Impacto da incerteza polítca-econômica sobre os índices setoriais da bolsa de valores brasileira no período de 2006 a 2017

Abstract

Uncertainty in economic policy is expressed in the stock market in the vast majority of cases as an insecurity that investors and analysts hold regarding government actions. For this reason, during the investment analysis process many variables are used to optimize the performance of the portfolio to be chosen in order to balance the risk and return expected by the investors. Therefore, it is necessary to observe the degree of influence that the political economic uncertainty exerts on the assets, and it must be measured and used as a parameter for analysis and formulation of portfolios. In order to demonstrate how these relations occurs, the index of this parameter was estimated and later study using VAR models with the sectoral indexes of the Brazilian stock exchange (currently B3 S / A- Brasil, Bolsa, Balcão). And for comparison purposes, the relations between these sector indices and the index Ibovespa, their volatility and the index uncertainty in the economy were also estimated. The results obtained corroborate the existence of the influence of this variable in question on the sectoral indexes used, being therefore a parameter that should be used in the analysis of investments.