Impacto da pandemia de covid-19 na volatilidade de indicadores financeiros: análise dos setores econômicos brasileiros

Abstract

With the emergence of COVID-19, humanity is witnessing a moment of uncertainties and doubts about an “invisible” enemy that provides impacts in various spheres of human activity. Because it directly affects public health, other areas are affected and cause social disorders that are difficult to measure and reverse. The economic sector was put to the test and presented varied behavior among some segments, some being more affected than others. Capital markets are fundamental to the economic development of a country, as they allocate available resources to the investments of a given organization. Volatility is a systemic characteristic of this market and can be defined as a statistical measure of the spread of a security's return, or even a market index. Talking about Volatility is talking about risk, a topic that was in evidence in the period of the Pandemic and COVID-19. Considering the importance of information for the development of the capital market, this work proposes to carry out an Event Study, widely used in the literature to address the impact of events on stock returns, in order to investigate the efficiency of the Brazilian market during the pandemic period of COVID-19, analyzing the impact of the pandemic on the volatility of the Return, Liquidity, Beta and Standard Deviation indices of shares listed on B3. Through data extracted from the Economática database, the Wilcoxon test was carried out in order to verify the significance of the variation in the indices of pre-pandemic samples (2018 and 2019) and during the pandemic period (2020 and 2021). The results showed that there was a significant variation in the economic indicators for most of the analyzed stocks, supporting the conclusion that the pandemic period was able to significantly affect the variation of the analyzed economic indicators.