66-86.