Interferência da macroeconomia no desempenho dos mercados de ações na América Latina e Ásia
DOI:
https://doi.org/10.18593/race.29417Palavras-chave:
Panel Data, Performance, Stock Market, Newey-West, Macroeconomic variablesResumo
A presente pesquisa teve por objetivo analisar o impacto das variações no desempenho do mercado de ações. Para atingir o objetivo foram considerados dados de 2000 a 2018, de nove países situados na América Latina e Ásia, sendo eles: Brasil, Chile, China, Índia, Japão, Malásia, México, Peru e Rússia. As variáveis independentes utilizadas no trabalho para encontrar os efeitos macroeconômicos sobre o mercado financeiro foram a Liberdade Econômica D(Ln(EF)), Taxa de Desemprego D(DES), Produto Interno Bruto D(%Δ PIB) e Taxa de Câmbio D(TC). Ainda foi utilizada como proxy para o desempenho e como variável dependente a Pontuação da Bolsa de Valores Local D(BOLSA). Posteriormente foi feita a regressão por dados em painel. Os resultados mostraram que todas as variáveis são significativas a 10%, sendo que D(Ln(EF)) e D(TC) apresentaram relação negativa com D(BOLSA), enquanto D(DES) e D(%Δ PIB) apresentaram relação positiva com D(BOLSA).
Downloads
Referências
Abugri, B. A. (2008). Empirical relationship between macroeconomic volatility and stock returns: Evidence from Latin American markets. International Review Of Financial Analysis, 17(2), 396-410. Elsevier BV. http://dx.doi.org/10.1016/j.irfa.2006.09.002. https://www.sciencedirect.com/science/article/pii/S1057521906000731
Acaravci, S. K., & Çalim, A. E. (2013). Turkish Banking Sector’s Profitability Factors. International Journal Of Economics And Financial Issues, 3(1), 27-41.
Al-Homaidi, E. A., Tabash, M., Farhan, N. H. S., & Almaqtari, F. A. (2018). Bank-specific and macro-economic determinants of profitability of Indian commercial banks: A panel data approach. Cogent Economics & Finance, 6(1), 1-26.
Andrade, M. M. (2010). Introdução à metodologia do trabalho científico: elaboração de trabalhos na graduação. (10ª ed.). São Paulo: Atlas.
Asgharian, H., Hou, A. J., & Javed, F. (2013, 22 Julho). The Importance of the Macroeconomic Variables in Forecasting Stock Return Variance: A GARCH-MIDAS Approach. Journal Of Forecasting, 32(7), 600-612. Wiley. http://dx.doi.org/10.1002/for.2256. https://onlinelibrary.wiley.com/doi/full/10.1002/for.2256
Assaf Neto, A. (2014). Finanças corporativas e valor. (7ª ed.). São Paulo: Atlas.
Assefa, T. A., Esqueda, O. A., & Mollick, A. V. (2017). Stock returns and interest rates around the World: A panel data approach. Journal of Economics and Business, 89, 20-35.
Banerjee, R., & Majumdar, S. (2018). Impact of firm specific and macroeconomic factors on financial performance of the UAE insurance sector. Global Business And Economics Review, 20(2), 248-261. http://dx.doi.org/10.1504/gber.2018.090091.
Bastos, D. D., Nakamura, W. T., & Basso, L. F. C. (2009, Dezembro). Determinantes da estrutura de capital das companhias abertas na américa latina: um estudo empírico considerando fatores macroeconômicos e institucionais. Ram. Revista de Administração Mackenzie, 10(6), 47-77. http://dx.doi.org/10.1590/s1678-69712009000600005.
Berger, A. N., Hasan, I., & Klapper, L. F. (2004, Abril). Further Evidence on the Link between Finance and Growth: An International Analysis of Community Banking and Economic Performance. Journal Of Financial Services Research, 25(2/3), 169-202. http://dx.doi.org/10.1023/b:fina.0000020659.33510.b7.
Blanchard, O. (2011). Macroeconomia. (5ª ed.). São Paulo: Pearson Prentice Hall.
Boyd, J. H., Hu, J., & Jagannathan, R. (2005, 2 Março). The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks. The Journal Of Finance, 60(2), 649-672. http://dx.doi.org/10.1111/j.1540-6261.2005.00742.x.
Bujancã, G.-V., & Ulman, S.-R. (2015). The Impact of the Economic Freedom on National Competitiveness in the Main Economic Power Centres in the World. Procedia Economics And Finance, 20, 94-103. http://dx.doi.org/10.1016/s2212-5671(15)00052-0.
