Do Political News Affect Financial Market Returns? Evidences from Brazil
Year: 2025
Type: article
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.
Authors: Batiston Marques, Thales, Seixas dos Santos, Nelson
Institution: Universidade Federal do Rio Grande do Sul
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W7102392112
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