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A relação dinâmica entre o sentimento do investidor, os mercados acionistas e o Produto Interno Bruto
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Advisor(s)
Abstract(s)
Dada a enorme complexidade dos mercados financeiros, associada à tão grande incerteza vivida pelos investidores estes têm tendência a tomar decisões que os afasta do que é previsto no quadro do paradigma da racionalidade, adotado pelas finanças tradicionais. Assim, as variáveis das finanças tradicionais já não são suficientes para explicar o comportamento dos mercados acionistas.
Perante esta realidade, e tendo como objetivo compreender a influência do sentimento do investidor nas áreas financeiras, o objetivo primordial da presente dissertação é o de analisar a relação dinâmica entre o sentimento do investidor (Índice de Confiança do Consumidor - proxy do Sentimento do Investidor), o Produto Interno Bruto (proxy do crescimento económico) e a rendibilidade nos mercados acionistas nos países da União Europeia onde a Economia foi mais afetada pela COVID-19, nomeadamente, entre janeiro de 2000 e agosto de 2021.
Através da metodologia do modelo Vector Autoregressive, concluiu-se que as variáveis eram estáveis e apresentavam-se adequadas para análise, apresentando uma relação de longo prazo entre o Índice de Confiança de Consumidor, o Produto Interno Bruto e o Índice de Mercado. Dada a existência de cointegração, o modelo adotado foi o Vector Error Corrolection. Os resultados empíricos indicaram que, em todos os países, existiam desvios de equilíbrio de longo prazo a serem corrigidos em cada mês, pelo que o Índice de Confiança do Consumidor e o Produto Interno Bruto têm influência no Índice de Mercado, existindo, deste modo, uma relação dinâmica entre as variáveis em análise. Ao analisar-se a causalidade de Granger concluiu-se que existe uma relação de causalidade entre o sentimento do investidor e o índice de mercado em todos os países. Identificou-se ainda que, à medida que aumenta o horizonte temporal, o Índice de Confiança do Consumidor consegue explicar mais da variância do termo do erro das rendibilidades do mercado.
ABSTRACT: Given the enormous complexity of financial markets, associated with the great uncertainty experienced by investors, these tend to make decisions that move away from what is predicted within the rationality paradigm scheme adopted by traditional finance. Thus, the variables of traditional finance are no longer sufficient to explain the behaviour of stock markets. Given this reality and with the objective of understanding the influence of investor sentiment in financial areas, the primary purpose of this dissertation is to analyze the dynamic relation between investor sentiment (Consumer Confidence Index - proxy to investor sentiment), Gross Domestic Product (proxy to economic growth) and returns on stock market in the European Union countries where the economy was most affected by COVID-19, namely between January 2000 and August 2021. Using the Vector Autoregressive model methodology, it was concluded that the variables were stable and suitable for analysis and showing a long-tern relationship between the Consumer Confidence Index, Gross Domestic Product and Market Index. Given the existence of co-integration, the Vector Error Correlation model was adopted. The empirical results indicated that, in all countries, there were long-tern equilibrium deviations to be corrected in each month, so that the Consumer Confidence Index and Gross Domestic Product have an influence on Market Index, thus existing a dynamic relationship between the variables under analysis. When analyzing the Granger causality, it was concluded that there is a causal relation between investor sentiment and the market index in all countries. It was also identified that as the time horizon increases, the Consumer Confidence Index is able to explain more of the variance of the error term of market returns.
ABSTRACT: Given the enormous complexity of financial markets, associated with the great uncertainty experienced by investors, these tend to make decisions that move away from what is predicted within the rationality paradigm scheme adopted by traditional finance. Thus, the variables of traditional finance are no longer sufficient to explain the behaviour of stock markets. Given this reality and with the objective of understanding the influence of investor sentiment in financial areas, the primary purpose of this dissertation is to analyze the dynamic relation between investor sentiment (Consumer Confidence Index - proxy to investor sentiment), Gross Domestic Product (proxy to economic growth) and returns on stock market in the European Union countries where the economy was most affected by COVID-19, namely between January 2000 and August 2021. Using the Vector Autoregressive model methodology, it was concluded that the variables were stable and suitable for analysis and showing a long-tern relationship between the Consumer Confidence Index, Gross Domestic Product and Market Index. Given the existence of co-integration, the Vector Error Correlation model was adopted. The empirical results indicated that, in all countries, there were long-tern equilibrium deviations to be corrected in each month, so that the Consumer Confidence Index and Gross Domestic Product have an influence on Market Index, thus existing a dynamic relationship between the variables under analysis. When analyzing the Granger causality, it was concluded that there is a causal relation between investor sentiment and the market index in all countries. It was also identified that as the time horizon increases, the Consumer Confidence Index is able to explain more of the variance of the error term of market returns.
Description
Dissertação de Mestrado, Ciências Económicas e Empresariais, 25 de janeiro de 2023, Universidade dos Açores.
Keywords
COVID-19 Finanças Mercado Financeiro Behavioural Finance Investor Sentiment Stock Market
Pedagogical Context
Citation
Guimarães, Ana Sofia Oliveira Gomes de Gusmão (2023). "A relação dinâmica entre o sentimento do investidor, os mercados acionistas e o Produto Interno Bruto", 84 p.. Mestrado em Ciências Económicas e Empresariais. Ponta Delgada: Universidade dos Açores. [Consult. Dia Mês Ano]. Disponível em www:<http://hdl.handle.net/10400.3/6681>