Title of article
Do Political News Affect Financial Market Returns? Evidences from Brazil
Author/Authors
Marques ، Thales Batiston Universidade Federal do Rio Grande do Sul , Santos ، Nelson Seixas dos Universidade Federal do Rio Grande do Sul
From page
545
To page
571
Abstract
This paper investigates the relation between political news and market returns. To do so we applied a Garch filter to a sample of the main Brazilian stock market index returns (Ibovespa Index) and of short-term interest rates (Selic Over and DI) which ranged from 01/02/2014 to 04/29/2016. Then we looked for periods of abnormal volatility which might be associated with political events using a parametric and a nonparametric method. Notwithstanding there were news like important politician been arrested and even speculation about the beginning of an impeachment process, we found relation between abnormal volatilities and political news only in Ibovespa returns during Presidential Elections.
Keywords
Political Events , Financial Markets , Information , GARCH
Journal title
International Journal of Management,Accounting and Economics(IJMAE)
Journal title
International Journal of Management,Accounting and Economics(IJMAE)
Record number
2592803
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