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Long-term correlations and cross-correlations in IBovespa and constituent companies

Author

Listed:
  • de Lima, Neílson F.
  • Fernandes, Leonardo H.S.
  • Jale, Jader S.
  • de Mattos Neto, Paulo S.G.
  • Stošić, Tatijana
  • Stošić, Borko
  • Ferreira, Tiago A.E.

Abstract

We study auto-correlations and cross-correlations of IBovespa index and its constituent companies. We use Detrended Fluctuation Analysis (DFA) to quantify auto-correlations and Detrended Cross-Correlation Analysis (DCCA) to quantify cross-correlations in absolute returns of daily closing prices of IBovespa and the individual companies. We find persistent long-term correlations and cross-correlations which are weaker than those found for USA market. Our results indicate that market indices of developing markets exhibit weaker coupling with its constituents than for mature developed markets.

Suggested Citation

  • de Lima, Neílson F. & Fernandes, Leonardo H.S. & Jale, Jader S. & de Mattos Neto, Paulo S.G. & Stošić, Tatijana & Stošić, Borko & Ferreira, Tiago A.E., 2018. "Long-term correlations and cross-correlations in IBovespa and constituent companies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 492(C), pages 1431-1438.
    • Handle: RePEc:eee:phsmap:v:492:y:2018:i:c:p:1431-1438
    DOI: 10.1016/j.physa.2017.11.070
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    Cited by:

    1. Rocha Filho, Tareísio M. & Rocha, Paulo M.M., 2020. "Evidence of inefficiency of the Brazilian stock market: The IBOVESPA future contracts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 543(C).
    2. Tarcisio M. Rocha Filho & Paulo M. M. Rocha, 2019. "Inefficiency of the Brazilian Stock Market: the IBOVESPA Future Contracts," Papers 1904.09214, arXiv.org.
    3. Jale, Jader S. & Júnior, Sílvio F.A.X. & Stošić, Tatijana & Stošić, Borko & Ferreira, Tiago A.E., 2019. "Information flow between Ibovespa and constituent companies," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 233-239.

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