Relação entre índice de volatilidade implícita e índice de retorno de ações

This study investigated the relationship between the Ibovespa returns and the implied volatility index in Brazil (IVol-BR). We analyzed whether the level of the IVol-BR is related to the present and future Ibovespa returns. OLS and quantile regressions were used to investigate possible differences in the relationships along the distribution of the IVol-BR. To test the robustness of the model, we applied an alternative proxy for volatility, estimated from a GARCH (1,1) model. An asymmetrical relationship was found in Brazilian investors’ response to different moments of market volatility, suggesting that negative Ibovespa returns have a stronger relationship with the IVol-BR than positive returns. The coefficients were higher at the extremes of the IVol-BR distribution. These results suggest that the Brazilian market reacts more strongly to bad news than to good news, in line with the ideas developed in the behavioral finance field.