Castro, F. H., & Santana, V. (2018, Dezembro). Informativeness of stock prices after IFRS adoption in Brazil. Journal Of Multinational Financial Management, 47-48, 46-59. http://dx.doi.org/10.1016/j.mulfin.2018.09.001.
Cebrián, F. J., López, A. M. E., & Cuenca, A. (2019, Março). Macroeconomic variables and stock markets: an international study. Euro-american Association Of Economic Development Studies, 19(1), 43-57. http://hdl.handle.net/10578/20151.
Chen, C. R., & Huang, Y. S. (2009, 23 Outubro). Economic freedom, equity performance and market volatility. International Journal Of Accounting & Information Management, 17(2), 189-197. http://dx.doi.org/10.1108/18347640911001221.
Ćorić, B., & Pugh, G. (2010, Agosto). The effects of exchange rate variability on international trade: a meta-regression analysis. Applied Economics, 42(20), 2631-2644. http://dx.doi.org/10.1080/00036840801964500.
Creswell, J. W. (2010). Projeto de pesquisa: métodos qualitativo, quantitativo e misto. (3ª ed.). Porto Alegre: Artmed.
Curak, M., Poposki, K., & Pepur, S. (2012). Profitability Determinants of the Macedonian Banking Sector in Changing Environment. Procedia – Social And Behavioral Sciences, 44, 406-416. http://dx.doi.org/10.1016/j.sbspro.2012.05.045.
Diamandis, P. F., & Drakos, A. A. (2011). Financial liberalization, exchange rates and stock prices: Exogenous shocks in four Latin America countries. Journal of Policy Modeling, 33(3), 381-394.
Ebaidalla, E. (2014). Impact of exchange rate volatility on macroeconomic performance in Sudan. Journal of Development and Economic Policies, 16(1), 73-105. https://www.researchgate.net/profile/Ebaidalla_Ebaidalla/publication/273574755_IMPACT_OF_EXCHANGE_RATE_VOLATILITY_ON_MACROECONOMIC_PERFORMANCE_IN_SUDAN/links/5505d49f0cf231de077784cb.pdf.
Elbakry, A. E., Nwachukwu, J. C., Abdou, H. A., & Elshandidy, T. (2017). Comparative evidence on the value relevance of IFRS-based accounting information in Germany and the UK. Journal Of International Accounting, Auditing And Taxation, 28, 10-30. http://dx.doi.org/10.1016/j.intaccaudtax.2016.12.002.
Elshandidy, T. (2014, Junho). Value relevance of accounting information: Evidence from an emerging market. Advances In Accounting, 30(1), 176-186. http://dx.doi.org/10.1016/j.adiac.2014.03.007.
Gil, A. C. (2008). Métodos e técnicas de pesquisa social. (6ª ed.). São Paulo: Atlas.
Gonzalo, J., & Taamouti, A. (2012). The reaction of stock market returns to anticipated unemployment. https://e-archivo.uc3m.es/handle/10016/16310.
Goyal, A. (2012). Exchange rate regimes and macroeconomic performance in South Asia. https://www.researchgate.net/profile/Ashima_Goyal2/publication/46476562_Exchange_Rate_Regimes_and_Macroeconomic_Performance_in_South_Asia/links/55f13f1a08ae0af8ee1d5048.pdf.
Gupta, R., & Modise, M. P. (2013, Janeiro). Macroeconomic Variables and South African Stock Return Predictability. Economic Modelling, 30, 612-622. http://dx.doi.org/10.1016/j.econmod.2012.10.015.
Gujarati, D. N., & Porter, D. C. (2011). Econometria básica-5. São Paulo. Amgh Editora.
Gwartney, J. (2009). Institutions, economic freedom, and cross-country differences in performance. Southern Economic Journal, 75(4), 937-956. Gale Academic Onefile. https://link.gale.com/apps/doc/A199684328/AONE?u=capes&sid=AONE&xid=2e93392b.
Hasan, B., Islam, N., & Wahid, A. N. M. (2019, 30 Janeiro). The effect of macroeconomic variables on the performance of non-life insurance companies in Bangladesh. Indian Economic Review, 1-15. http://dx.doi.org/10.1007/s41775-019-00037-6.
Holmes, M. J., & Maghrebi, N. (2016, Junho). Financial market impact on the real economy: An assessment of asymmetries and volatility linkages between the stock market and unemployment rate. The Journal Of Economic Asymmetries, 13, 1-7. http://dx.doi.org/10.1016/j.jeca.2015.10.003.
