Evaluating stock exchange volatility in Brazil after its upgrade to investment grade.

Authors

  • Bruno Maia Cavalcante FUNCEF
  • Ronald Otto Hillbrecht UFRGS

Keywords:

Ideologia. Futebol. Consumo. Torcedor. Dominação.

Abstract

International evidence show that emerging countries upgraded to investment grade (IG) presented stock exchange volatility mitigation. This article evaluates volatility path of Ibovespa after Brazil´s upgrade to IG to confront with international evidence. It´s utilized TGARCH and EGARCH models to estimate conditional volatility of Ibovespa and MSCI Emerging Markets, this selected as benchmark. Results obtained are compatible with international evidence: it was observed considerable decrease of absolute and relative volatility of Ibovespa in the period of six years after investment grade was granted to Brazil. On the other hand, from 2012 on it was observed a reversal path of Ibovespa´s volatility mitigation process while macroeconomic fundaments started to deteriorate in Brazil driving to IG loss by two agencies in 2015. 

Author Biographies

  • Bruno Maia Cavalcante, FUNCEF

    Masters degree in Applied Economics at Universidade Federal do Rio Grande do Sul (UFRGS). 

    Senior Economist at FUNCEF.

  • Ronald Otto Hillbrecht, UFRGS

    PhD in Economics at University of Illinois.

    Professor and Researcher at Universidade Federal do Rio Grande do Sul (UFRGS).

Downloads

Additional Files

Published

2016-06-29

Issue

Vol. 15 No. 2 (2015)

Section

Artigos

License

The submission of a manuscript authorizes its publication by the Brazilian Journal of Business Economics/Revista Brasileira de Economia de Empresas and implies that it refers to original work, which is not currently submitted to any other journal. It is forbidden any reproduction, partial or total, by any other media, either press or digital, of the published papers. In this case, previous and necessary authorization must be requested. In case it is obtained, one must include a formal acknowledgement to the BJBE/RBEE, which is the first publisher of the paper. The BJBE/RBEE does not pay any copyright to the authors of published papers.

Copyright and Licensing

The copyrighter of the BJBE/RBEE is the Editora Universa of the Universidade Católica de Brasília.

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

Submitting an article authorizes its publication and implies a commitment that the same material will not be submitted to another journal.

The journal does not pay royalties to the authors of published articles.