Do Political News Affect Financial Market Returns? Evidences from Brazil

Batiston Marques, Thales and Seixas dos Santos, Nelson (2016): Do Political News Affect Financial Market Returns? Evidences from Brazil. Published in: International Journal of Management, Accounting and Economics , Vol. 3, No. 10 (October 2016): pp. 545-571.

Abstract

This paper investigates the relation between political news and market returns. To do so we applied a Garch filter to a sample of the main Brazilian stock market index returns (Ibovespa Index) and of short-term interest rates (Selic Over and DI) which ranged from 01/02/2014 to 04/29/2016. Then we looked for periods of abnormal volatility which might be associated with political events using a parametric and a nonparametric method. Notwithstanding there were news like important politician been arrested and even speculation about the beginning of an impeachment process, we found relation between abnormal volatilities and political news only in Ibovespa returns during Presidential Elections.

• Item Type: MPRA Paper
• Language: English
• Keywords: Political Events, Financial Markets, Information, GARCH.
• Subjects: G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading

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