Hurd, M., Van Rooij, M., & Winter, J. (2011, 23 Março). Stock market expectations of Dutch households. Journal of Applied Econometrics, 26(3), 416-436. Wiley. http://dx.doi.org/10.1002/jae.1242.
Hussin, M. Y. M., Muhammad, F., Abu, M. F., & Awang, S. A. (2012). Macroeconomic variables and Malaysian Islamic stock market: a time series analysis. Journal of Business Studies Quarterly, 3(4), 1-13. https://jbsq.org/wp-content/uploads/2020/07/JBSQ-Ideal-Article.pdf.
International Accounting Standard Board. (2018). IAS 1 – Presentation of finacial statements. https://www.iasplus.com/en/standards/ias/ias1.
Jareño, F., & Negrut, L. (2016). US stock market and macroeconomic factors. Journal of Applied Business Research, 32(1), 325. https://previa.uclm.es/profesoradO/fjareno/DOCS/9541-36008-2-PB.pdf.
Lee, B., Rosenthal, L., Veld, C., & Veld-Merkoulova, Y. (2015, Julho). Stock market expectations and risk aversion of individual investors. International Review Of Financial Analysis, 40, 22-131. http://dx.doi.org/10.1016/j.irfa.2015.05.011.
Lee, X. H. (2018). Apollo Food Holdings Berhad: The Relationship between Performance and Internal, External Determinants. Ssrn Electronic Journal, 1-20. http://dx.doi.org/10.2139/ssrn.3182175.
Markevicius, A., & Giniunaite, L. (2016). The influence of macroeconomic factors on the stock markets in the Baltic countries and Western Europe-A comparison. Master’s Programme in Finance Lund University.
Mehran, H. (1995, Junho). Executive compensation structure, ownership, and firm performance. Journal Of Financial Economics, 38(2), 163-184. http://dx.doi.org/10.1016/0304-405x(94)00809-f.
Mollick, A. V., & Faria, J. R. (2008, 21 Janeiro). Capital and labor in the long-run: evidence from Tobin’s q for the US. Applied Economics Letters, 17(1), 11-14. http://dx.doi.org/10.1080/13504850701719819.
Murungi, D. U. (2014). Relationship between macroeconomic variables and financial performance of insurance companies in kenya. [Dissertação de Mestrado, Curso de Master’s Degree In Finance, University Of Nairobi, Nairobi].
Nurunnabi, M. (2018, Outubro). Perceived costs and benefits of IFRS adoption in Saudi Arabia: An exploratory study. Research In Accounting Regulation, 30(2), 166-175. http://dx.doi.org/10.1016/j.racreg.2018.09.001.
Ojo, A. T., & Alege, P. O. (2014). Exchange rate fluctuations and macroeconomic performance in sub-Saharan Africa: A dynamic panel cointegration analysis. Asian Economic and Financial Review, 4(11), 1573. https://www.researchgate.net/profile/Philip_Alege/publication/275407158_EXCHANGE_RATE_FLUCTUATIONS_AND_MACROECONOMIC_PERFORMANCE_IN_SUB-SAHARAN_AFRICA_A_DYNAMIC_PANEL_COINTEGRATION_ANALYSIS_Asian_Economic_and_Financial_Review/links/553b84520cf2c415bb094ee7.pdf.
Pandini, J., Stüpp, D. R., & Fabre, V. V. (2018, 8 Agosto). Análise do impacto das variáveis macroeconômicas no desempenho econômico-financeiro das empresas dos setores de Consumo Cíclico e Não Cíclico da BM&Fbovespa. Revista Catarinense da Ciência Contábil, 17(51), 7-22. http://dx.doi.org/10.16930/2237-7662/rccc.v17n51.2606.
Parkin, M. (2013). The effects of central bank independence and inflation targeting on macroeconomic performance: Evidence from natural experiments. EPRI Working Paper. https://www.econstor.eu/handle/10419/123488.
Peiró, A. (2016, Janeiro). Stock prices and macroeconomic factors: Some European evidence. International Review Of Economics & Finance, 41, 287-294. http://dx.doi.org/10.1016/j.iref.2015.08.004.
Petria, N., Capraru, B., & Ihnatov, I. (2015). Determinants of Banks’ Profitability: Evidence from EU 27 Banking Systems. Procedia Economics And Finance, 20, 518-524. http://dx.doi.org/10.1016/s2212-5671(15)00104-5.
Quadir, M. M. (2012). The effect of macroeconomic variables on stock returns on Dhaka stock exchange. International Journal of Economics and Financial Issues, 2(4), 480-487. https://dergipark.org.tr/en/pub/ijefi/issue/31955/351865.
