Do Political News Affect Financial Market Returns? Evidences from Brazil

Thales Batiston Marques and Nelson Seixas dos Santos

MPRA Paper from University Library of Munich, Germany

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.

Keywords: Political Events; Financial Markets; Information; GARCH. (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
Date: 2016-10
New Economics Papers: this item is included in nep-pol
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Published in International Journal of Management, Accounting and Economics 10.3(2016): pp. 545-571

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:75530

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