The impact of Selic fluctuations on the displacement of investments in ICVM 555 funds in the period from 2016 to 2020

Detalhes bibliográficos
Autor(a) principal: Costa Ribeiro Prates, Juliana
Data de Publicação: 2023
Outros Autores: dos Santos Andrade, Neiva, Batista, Alexandre Teixeira Norberto, Pinheiro, Juliano Lima
Tipo de documento: Artigo
Idioma: por
Título da fonte: Revista Científica Hermes
Texto Completo: https://revistahermes.com.br/index.php/hermes1/article/view/673
Resumo: One of the great challenges for investors is to identify how, when, and where to invest for a greater return on the money invested and with the lowest possible risk. Following this reasoning, the objective of this paper was to identify the investment funds governed by CVM (Securities and Exchange Commission of Brazil) Instruction No. 555 that were most sensitive to Selic Rate variations in the period from January 2016 to March 2020. The oscillations in the funds are analyzed by the series that capture the displacement of investments: net fundraising, investments, redemptions, and the number of shareholders. The classification established by the Brazilian Association of Financial and Capital Markets Entities was used as a reference, among fixed income, stock, multimarket, and exchange-traded funds. The methodology relied on documental analysis of secondary data, descriptive statistics, Spearman's non-parametric correlation analysis, and Granger's causality test. The results found reveal that total net fundraising in multimarket funds, number of multimarket fund shareholders, number of foreign exchange fund shareholders, total investments in fixed income funds, total investments in multimarket funds, and total redemptions in multimarket funds are the series that are directly preceded by oscillations in the Selic rate, in the period analyzed, indicating that this could help forecast their future movements.
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spelling The impact of Selic fluctuations on the displacement of investments in ICVM 555 funds in the period from 2016 to 2020IMPACTO DE LAS FLUCTUACIONES DE SELIC EN EL DESPLAZAMIENTO DE LAS INVERSIONES EN LOS FONDOS DE INVERSIÓN ICVM 555 EN EL PERIODO 2016-2020O impacto das oscilações da Selic no deslocamento de investimentos em fundos ICVM 555 no período de 2016 a 2020fundos de investimentoinstrução nº 555 CVMcaptação líquidaBrasil causalidade de Grangerinvestment fundsinstruction 555 CVMnet capitalizationBrazilGranger causalityOne of the great challenges for investors is to identify how, when, and where to invest for a greater return on the money invested and with the lowest possible risk. Following this reasoning, the objective of this paper was to identify the investment funds governed by CVM (Securities and Exchange Commission of Brazil) Instruction No. 555 that were most sensitive to Selic Rate variations in the period from January 2016 to March 2020. The oscillations in the funds are analyzed by the series that capture the displacement of investments: net fundraising, investments, redemptions, and the number of shareholders. The classification established by the Brazilian Association of Financial and Capital Markets Entities was used as a reference, among fixed income, stock, multimarket, and exchange-traded funds. The methodology relied on documental analysis of secondary data, descriptive statistics, Spearman's non-parametric correlation analysis, and Granger's causality test. The results found reveal that total net fundraising in multimarket funds, number of multimarket fund shareholders, number of foreign exchange fund shareholders, total investments in fixed income funds, total investments in multimarket funds, and total redemptions in multimarket funds are the series that are directly preceded by oscillations in the Selic rate, in the period analyzed, indicating that this could help forecast their future movements.Uno de los grandes desafíos de los inversores es identificar cómo, cuándo y dónde invertir para obtener un mayor rendimiento del dinero invertido y con el menor riesgo posible. Siguiendo este razonamiento, el objetivo de este trabajo fue identificar los fondos de inversión regidos por la Instrucción Nº 555 de la CVM (Comisión de Valores Mobiliarios de Brasil) que fueron más sensibles a las variaciones de la Tasa Selic en el período de enero de 2016 a marzo de 2020. Las oscilaciones