Ibovespa’s response to the behavior of oil and ore prices during the international crisis caused by COVID-19

Jorge Luis Sánchez Arévalo (), Alisson Maxwell Ferreira de Andrade () and Elisabeth de Oliveira Vendramin ()
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Jorge Luis Sánchez Arévalo: University of Mato Grosso do Sul
Alisson Maxwell Ferreira de Andrade: University of Mato Grosso do Sul
Elisabeth de Oliveira Vendramin: University of Mato Grosso do Sul

Revista Finanzas y Politica Economica, 2023, vol. 15, issue 1, 21-43

Abstract: The systemic risk caused by COVID-19 affected all sectors of the economy, thus showing the vulnerability of some sectors in comparison to others. In this context, the supply shock experienced by the iron ore sector has drawn attention and resulted in a price increase. Linked to this, and in a negative way, oil prices fell due, among other factors, to the price war between producing countries.In this sense, this study analyses the volatility of the Brazilian stock market indicator in relation to the prices of the aforementioned products and the price of the dollar. The results show the importance of the price formation in these markets for the variation of the indicator. The appreciation of Brent oil and iron ore prices on the Dalian Commodity Exchange (DCE), in China, caused the Ibovespa indicator to move in the same direction. In addition, in statistical terms, the study highlights the great importance of the exchange rate as a determinant in the variation of the indicator and, consequently, affecting the intention to invest.

Keywords: Supply and demand shock; Brazilian market; ARDL Model; Financial markets; Econometrics (search for similar items in EconPapers)
JEL-codes: C58 G11 G15 (search for similar items in EconPapers)
Date: 2023
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