O efeito contágio no mercado financeiro brasileiro: uma análise da crise gerada pela Covid-19

Abstract

Financial globalization has positive and negative aspects on economies and their financial markets. Among the associated problems is the greater interdependence between countries, which affects a greater probability of the occurrence of contagion of crises between them. In recent years, there has been a rapid spread of financial turmoil around the world, this phenomenon is known as the contagion effect, which is triggered by the fact that crises do not remain only within a country, and thus generate consequences in other financial markets. Based on this assumption, the present study aims to analyze the contagion effect of the crisis generated by Covid-19 in the Brazilian financial market, based on six financial indices: the Bovespa index (Brazil), DAX Index (Germany), SSE Index, and SZSE Index (China), Russell 3000 Index (United States), AEX Index (Netherlands), and the Merval Index (Argentina). Which include the Brazilian market and its main trading partners. The sample was considered for the entire period (2010-2023) but was also divided into intervals that represent the pre-crisis period (1/8/2010 to 12/31/2019), crisis (1/1/2020 to 4/22/2022), and post-crisis (4/25/2022 to 1/8/2023). The analysis started with descriptive statistics and later the application of the VAR model to verify the relationship between the variables, as well as the impulse-response function and variance decomposition. The results indicate that in the different samples used, there are influences from other markets on the Brazilian market, especially the American, German, Argentinean, and Dutch markets, in addition to itself in a lagged period. Based on the variance decomposition, it was possible to observe the intensification of the influence of other countries on the Brazilian financial market in times of crisis.