de los fondos son analizadas por las series que captan el desplazamiento de las inversiones: captación neta, inversiones, rescates y número de accionistas. Se utilizó como referencia la clasificación establecida por la Asociación Brasileña de Entidades del Mercado Financiero y de Capitales, entre fondos de renta fija, de acciones, multimercado y cotizados. La metodología se basó en el análisis documental de datos secundarios, la estadística descriptiva, el análisis de correlación no paramétrica de Spearman y la prueba de causalidad de Granger. Los resultados encontrados revelan que la captación neta total en fondos multimercado, el número de partícipes en fondos multimercado, el número de partícipes en fondos de divisas, las inversiones totales en fondos de renta fija, las inversiones totales en fondos multimercado y los reembolsos totales en fondos multimercado son las series que están directamente precedidas por las oscilaciones de la tasa Selic, en el periodo analizado, lo que indica que esto podría ayudar a prever sus movimientos futuros.Um dos grandes desafios para os investidores é identificar como, quando e onde investir para um maior retorno do dinheiro aplicado e com menor risco possível. Seguindo esse raciocínio o objetivo deste trabalho foi identificar os fundos de investimentos regidos pela instrução nº 555 da CVM (Comissão de Valores Mobiliários) que foram mais sensíveis às variações da Taxa Selic no período de janeiro de 2016 a março de 2020. As oscilações nos fundos são analisadas pelas séries que captam o deslocamento dos investimentos: captação líquida, aplicações, resgates e número de cotistas. Utilizou-se como referência a classificação estabelecida pela Associação Brasileira das Entidades dos Mercados Financeiros e de Capitais, entre fundos de renda fixa, fundo de ações, multimercado e cambial. A metodologia contou com análise documental dos dados secundários, estatística descritiva, análise de correlação não paramétrica de Spearman e teste de causalidade de Granger. Os resultados encontrados revelam que a captação líquida total dos fundos multimercado, número de cotistas dos fundos multimercado, número de cotistas do fundo cambial, total de aplicações em fundo de renda fixa, total de aplicações em fundos multimercado e total de resgates em fundos multimercado são as séries que são diretamente precedidas por oscilações na taxa Selic, no período analisado, indicando que esta poderia auxiliar na previsão dos seus movimentos futuros.  Fernando de Almeida Santos2023-10-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://revistahermes.com.br/index.php/hermes1/article/view/67310.21710/rch.v34i1.673Revista Científica Hermes; v. 34 (2023): outubro 2023 a março 2024; 243-266Revista Cientí­fica Hermes ; Vol. 34 (2023): outubro 2023 a março 2024; 243-266Revista Científica Hermes ; Vol. 34 (2023): outubro 2023 a março 2024; 243-2662175-055610.21710/rch.v34i1reponame:Revista Científica Hermesinstname:Instituto Paulista de Ensino (FIPEN)instacron:FIPENporhttps://revistahermes.com.br/index.php/hermes1/article/view/673/579Copyright (c) 2023 Juliana Costa Ribeiro Prates, Neiva dos Santos Andrade, Alexandre Teixeira Norberto Batista, Juliano Lima Pinheirohttps://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessCosta Ribeiro Prates, Julianados Santos Andrade, NeivaBatista, Alexandre Teixeira NorbertoPinheiro, Juliano Lima2024-02-07T00:14:44Zoai:ojs.revistahermes.com.br:article/673Revistahttp://www.fipen.edu.br/hermes1/index.php/hermes1PUBhttp://www.fipen.edu.br/hermes1/index.php/hermes1/oai||hermes@fipen.edu.br2175-05562175-0556opendoar:2024-02-07T00:14:44Revista Científica Hermes - Instituto Paulista de Ensino (FIPEN)false
dc.title.none.fl_str_mv The impact of Selic fluctuations on the displacement of investments in ICVM 555 funds in the period from 2016 to 2020
IMPACTO DE LAS FLUCTUACIONES DE SELIC EN EL DESPLAZAMIENTO DE LAS INVERSIONES EN LOS FONDOS DE INVERSIÓN ICVM 555 EN EL PERIODO 2016-2020
O impacto das oscilações da Selic no deslocamento de investimentos em fundos ICVM 555 no período de 2016 a 2020
title The impact of Selic fluctuations on the displacement of investments in ICVM 555 funds in the period from 2016 to 2020
spellingShingle The impact of Selic fluctuations on the displacement of investments in ICVM 555 funds in the period from 2016 to 2020
Costa Ribeiro Prates, Juliana
fundos de investimento
instrução nº 555 CVM
