An Econometric Model of the Brazilian Stock Market

16 Pages Posted: 20 Apr 2005

Date Written: December 7, 2005

Abstract

The paper documents the specification and estimation of an econometric model of the Brazilian stock market (Bovespa) using a GARCH(1,1) model. We used quarterly data for an estimation period spanning from January 1995 to December 2003. The empirical results show that GDP growth, exchange-rate devaluations and international stock markets affect positively the Brazilian stock market, whereas the domestic real interest rate and country risk have a negative impact on the country's stock market performance.

Keywords: stock market, emerging market, Brazil, Bovespa, econometric model, GARCH

JEL Classification: C10, C13, C20, C22, C50, C51, C52, G10, G14, G15

Suggested Citation

de Medeiros, Otavio Ribeiro, An Econometric Model of the Brazilian Stock Market (December 7, 2005). Available at SSRN: https://ssrn.com/abstract=701422 or http://dx.doi.org/10.2139/ssrn.701422

Otavio Ribeiro De Medeiros (Contact Author)

University of Brasilia ( email )

Campus Universitario Darcy Ribeiro
Gleba A - Reitoria
Brasilia, DF 70910-900
Brazil

HOME PAGE: http://geocities.yahoo.com.br/otaviomedeiros/index.html

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