FOREIGN CAPITAL FLOWS OF PORTFOLIO INVESTMENT IN STOCKS, INTERNATIONAL CRISES AND IBOVESPA

Detalhes bibliográficos
Autor(a) principal: Möller, Horst Dieter
Data de Publicação: 2008
Outros Autores: Cunha Callado, Antônio André
Tipo de documento: Artigo
Idioma: por
spa
eng
Título da fonte: RAM. Revista de Administração Mackenzie
Texto Completo: https://editorarevistas.mackenzie.br/index.php/RAM/article/view/118
Resumo: The article analyzes the relation between the Brazilian stock market, measured by the Ibovespa, and the foreign capital flows in the segment of portfolio investment in stocks after the Plano Real. External e internal exchange rate crises were the cause of high volatility in the foreign capital flows, which, under the hypothesis of this article, has influenced systematically the Ibovespa, especially because the capitalization of the Brazilian stock market is small. The hypothesis of an efficient stock market says that the prices of stocks, and with it the Ibovespa, follow a random walk, without systematic influences of other factors. The empirical analysis with econometric models showed that there was some systematic influence of the foreign capital flows in the segment of portfolio investment in stocks on the Ibovespa, a limitation to the efficient market hypothesis of the Brazilian stock market. But the systematic influence might by a temporary phenomenon for the analyzed period, reflecting the high volatility of foreign capital flows caused by external e internal crises.KEYWORDS Foreign capital flows; Brazilian stock market; International finance.
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spelling FOREIGN CAPITAL FLOWS OF PORTFOLIO INVESTMENT IN STOCKS, INTERNATIONAL CRISES AND IBOVESPAInvestimentos estrangeiros em carteiras de ações, crises internacionais e IBOVESPAThe article analyzes the relation between the Brazilian stock market, measured by the Ibovespa, and the foreign capital flows in the segment of portfolio investment in stocks after the Plano Real. External e internal exchange rate crises were the cause of high volatility in the foreign capital flows, which, under the hypothesis of this article, has influenced systematically the Ibovespa, especially because the capitalization of the Brazilian stock market is small. The hypothesis of an efficient stock market says that the prices of stocks, and with it the Ibovespa, follow a random walk, without systematic influences of other factors. The empirical analysis with econometric models showed that there was some systematic influence of the foreign capital flows in the segment of portfolio investment in stocks on the Ibovespa, a limitation to the efficient market hypothesis of the Brazilian stock market. But the systematic influence might by a temporary phenomenon for the analyzed period, reflecting the high volatility of foreign capital flows caused by external e internal crises.KEYWORDS Foreign capital flows; Brazilian stock market; International finance.Este trabalho analisou a relação entre o comportamento do mercado acionário brasileiro, representado pelo Ibovespa, e os fluxos de capitais estrangeiros direcionados para investimentos em carteira de ações, no período posterior à implantação do Plano Real. Ao longo desse período, foram observadas diversas crises financeiras no âmbito internacional que provocaram instabilidade e volatilidade nos fluxos de capitais estrangeiros. Este trabalho considera as influências sistemáticas dessas instabilidades sobre o Ibovespa, especialmente pela capitalização relativamente pequena do mercado brasileiro de ações. A hipótese de mercado eficiente supõe que os preços das ações, e com isso o Ibovespa, seguem um caminho aleatório e não devem estar sujeitos a influências sistemáticas de outros fatores. A hipótese geral do trabalho é que os fluxos de capitais estrangeiros direcionados para o mercado acionário brasileiro influenciam significativamente o Ibovespa. A hipótese especifica que crises internacionais e nacionais influenciam negativamente os fluxos de capitais estrangeiros nesse segmento e com isso o Ibovespa. A justificação para este trabalho é de que essas influências sistemáticas de crises sobre o Ibovespa são um fator sistemático que limita a hipótese de mercado acionário brasileiro eficiente. Foi realizada uma análise empírica com diferentes modelos mostrando que há evidências de influência sistemática dos fluxos de capital estrangeiro em carteira de ações sobre o Ibovespa. Esses achados limitam, de certa forma, a adequação da hipótese de mercado eficiente para o mercado brasileiro de ações. Essa influência sistemática dos fluxos de capital estrangeiro sobre o Ibovespa pode ser um fenômeno restrito no período analisado, refletindo a alta volatilidade dos fluxos de capitais estrangeiros por causa de crises externas e internas.PALAVRAS-CHAVE: Fluxos de capitais estrangeiros; Mercado acionário brasileiro; Finanças internacionais.Editora Mackenzie2008-08-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfapplication/pdfapplication/pdfhttps://editorarevistas.mackenzie.br/index.php/RAM/article/view/118Revista