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

Authors

  • Horst Dieter Möller Universidade Federal Rural de Pernambuco
  • Antônio André Cunha Callado Universidade Federal Rural de Pernambuco - UFRPE

Abstract

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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Author Biographies

Horst Dieter Möller, Universidade Federal Rural de Pernambuco

Doutor em Economia pela Universidade de Hamburgo. Professor adjunto da Universidade Federal Rural de Pernambuco.

 

 

Antônio André Cunha Callado, Universidade Federal Rural de Pernambuco - UFRPE

Doutorando em Administração pelo Nefi/Propad/UFPE. Professor adjunto da Universidade Federal Rural de Pernambuco.

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Published

2008-08-01

Issue

Vol. 8 No. 1 (2007)

Section

Presentation

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