O impacto da política monetária no mercdo de ações
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TCC
Date
2022-12-06
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Authors
Pinesso, Denis Augusto de Oliveira
Marson, Ian Resende
Pontes, Joao Pedro Rebouças
Arcas, Rafael de Carvalho
Marson, Ian Resende
Pontes, Joao Pedro Rebouças
Arcas, Rafael de Carvalho
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Juca, Michele Nascimento
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Abstract
A taxa de juros básica de economia é um dos principais instrumentos de política monetária dos países. No Brasil, para tentar conter o aumento da inflação, o governo eleva a taxa Selic para dois dígitos em 2 de fevereiro de 2022. Tal fato faz com que os custos de capital aumentem, impactando de forma distinta os ativos de renda fixa e variável. Assim, este estudo tem por objetivo verificar se o anúncio do aumento da Selic impacta negativamente o retorno das ações. Isso ocorre por meio de um estudo de evento, cuja amostra final é composta por 38 ações e cujos dados são obtidos a partir da base Capital IQ para o período de 28 de janeiro de 2021 a 4 de março de 2022. Como resultado, há a confirmação da hipótese principal do estudo que - em última instância - confirma empiricamente a teoria dos mercados eficientes, constatando a existência de eficiência informacional semiforte do mercado.
The economy's basic interest rate is one of the main monetary policy instruments for countries. In Brazil, to try to contain the increase in inflation, the government raises the Selic rate to two digits on February 2, 2022. This fact causes capital costs to increase, impacting in a different way fixed and variable income assets. Thus, this study aims to verify whether the announcement of the Selic increase negatively impacts the stock return. This occurs through an event study, whose final sample is composed of 38 shares and whose data are obtained from the Capital IQ base for the period from January 28, 2021 to March 4, 2022. As a result, there is the confirmation of the main hypothesis of the study that - ultimately - empirically confirms the theory of efficient markets, noting the existence of semi-strong informational efficiency of the market.
The economy's basic interest rate is one of the main monetary policy instruments for countries. In Brazil, to try to contain the increase in inflation, the government raises the Selic rate to two digits on February 2, 2022. This fact causes capital costs to increase, impacting in a different way fixed and variable income assets. Thus, this study aims to verify whether the announcement of the Selic increase negatively impacts the stock return. This occurs through an event study, whose final sample is composed of 38 shares and whose data are obtained from the Capital IQ base for the period from January 28, 2021 to March 4, 2022. As a result, there is the confirmation of the main hypothesis of the study that - ultimately - empirically confirms the theory of efficient markets, noting the existence of semi-strong informational efficiency of the market.
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Keywords
política monetária , taxa selic , mercado de ações , estudo de evento , Brasil , monetary policy , selic rate , stock market , event study , Brazil