TY - JOUR ID - 115521 TI - Do Political News Affect Financial Market Returns? Evidences from Brazil JO - International Journal of Management, Accounting and Economics JA - IJMAE LA - en SN - AU - Marques, Thales Batiston AU - dos Santos, Nelson Seixas AD - Economia e Relações Internacionais, Universidade Federal do Rio Grande do Sul, Porto Alegre, Brazil Y1 - 2016 PY - 2016 VL - 3 IS - 10 SP - 545 EP - 571 KW - Political Events KW - Financial Markets KW - Information KW - GARCH DO - N2 - This paper investigates the relation between political news and market returns. To do so we applied a Garch filter to a sample of the main Brazilian stock market index returns (Ibovespa Index) and of short-term interest rates (Selic Over and DI) which ranged from 01/02/2014 to 04/29/2016. Then we looked for periods of abnormal volatility which might be associated with political events using a parametric and a nonparametric method. Notwithstanding there were news like important politician been arrested and even speculation about the beginning of an impeachment process, we found relation between abnormal volatilities and political news only in Ibovespa returns during Presidential Elections. UR - https://www.ijmae.com/article_115521.html L1 - https://www.ijmae.com/article_115521_c1b14f0c641392a2ac5fccdb4189567a.pdf ER -