Influence of Intraday International Oil Price in Petrobras’ Stocks

Danilo Braun Santos, Edimilson Costa Lucas, Vinicius Augusto Brunassi Silva and Bruno Nunes Medeiro

Journal of Financial Innovation, 2015, vol. 1, issue 1, 2

Abstract: Objective. This paper aims to assess causality between the Petrobras’ stocks (PETR4) with the future market for oil (CL1) and the S&P 500 futures. Methodology. We use the vector autoregression (VAR) and vector error correction (VEC) for describing the structure of interdependence between variables. Findings. The causality tests indicated that the commodity oil and the North American stock index Granger cause PETR4. We found that a VAR(1) model is the most appropriate to capture the cross effect between variables. Finally, the tests indicated that the model of type VEC improves predictions for PETR4 and CL1 variables. Limitations. Despite using a large volume of intraday information, data refer to only six months of observations, which can bias the results. Originality/Value. Under the authors’ knowledge, this is a pioneering study about relationships between these assets.

Keywords: arbitrage; VAR; VEC; PETR4; SP1; CL1. (search for similar items in EconPapers)
Date: 2015
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