Economic policy uncertainty and sentiment |
Marschner & Ceretta (2021Marschner, P. F., & Ceretta, P. S. (2021). Sentimento do investidor, incerteza econômica e política monetária no Brasil. Revista Contabilidade & Finanças , 32, 528-540.) |
01/2006 to 03/2020 |
Autoregressive distributed lag model (ARDL) |
It suggests differences in the influence of economic uncertainty (IIE-Br) and investor sentiment (CCI) in the short and long term. |
Franco (2022Franco, D. D. M. (2022). Expectations, economic uncertainty, and sentiment. Revista de Administração Contemporânea, 26, e210029.) |
02/2002 to 12/2019 |
Linear parametric and nonlinear nonparametric causality tests |
They report that the CCI acts as a transmission channel for uncertainty (EPU and IIE-Br) to the extent that it affects the formation of expectations. |
Economic policy uncertainty and stock market performance |
Phan et al. (2018Phan, D. H. B., Sharma, S. S., & Tran, V. T. (2018). Can economic policy uncertainty predict stock returns? Global evidence. Journal of International Financial Markets, Institutions and Money, 55, 134-150.) |
Brazil: 01/1991 to 06/2016 |
Autoregressive model (AR) |
They conclude that the EPU predicts excess stock returns in an asymmetric and country/sector specific manner. The study examined 16 countries, including Brazil. For the Brazilian market, no relationship was found between EPU and excess returns. |
Gea et al. (2021Gea, C., Vereda, L., Pinto, A. C. F., & Klotzle, M. C. (2021). The effects of economic policy uncertainty on stock market returns: Evidence from Brazil. Brazilian Review of Finance, 19(3), 53-84.) |
01/2000 to 05/2020 |
Generalized method of moments (GMM) |
The EPU can be a good predictor of future stock market performance. |
Investor sentiment, returns and/or stock market volatility |
Yoshinaga & Castro (2012Yoshinaga, C. E., & Castro , Jr. F. H. (2012). The relationship between market sentiment index and stock rates of return: A panel data analysis. Brazilian Administration Review, 9(2), 189-210.) |
1999 to 2008 |
Generalized method of moments (GMM) and principal components |
They find a significant and negative relationship between sentiment and future stock returns. |
Piccoli et al. (2018Piccoli, P., Costa , Jr. N. C., Silva, W. V., & Cruz, J. A. (2018). Investor sentiment and the risk-return tradeoff in the Brazilian market. Accounting & Finance, 58(1), 599-618.) |
01/2006 to 12/2017 |
Two-stage least squares (2SLS) |
Sentiment has an asymmetric, negative and significant relationship with volatility. These relationships are stronger in pessimistic periods and are sensitive to firm characteristics. In addition, the authors suggest that the Brazilian market has distinctive characteristics compared to developed markets, especially due to liquidity. |
Cainelli et al. (2020Cainelli, P. V., Pinto, A. C. F., & Klötzle, M. C. (2020). Study on the relationship between the IVol-BR and the future returns of the Brazilian stock market. Revista Contabilidade & Finanças, 32, 255-272.) |
08/2011 to 09/2018 |
Regression analysis and determination of two fixed sample sub-periods (peak period and trough period) |
They find that the IVol precedes the future returns of the Ibovespa in periods of high growth (high levels of future returns), but that in periods of low future returns, the IVol has a mixed effect and in many cases has no influence on the future returns of the Ibovespa. |
Ferreira et al. (2021Ferreira, T. S., Machado, M. A., & Silva, P. Z. (2021). O impacto assimétrico do sentimento do investidor na volatilidade do mercado acionário brasileiro. Revista de Administração Mackenzie, 22(4), eRAMF210208.) |
01/2006 to 12/2017 |
Two-stage least squares (2SLS) and principal components |
They find a negative and asymmetric relationship between volatility and market sentiment. These relationships are influenced by firm characteristics. |