de Administração Mackenzie; Vol. 8 No. 1 (2007)Revista de Administração Mackenzie; Vol. 8 Núm. 1 (2007)Revista de Administração Mackenzie (Mackenzie Management Review); v. 8 n. 1 (2007)1678-69711518-6776reponame:RAM. Revista de Administração Mackenzieinstname:Universidade Presbiteriana Mackenzie (MACKENZIE)instacron:MACKENZIEporspaenghttps://editorarevistas.mackenzie.br/index.php/RAM/article/view/118/2598https://editorarevistas.mackenzie.br/index.php/RAM/article/view/118/2599https://editorarevistas.mackenzie.br/index.php/RAM/article/view/118/2603Copyright (c) 2015 Revista de Administração Mackenzieinfo:eu-repo/semantics/openAccessMöller, Horst DieterCunha Callado, Antônio André2011-01-17T15:38:01Zoai:ojs.editorarevistas.mackenzie.br:article/118Revistahttps://editorarevistas.mackenzie.br/index.php/RAM/PUBhttps://editorarevistas.mackenzie.br/index.php/RAM/oairevista.adm@mackenzie.br1678-69711518-6776opendoar:2024-04-19T17:00:27.828985RAM. Revista de Administração Mackenzie - Universidade Presbiteriana Mackenzie (MACKENZIE)false
dc.title.none.fl_str_mv FOREIGN CAPITAL FLOWS OF PORTFOLIO INVESTMENT IN STOCKS, INTERNATIONAL CRISES AND IBOVESPA
Investimentos estrangeiros em carteiras de ações, crises internacionais e IBOVESPA
title FOREIGN CAPITAL FLOWS OF PORTFOLIO INVESTMENT IN STOCKS, INTERNATIONAL CRISES AND IBOVESPA
spellingShingle FOREIGN CAPITAL FLOWS OF PORTFOLIO INVESTMENT IN STOCKS, INTERNATIONAL CRISES AND IBOVESPA
Möller, Horst Dieter
title_short FOREIGN CAPITAL FLOWS OF PORTFOLIO INVESTMENT IN STOCKS, INTERNATIONAL CRISES AND IBOVESPA
title_full FOREIGN CAPITAL FLOWS OF PORTFOLIO INVESTMENT IN STOCKS, INTERNATIONAL CRISES AND IBOVESPA
title_fullStr FOREIGN CAPITAL FLOWS OF PORTFOLIO INVESTMENT IN STOCKS, INTERNATIONAL CRISES AND IBOVESPA
title_full_unstemmed FOREIGN CAPITAL FLOWS OF PORTFOLIO INVESTMENT IN STOCKS, INTERNATIONAL CRISES AND IBOVESPA
title_sort FOREIGN CAPITAL FLOWS OF PORTFOLIO INVESTMENT IN STOCKS, INTERNATIONAL CRISES AND IBOVESPA
author Möller, Horst Dieter
author_facet Möller, Horst Dieter
Cunha Callado, Antônio André
author_role author
author2 Cunha Callado, Antônio André
author2_role author
dc.contributor.author.fl_str_mv Möller, Horst Dieter
Cunha Callado, Antônio André
description The article analyzes the relation between the Brazilian stock market, measured by the Ibovespa, and the foreign capital flows in the segment of portfolio investment in stocks after the Plano Real. External e internal exchange rate crises were the cause of high volatility in the foreign capital flows, which, under the hypothesis of this article, has influenced systematically the Ibovespa, especially because the capitalization of the Brazilian stock market is small. The hypothesis of an efficient stock market says that the prices of stocks, and with it the Ibovespa, follow a random walk, without systematic influences of other factors. The empirical analysis with econometric models showed that there was some systematic influence of the foreign capital flows in the segment of portfolio investment in stocks on the Ibovespa, a limitation to the efficient market hypothesis of the Brazilian stock market. But the systematic influence might by a temporary phenomenon for the analyzed period, reflecting the high volatility of foreign capital flows caused by external e internal crises.KEYWORDS Foreign capital flows; Brazilian stock market; International finance.
publishDate 2008
dc.date.none.fl_str_mv 2008-08-01
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://editorarevistas.mackenzie.br/index.php/RAM/article/view/118
url https://editorarevistas.mackenzie.br/index.php/RAM/article/view/118
dc.language.iso.fl_str_mv por
spa
eng
language por
spa
eng
dc.relation.none.fl_str_mv https://editorarevistas.mackenzie.br/index.php/RAM/article/view/118/2598
https://editorarevistas.mackenzie.br/index.php/RAM/article/view/118/2599
https://editorarevistas.mackenzie.br/index.php/RAM/article/view/118/2603
dc.rights.driver.fl_str_mv Copyright (c) 2015 Revista de Administração Mackenzie
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2015 Revista de Administração Mackenzie
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
application/pdf
dc.publisher.none.fl_str_mv Editora Mackenzie
publisher.none.fl_str_mv Editora Mackenzie
dc.source.none.fl_str_mv Revista de Administração Mackenzie; Vol. 8 No. 1 (2007)
Revista de Administração Mackenzie; Vol. 8 Núm. 1 (2007)
Revista de Administração Mackenzie (Mackenzie Management Review); v. 8 n. 1 (2007)
1678-6971
1518-6776
reponame:RAM. Revista de Administração Mackenzie
instname:Universidade Presbiteriana Mackenzie (MACKENZIE)
instacron:MACKENZIE
instname_str Universidade Presbiteriana Mackenzie (MACKENZIE)
instacron_str MACKENZIE
institution MACKENZIE
reponame_str RAM. Revista de Administração Mackenzie
collection RAM. Revista de Administração Mackenzie
repository.name.fl_str_mv RAM. Revista de Administração Mackenzie - Universidade Presbiteriana Mackenzie (MACKENZIE)
repository.mail.fl_str_mv revista.adm@mackenzie.br
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