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Abstract This paper aims to analyze the impact of interest rate, exchange rate, and market on the returns and volatility of the stocks of banks listed on the Brazilian Stock Exchange. This analysis used two statistical models: the linear model estimated using Ordinary Least Squares and the ARCH/GARCH time series volatility models. The econometric studies considered the daily data of 15 financial institutions listed on the stock exchange during the period from January 2009 to December 2021. Regarding the market effect, the Ibovespa index for the period was considered; for the interest rate, the CDI (Certificate of Interbank Deposit) was used; and, about the exchange rate, the dollar rate was adopted as a reference. The results indicate that the distribution of stock returns is asymmetrical, with an elongated tail on the right. It was observed, based on the econometric model applied, that the daily returns of the shares are significantly influenced by the market, and the interest rate exerts the least impact on the returns. These findings are relevant to the scientific community exploring the topic and provide valuable insights for bankers, analysts, market investors, regulatory authorities, and society in the decision-making process. JEL classification numbers: C32, G00, G21. Keywords: Banking, Interest rates, Exchange rate, Bank stocks.
Souza et al. (Sun,) studied this question.