Os retornos dos títulos públicos afetam o mercado de ações diretamente em cenários com e sem crise? Evidências de um modelo Markov switching

Abstract

Economic and financial literature has shown a negative relationship between stock market performance and returns on Treasury bonds indexed to interest rates. However, the magnitude of this relationship can differ in crisis and non-crisis scenarios. This study aimed to identify periods of crisis in the Brazilian stock market and analyze how returns in the Treasury bond market affect stock market performance, both in crisis scenarios and in other periods. For this purpose, we employed a Markov switching model. The analysis period covers January 2002 to December 2024. Together with the identification of several crisis periods, the results of the estimated model suggest inverse relationships between bond market returns and stock market performance, with the magnitude of the relationship being greater in crisis scenarios. Beyond filling a gap in the literature on Brazil, this study provides a basis for formulating effective investment strategies for protecting capital in crisis scenarios, which migrate capital to government bonds, considering them safe haven assets.