Como o mercado de ações reage ao medo: uma análise para países da América Latina de 2020 a 2022.

Abstract

The present study aimed to empirically analyze the emerging vulnerability of the Brazilian stock market in the face of the COVID-19 pandemic. Using COVID-19 deaths as a case study, a time series model was employed to investigate the impact of these deaths on the volatility of the main stock market indices in Latin America. The central purpose of the research was to examine whether the emotions of fear and uncertainty triggered by COVID-19-related deaths had an adverse effect on the performance of the primary index of the stock markets in Brazil, Argentina, Chile, and Mexico. To achieve these objectives, statistical tools such as the run-test and the GARCH model were employed. The results of the run-test indicated randomness in the fluctuations of the indices in Chile and Mexico. However, it was found that COVID-19 mortality had a causal impact on the volatility of the main Brazilian and Argentine indices. These findings reinforce the understanding that psychological factors such as fear and uncertainty can influence investors' perception of risk.