Sánchez Arévalo, J. L., Moreira de Sousa, G., & Malta Meurer, R. (2022). Causal effect between the Ibovespa stock market and Shanghai, S&P500, Merval and Nikkei indicators. Cuadernos de Economía

ABSTRACT

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. © 2023, Cuadernos de Economia (Colombia). All Rights Reserved.