Rao, D. T. (2016). The relationship of macroeconomic factors and financial performance of the five firms listed in the energy and petroleum sector of the NSE. [Tese de Doutorado, Curso de Administração, Strathmore University]. http://su-plus.strathmore.edu/handle/11071/4752.
Rashid, A., & Jabeen, S. (2016, Junho). Analyzing performance determinants: Conventional versus Islamic Banks in Pakistan. Borsa Istanbul Review, 16(2), 92-107. http://dx.doi.org/10.1016/j.bir.2016.03.002.
Richards, N. D., & Simpson, J. (2009, Fevereiro). The Interaction between Exchange Rates and Stock Prices: An Australian Context. International Journal Of Economics And Finance, 1(1), 3-23.
Ross, S. A., Westerfield, R., & Jordan, B. D. (2008). Fundamentals of corporate finance. Tata McGraw-Hill Education.
San, O. T., & Heng, T. B. (2013, 28 Fevereiro). Factors affecting the profitability of Malaysian commercial banks. African Journal Of Business Management, 7, 649-660.
Sari, L. N. I., & Kartika, T. P. D. (2017). Effect of profitability, leverage, and corporate social responsibility (csr) on investor reactions. E-Jurnal Spirit Pro Patria, 3(1), 1-22.
Setayesh, M. H., & Sheidaee, S. (2016). Investigation of the Effect of Economic Freedom on Stock Market Volatility. International Journal of Humanities and Cultural Studies (IJHCS), 1(1), 804-813. http://www.ijhcs.com/index.php/ijhcs/article/view/2458.
Shaheen, F. (2013). Fluctuations in exchange rate and its impact on macroeconomic performance of Pakistan. The Dialogue, 8(4), 410-418. https://pdfs.semanticscholar.org/5281/f93284edff6d26fb6fd0a5678367652eb93e.pdf.
Socea, A.-D. (2012, Outubro). Managerial Decision-Making and Financial Accounting Information. Procedia – Social And Behavioral Sciences, 58, 47-55. http://dx.doi.org/10.1016/j.sbspro.2012.09.977.
Sousa, A. M., Noriller, R. M., Huppes, C. M. Lopes, A. C. V., & Meurer, R. M. (2018, Março). Relation between the macroeconomic variables and the stock return in companies of the finance and insurance sector from Latin American stock market. Revista Globalización, Competitividad y Gobernabilidad, 12(3), 20-30. https://doi.org/10.3232/GCG.2018.V12.N3.01.
Sui, L., & Sun, L. (2016). Spillover effects between exchange rates and stock prices: Evidence from BRICS around the recent global financial crisis. Research in International Business and Finance, 36, 459-471.
Vasconcellos, M. A. S. (2015). Economia: micro e macro. (6ª ed.). São Paulo: Atlas.
Yasser, Q. R., Entebang, H. A., & Mansor, S. A. (2011). Corporate governance and firm performance in Pakistan: The case of Karachi Stock Exchange (KSE)-30. Journal of economics and international finance, 3(8), 482-491.
Yildirim, A., & Gökalp, M. F. (2016). Institutions and Economic Performance: A Review on the Developing Countries. Procedia Economics And Finance, 38, 347-359. http://dx.doi.org/10.1016/s2212-5671(16)30207-6.
Zeitun, R., & Tian, G. G. (2014). Capital Structure and Corporate Performance: Evidence from Jordan. Ssrn Electronic Journal, 1-36. http://dx.doi.org/10.2139/ssrn.2496174.
Zhu, B. (2012, Novembro). The Effects of Macroeconomic Factors on Stock Return of Energy Sector in Shanghai Stock Market. International Journal Of Scientific And Research Publications, 2(11), 1-4. https://repository.au.edu/handle/6623004553/20960.
Downloads
Publicado
Como Citar
Edição
Seção
Licença
Copyright (c) 2023 Edgar Maria Ferreira da Costa, Rafael Martins Noriller, Maria Aparecida Farias de Souza Nogueira, Josimar Pires da Silva
Este trabalho está licenciado sob uma licença Creative Commons Attribution-NonCommercial 4.0 International License.
Autores mantêm os direitos autorais e concedem ao periódico o direito de primeira publicação, com o trabalho simultaneamente licenciado sob a Licença Creative Commons - Atribuição-NãoComercial 4.0 Internacional, que permite o compartilhamento do trabalho com reconhecimento de autoria e publicação inicial neste periódico.
