The Short Term Interest and Brazilian Stock Market Capitalization: A Linear Regression Model Under Keynesian Conjecture of Investment

XII Semead - FEA-USP Seminários em Administração, Forthcoming

16 Pages Posted: 21 Jul 2009 Last revised: 14 Dec 2009

See all articles by Antonio Nunes Pereira

Antonio Nunes Pereira

University of Sao Paulo - Faculdade de Direito; Universidade Municipal de São Caetano do Sul (USCS); Fucape Business School

Date Written: July 19, 2009

Abstract

The paper aims to evaluate the lineal association between interest rate of short term of the Sistema Especial de Liquidação e Custódia (Selic) and the Índice da Bolsa de Valores de São Paulo (Ibovespa) under Keynesian conjecture. It was proposed the null hypothesis that there was not lineal relation between rate Selic and Ibovespa. The alternative hypothesis suggested that there is the negative lineal relation among variables, of consistent form with the literature; the second alternative hypothesis that defended the relation be positive lineal among variables. The present study approach was empiric-analytic with application of the statistical technique of lineal regression. The software Microsoft Excel was used to the data treatment. The data source was constituted by the interest rate Selic obtained in the Institute portal of Applied Economic Research (IPEA) and Ibovespa average monthly was obtained in Bovespa’s Website. They were tabulated 60 (sixty) matched observations between janeiro/2003 and dezembro/2007. The data analysis allowed to obtain evidences that there was negative lineal relation between Selic and Ibovespa, being the same significant to 1% with a R2 of 0,68 in corroboration to the Keynesian conjecture.

Keywords: SELIC, IBOVESPA, Linear Regression

JEL Classification: G29

Suggested Citation

Pereira, Antonio Nunes, The Short Term Interest and Brazilian Stock Market Capitalization: A Linear Regression Model Under Keynesian Conjecture of Investment (July 19, 2009). XII Semead - FEA-USP Seminários em Administração, Forthcoming , Available at SSRN: https://ssrn.com/abstract=1436043 or http://dx.doi.org/10.2139/ssrn.1436043

Antonio Nunes Pereira (Contact Author)

University of Sao Paulo - Faculdade de Direito ( email )

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Brazil

Universidade Municipal de São Caetano do Sul (USCS) ( email )

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