Market Reaction and Volatility in the Brazilian Stock Market

Otavio De Medeiros () and Alberto Shigueru Matsumoto
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Alberto Shigueru Matsumoto: Fundacao Visconde de Cairu, Brazil

Finance from University Library of Munich, Germany

Abstract: We perform an event study to investigate stock returns associated to the announcement of equity issues by Brazilian firms between 1992 and 2003 aiming to determine the market reaction before, during, and after the issue announcement. After measuring abnormal returns by OLS, we used ARCH and GARCH models over 70% of the sample. The results show signs of insider information, negative abnormal returns around the announcement, and persistent negative abnormal returns in the long-term after the issue. The results are consistent with the extant empirical literature and show that ARCH/GARCH estimation of abnormal returns is superior to OLS estimation.

Keywords: Brazilian stock market; event study; market reaction; GARCH (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
Pages: 13 pages
Date: 2004-12-15
New Economics Papers: this item is included in nep-cfn, nep-fin and nep-fmk
Note: Type of Document - pdf; pages: 13
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0412020

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