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Revista de Administração Contemporânea
On-line version ISSN 1982-7849
VARTANIAN, Pedro Raffy. Effects of the Dow Jones index, commodities and exchange rate on Ibovespa: an analysis of contagion effects. Rev. adm. contemp. [online]. 2012, vol.16, n.4, pp.608-627. ISSN 1982-7849. http://dx.doi.org/10.1590/S1415-65552012000400007.
The purpose of this research is to evaluate the existence of contagion effects of the Dow Jones index, commodity prices and exchange rate on the trajectory of the Bovespa index in the period 1999-2010, and analyze the long-term relationships between the variables. The theoretical framework is based on contagion effect, which occurs in the spread of market disturbances from one country to another country as discussed by Dornbusch, Park and Claessens (2000), Pericoli and Sbracia (2003), and Forbes and Rigobon (2002), as well as in empirical studies such as Lamounier and Nogueira (2007), Tabak e Lima (2003), Groppo (2006) and Pimenta (2004), among others, complete with research of the impact on commodity prices in the stock market, as can be seen in Barr and Kantor (2002). For this purpose, a cointegration test from the procedure suggested by Johansen (1991) was applied, and a vector autoregression model (VAR), initially proposed by Sims (1980) and Sims (1986), with the causality/exogeneity Granger test, was utilized. The results of Johansen cointegration test did not indicate the existence of long-term relationships between the variables. As to short-term effects, the impulse response functions showed that the Brazilian stock market index reacts positively to shocks in commodity prices and the U.S. stock market, and it demonstrates a positive reaction to currency depreciation, which suggests presence of the contagion effect.
Keywords : financial market integration; stock market; VAR model; contagion effect.