captação líquida
Brasil
causalidade de Granger
investment funds
instruction 555 CVM
net capitalization
Brazil
Granger causality
title_short The impact of Selic fluctuations on the displacement of investments in ICVM 555 funds in the period from 2016 to 2020
title_full The impact of Selic fluctuations on the displacement of investments in ICVM 555 funds in the period from 2016 to 2020
title_fullStr The impact of Selic fluctuations on the displacement of investments in ICVM 555 funds in the period from 2016 to 2020
title_full_unstemmed The impact of Selic fluctuations on the displacement of investments in ICVM 555 funds in the period from 2016 to 2020
title_sort The impact of Selic fluctuations on the displacement of investments in ICVM 555 funds in the period from 2016 to 2020
author Costa Ribeiro Prates, Juliana
author_facet Costa Ribeiro Prates, Juliana
dos Santos Andrade, Neiva
Batista, Alexandre Teixeira Norberto
Pinheiro, Juliano Lima
author_role author
author2 dos Santos Andrade, Neiva
Batista, Alexandre Teixeira Norberto
Pinheiro, Juliano Lima
author2_role author
author
author
dc.contributor.author.fl_str_mv Costa Ribeiro Prates, Juliana
dos Santos Andrade, Neiva
Batista, Alexandre Teixeira Norberto
Pinheiro, Juliano Lima
dc.subject.por.fl_str_mv fundos de investimento
instrução nº 555 CVM
captação líquida
Brasil
causalidade de Granger
investment funds
instruction 555 CVM
net capitalization
Brazil
Granger causality
topic fundos de investimento
instrução nº 555 CVM
captação líquida
Brasil
causalidade de Granger
investment funds
instruction 555 CVM
net capitalization
Brazil
Granger causality
description One of the great challenges for investors is to identify how, when, and where to invest for a greater return on the money invested and with the lowest possible risk. Following this reasoning, the objective of this paper was to identify the investment funds governed by CVM (Securities and Exchange Commission of Brazil) Instruction No. 555 that were most sensitive to Selic Rate variations in the period from January 2016 to March 2020. The oscillations in the funds are analyzed by the series that capture the displacement of investments: net fundraising, investments, redemptions, and the number of shareholders. The classification established by the Brazilian Association of Financial and Capital Markets Entities was used as a reference, among fixed income, stock, multimarket, and exchange-traded funds. The methodology relied on documental analysis of secondary data, descriptive statistics, Spearman's non-parametric correlation analysis, and Granger's causality test. The results found reveal that total net fundraising in multimarket funds, number of multimarket fund shareholders, number of foreign exchange fund shareholders, total investments in fixed income funds, total investments in multimarket funds, and total redemptions in multimarket funds are the series that are directly preceded by oscillations in the Selic rate, in the period analyzed, indicating that this could help forecast their future movements.
publishDate 2023
dc.date.none.fl_str_mv 2023-10-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://revistahermes.com.br/index.php/hermes1/article/view/673
10.21710/rch.v34i1.673
url https://revistahermes.com.br/index.php/hermes1/article/view/673
identifier_str_mv 10.21710/rch.v34i1.673
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://revistahermes.com.br/index.php/hermes1/article/view/673/579
dc.rights.driver.fl_str_mv https://creativecommons.org/licenses/by/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Fernando de Almeida Santos
publisher.none.fl_str_mv Fernando de Almeida Santos
dc.source.none.fl_str_mv Revista Científica Hermes; v. 34 (2023): outubro 2023 a março 2024; 243-266
Revista Cientí­fica Hermes ; Vol. 34 (2023): outubro 2023 a março 2024; 243-266
Revista Científica Hermes ; Vol. 34 (2023): outubro 2023 a março 2024; 243-266
2175-0556
10.21710/rch.v34i1
reponame:Revista Científica Hermes
instname:Instituto Paulista de Ensino (FIPEN)
instacron:FIPEN
instname_str Instituto Paulista de Ensino (FIPEN)
instacron_str FIPEN
institution FIPEN
reponame_str Revista Científica Hermes
collection Revista Científica Hermes
repository.name.fl_str_mv Revista Científica Hermes - Instituto Paulista de Ensino (FIPEN)
repository.mail.fl_str_mv ||hermes@fipen.edu.br
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