Análise de correlação entre os índices de mercados financeiros mundiais

Abstract

The paper aims to analyze how the stock exchange indices behave, the correlations among them and which markets influence each other. Especially, how Ibovespa relates to the other stock exchange markets. The research period selected was between 1997 and 2019, because during this period there were crises in some economies that affected the world economy. In this study the Vector Autorregressive Model was used, because this model can better explain the multivariate environment. The choice of VAR resulted in stationarity verify. Subsequently, the Granger causality test was used to verify the correlation among the indices and also the variance decomposition was used to reinforce the results obtained by this test and to measure the magnitude of the impacts and the persistence of the influences over the stock exchange markets. Finally, the work evidenced the US market indices was the one that most influenced the world stock exchange market, including the Brazilian one, which demonstrates the dependence of the Brazilian market on the world market. Another result obtained was the relationship between Ibovespa and Merval. The Ibovespa index has explanatory power over the argentine index.