Avaliação de impacto do “Joesley day” sobre o risco brasil, e retorno e volatilidade do IBOVESPA utilizando a metodologia artificial counterfactual (ArCo)

Resumo

This work aims to evaluate the potential impact of the so-called “Joesley day” over the return and volatility of the Brazilian’s financial stock market, IBOVESPA and over Brazil’s sovereign CDS. To this end, the investigation sought to empirically verify if the disclosure of the recordings that pointed to a corruption crime committed by the then president Temer, was capable of altering the return and volatility and the spread of CDS in a significant way for the 32 days subsequent to the event. Therefore, synthetic control estimators based on high dimension panel data were applied on the selected data according to the ArCo methodology (Artificial Counterfactual) developed by Carvalho et al. (2018), in the period comprehended between July 2016 and June 2017. The results indicate there is no significant impact on the index return, corroborating the Efficient-Market-Hypothesis; however, the index volatility has shown significant results. Furthermore, there is evidences of a significant impact over an increase in the spread of Brazil’s sovereign CDS, which could be interpreted as an increase of protection’s cost against a credit event of the country.

Ficha do documento

Tipo

Dissertação

Ano

2020

Instituição

Fundação Getulio Vargas

Fonte

Repositório da FGV

Idioma

Português

Acesso

Acesso aberto

Identificador

oai:repositorio.fgv.br:10438/30273

Temas

EconomiaGovernança

Palavras-chave

Avaliação de ImpactoCDSIbovespaHipótese de Mercado EficienteJoesley DayArtificial Counterfactual (ArCo)Impact evaluationEfficient-market-hypothesisEconomiaBolsa de Valores de São PauloRisco (Economia)Mercado financeiroÍndices de mercado de ações