INFLUENCE OF THE ELECTORAL CALENDAR ON THE BRAZILIAN SHARE MARKET

Authors

• ARI F ARAUJO JUNIOR Ibmec Minas
• Leandro Nunes Moreira
• Eduardo Senra Coutinho Ibmec Minas
• Cláudio D. Shikida PPGOM/UFPel

DOI:

https://doi.org/10.17058/cepe.v0i44.7300

Keywords:

Ciclos políticos, Calendário eleitoral, Risco e retorno

Abstract

This study aims to test the influence of political cycles in the Brazilian stock market. The variables are returns (nominal and real) returns and risk (nominal and real) risk . Our selected assets were Ibovespa, PETR4 (Petrobrás) and Elet6 (Eletrobrás), with the daily data of the period between 1995 and 2010. The method used was OLS with dummy variables - (to capture the immediate effects of the electoral calendar and differences due to the president in power), and time trends - (to capture changes over presidential the terms). The main results are: higher volatility for the examined assets during the Cardoso administration than during the Lula administration; the assets of the two state owned enterprises (SOEs) are more susceptible to influences generated by the political variables of the models; markets reacts to the outcome, or likely outcome, elections immediately and not gradually over the mandates. In general, the results indicate that political cycles influence risk and returns in the Brazilian stock market.