Uma aplicação do teste de quebra estrutural em regressão quantílica no value-at-risk das ações negociadas na bovespa durante o período do impeachment presidencial

Abstract

Political turbulence events trigger a series of speculations about their effects on a country’s economy. Therefore, this paper aims at measuring the impact of the impeachment of President Dilma Rouseff by investigating the presence of a structural break in the Value-at-Risk (VaR) of five companies listed on the São Paulo Stock Exchange (BOVESPA). The sample consists of weekly information from the selected companies and the Ibovespa index from January 13, 2014 to February 14, 2018. The results show the presence of a statistically significant structural change only in the quantiles of 0.25 and 0.50, in three of the five selected companies, where all of them were out of period of impeachment. On the other land, the period of the impeachment process is comprised of almost all the confidence intervals.