Mercado de ações e Pandemia de Covid-19: o comportamento das ações SmallCap e MidLargeCap no período 2020-2021 - uma análise do VAR

Abstract

This study aims to analyze the impact of the crisis triggered by the COVID-19 pandemic on the SmallCap and MidlargeCap indices of the Brazilian stock market during the years 2020 and 2021. The global crisis generated by the pandemic had significant repercussions on stock markets worldwide, affecting companies of all sizes and sectors. During this challenging period, varied behavior was observed in the aforementioned indices, reflecting market uncertainties and volatilities. The overall objective is to understand both the direct and indirect impacts of the health, financial, and social crisis on the behaviors of the SmallCap and MidlargeCap indices throughout the 2020-2021 biennium. In addition to the immediate repercussions on the markets, trends and short-term dynamics will be investigated, considering the observed series of indices over the past two years. To achieve this goal, the study will analyze the behavior of the indices concerning the monthly number of COVID-19 cases, the SELIC rate, and the IPCA using the VAR model, which was executed considering robust standard errors due to heteroscedasticity.