Impacto das incertezas político-econômicas na volatilidade das ações da Petrobras

Abstract

The present paper is concerned with finding an indicator that can provide plausible evidence that facts external to Petrobras operational management are fundamental to explain the behavior of the price, and consequently the volatility, of its shares. The external factors here analyzed are political-economic uncertainties. First of all, it is necessary to identify which model can best represent the volatility of Petr4 and then, to verify if these uncertainties, national and international, have an effective impact on the risk of investing in Petrobras shares. The literature shows that conditional heterocedasticity models are the ones that best achieve this function of estimating volatility. For this paper, the GARCH model was able to represent the volatility of Petr4 and the Ibovespa index, taking into account the significance of the coefficients and the parsimony of the model. It was verified that in the moment of most economic uncertainty of the last years, both the volatility of Ibovespa and Petr4 walked in the same direction, and that one functioned as a good explanatory variable for this one. But in the biggest moments of political uncertainty, notably after the 2014 elections and early 2016, the volatility of Ibovespa could not satisfactorily explain the volatility of Petr4, which by the way, was much higher. This shows that these political uncertainties affected Petrobras much more than the stock market itself.