1. The Main Research Problem
Investigate the relationship between a set of macroeconomic variables and the risk of assets according to the Asset Price Theory (APT) in the Brazilian stock market.
2. The Importance of Research
This investigation will tell us how a stock relates with a given macroeconomic variable, in other words its sensitivity to those macroeconomics variables. That will help us understand how those assets react to certain macroeconomic data.
3. Methods and Data
The data is composed of a set of time series of stock returns from the Brazilian stock market, specifically the entire IBOVESPA index, plus some Macroeconomic Variables such as: GDP, Inflation, Iron Ore Prices, Oil Prices, Interest Rates.
Those data are gonna be extracted inside the Python environment directly from the database. We are gonna manipulate Python in order to create a code to make a multiple linear regression to observe the sensitivity of each stock to the macroeconomic datas.
The stocks in IBRX 100 , as well the IBOV index, were downloaded from the yahoo finance database in the .CSV format on 10/08/2017 and was updated on 10/24/2017.
There were a few drop downs as it follows:
BBDC3 - Bradesco SA ON, once the PN version has more liquidity.
ENGI11 - Due to lack of data.
KLBN11 - Due to lack of data.
LAME3 - Lojas Americanas same reason as BBDC3.
PETRO3 - same reason as above.
SMSL3 - Smiles, due to lack of data.
TAEE11 - Due to lack of data.
TIET11 - Due to lack of data.
WIZS3 - Name change