Analysing the changing relationship between the Brazilian stock market and global economic indicators

Davey, Paul Philip (2007) Analysing the changing relationship between the Brazilian stock market and global economic indicators. [Dissertation (University of Nottingham only)] (Unpublished)

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Abstract

This study investigates the relationship between the Brazilian stock market and four independent variables, specifically the US stock market, the Mexican stock market, the exchange rate of the US dollar in terms of Brazilian Real and oil prices. Graphical illustrations of the movement between the Ibovespa and each independent variable were used to identify ten sub periods where the relationship was believed to have changed in some way.

A preliminary multiple regression analysis found that changes in all of these independent variables with the exception of oil prices are significant in explaining changes in the principal Brazilian stock index, the Ibovespa. Further simple regressions were run between the Ibovespa and each independent variable for each sub period. Some evidence in favour of a non constant relationship was discovered.

This study also suggested that whilst a relationship appears to exist between the Ibovespa and these variables, the nature of this relationship is not consistent and is in fact changing through time. Tests were conducted using a CUSUM technique to identify when structural breaks in these relationships occurred, however this technique proved to be unreliable for this purpose leading to the conclusion that a more sophisticated technique is required in order to identify when the relationships are breaking down.

Item Type: Dissertation (University of Nottingham only)
Keywords: Brazilian stock market, Bovespa, Bolsa, S&P 500, Oil prices, CUSUM
Depositing User: EP, Services
Date Deposited: 06 Mar 2008
Last Modified: 19 Oct 2016 20:26
URI: http://eprints.nottingham.ac.uk/id/eprint/21331

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