Análise do mercado acionário norte-americano e brasileiro no contexto das medidas de quantitative easing

Abstract

The aim of this study is to perform a descriptive analysis of how QE programs impacted real and non-real variables in the US economy, and to examine the effects of these policies on stock prices in the US and Brazil using the Event Study methodological model to determine excessive returns in the price of these assets, from 2008 to 2021. Therefore, the following indices were taken into account: the Dow Jones Industrial Average (DJIA), Bovespa Index (IBOVESPA), National Association of Securities Dealers Automated Quotations (NASDAQ) and Standard & Poor's 500 (S&P500) indices were considered. ), which comprehensively represent the behavior of the American and Brazilian stock markets. As main results, it was possible to observe results consistent with the literature regarding the average excess return calculated for the following indexes for the QE1, QE2 and QE3 programs: S&P500 0.74%, DJIA 0.63%, NASDAQ 0.60% , IBOVESPA 0.97%, corroborating the thesis that QE policies had a positive impact on stock prices in the North American and Brazilian markets. Furthermore, it was possible to observe that the valuation of assets, in the context of the QE1, QE2 and QE3 policies, affected Brazil more significantly. The results for returns considering the QE4 program were: S&P500 -0.65%, DJIA -0.69%, NASDAQ -0.55%, IBOVESPA -0.80%. However, it is important to qualify that these returns, as they were initially calculated, may have been negatively impacted by the COVID-19 crisis, which, exactly at that time, began to spread to several countries in an increasingly intense manner, including the USA and Brazil. If that's the case, then the assumptions needed to use the Event Study would be violated, so the effects of advertisements on returns could not be isolated. Considering, therefore, the months of April/2020, May/2020 and June/2020, when the variation in the daily average of new cases of COVID-19 remains relatively constant, it is possible to see positive results for excess average returns: S&P500 0.33%, DJIA 0.37%, NASDAQ 0.62%, IBOVESPA 0.54%.