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The Effect of 2021 Brazil’s “Proposal for Free Market Expansion of the Electricity Sector†on Short-Term Stock Prices and Volatility

Author

Listed:
  • Bruno Benevit
  • Daniel Uhr
  • João Vítor Paz Corrales
  • Júlia Gallego Ziero Uhr

    (Department of Economics, Universidade Federal de Pelotas, Brazil)

Abstract

We examine the effect of the “Proposal for Free Market Expansion of the Electricity Sector†disclosure on Brazil’s short-term stock market prices and volatility. We employ the Difference-in-Differences and the Doubly Robust Difference-in-Differences methodologies to analyze the proposal’s disclosure effect on daily returns and volatility of electricity sector companies listed on the Brazilian stock exchange. Results show a negative effect of the policy on stocks’ average daily returns and volatility.

Suggested Citation

  • Bruno Benevit & Daniel Uhr & João Vítor Paz Corrales & Júlia Gallego Ziero Uhr, 2023. "The Effect of 2021 Brazil’s “Proposal for Free Market Expansion of the Electricity Sector†on Short-Term Stock Prices and Volatility," Energy RESEARCH LETTERS, Asia-Pacific Applied Economics Association, vol. 4(2), pages 1-5.
    • Handle: RePEc:ayb:jrnerl:82
    DOI: 2023/06/13
    as

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    References listed on IDEAS

    as
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    3. Yu He & Chuanhao Wen & Jia He, 2020. "The influence of China Environmental Protection Tax Law on firm performance – evidence from stock markets," Applied Economics Letters, Taylor & Francis Journals, vol. 27(13), pages 1044-1047, June.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Asset pricing; Information and market efficiency; Government policy and regulation;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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