Resumo

SANCHEZ AREVALO, Jorge Luis; MOREIRA DE SOUSA, Gabriela  e  MALTA MEURER, Rodrigo. Causal effect between the Ibovespa stock market and Shanghai, S&P500, Merval and Nikkei indicators. Cuad. Econ. [online]. 2022, vol.41, n.87, pp.457-479.  Epub 24-Jan-2023. ISSN 0121-4772.  https://doi.org/10.15446/cuad.econ.v41n87.89520.

This paper analyzes the causal relationship between the Brazilian stock market indicator and other stock exchange indicators. Specifically, the study time incorporates the world crisis caused by the covid-19 and the war over the price of oil. Were used the differentiated series considering the existence of a unit root, the VAR and Granger Causality models were subsequently estimated. The results show that the causality between the Ibovespa with the S&P500 and Nikkei is bidirectional. These results are consistent when relating the degree of commercial exchange and the origin of foreign investment in Brazil.

Palavras-chave : Time series; Granger's Causality; stock exchanges; trade flow; Brazil.

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