Impacto de variáveis macroeconômicas e setoriais nos preços das ações de companhias sucroenergéticas listadas na Bolsa B3

Abstract

In recent years, both in Brazil and in other countries, there has been a growing academic interest in understanding the correlations and implications between fluctuations in macroeconomic indicators, sectoral variables, and stock market volatility. This interest is particularly relevant in strategic and dynamic sectors of the economy, which are frequently affected by changes in the macroeconomic environment. In this context, the main objective of this thesis was to analyze the impact of macroeconomic and sectoral variables (international sugar prices, international oil prices, real GDP, the Selic interest rate, and the exchange rate) on the stock prices of Cosan and São Martinho, two of the largest sugar-energy companies listed on B3 (Brasil, Bolsa, Balcão). To achieve this objective, the following methodological procedures were employed: Augmented Dickey-Fuller (ADF) unit root test, Granger causality test, Johansen cointegration test, Vector Error Correction Model (VEC), and Variance Decomposition Analysis. The analysis covered the period from March 2012 to June 2024, comprising 148 monthly observations. The results of the VEC model reveal that, for both Cosan and São Martinho, international sugar and oil prices, real GDP, and the exchange rate show a positive and statistically significant correlation with stock prices, with a notable elasticity in relation to variations in international sugar prices and real GDP. Conversely, the Selic interest rate exerts a negative effect on both companies, highlighting the sensitivity of the sugar-energy sector to changes in monetary policy. The results obtained through the Granger causality test, the VEC model, and Variance Decomposition Analysis for both companies proved consistent with the literature. Based on these findings, it is concluded, in response to the research problem that guided this thesis, that the selected macroeconomic and sectoral variables exert a significant impact on the stock prices of representative companies in the sugar-energy sector, such as Cosan and São Martinho, especially in the long run. Research in this area provides valuable information for a wide range of economic agents, including rural producers, cooperatives, agribusinesses, financial institutions, brokerage firms, exporters, and investors in general. These agents seek to maximize profitability and therefore rely on detailed analyses of economic performance, whether in relation to interest rates, dividend distribution, or other factors that influence financial decision-making. Deepening the understanding of these dynamics contributes not only to more effective risk management but also supports the formulation of strategies and policies capable of responding more efficiently to an increasingly volatile and interconnected market. In this context, this thesis proves to be highly relevant by broadening the debate and enhancing the understanding of capital market variability in the face of shocks arising from macroeconomic and sectoral factors. Furthermore, it is concluded that the sugar-energy sector constitutes an attractive investment alternative, given its positive financial trajectory in recent years, driven mainly by the appreciation of sugar and ethanol prices, combined with the growing demand for renewable energy and the advancement of global decarbonization policies. Keywords: Sugar and Ethanol; Financial market; Macroeconomics; VEC model.