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A Map Of The Brazilian Stock Market

Author

Listed:
  • LEONIDAS SANDOVAL

    (Insper, Instituto de Ensino e pesquisa, Rua Quatá, 300, São Paulo, SP, 04546-2400, Brazil)

Abstract

The correlation matrix of stocks returns is used in order to create maps of the São Paulo Stock Exchange (BM&F-Bovespa), Brazil's main stock exchange. The data refer to the year 2010, and the correlations between stock returns lead to the construction of a minimum spanning tree and of asset graphs with a variety of threshold values. The results are analyzed using techniques of network theory. Also, using data from 2007 to 2010, a study is made on the dynamics of the network formed by stocks from that same stock exchange.

Suggested Citation

  • Leonidas Sandoval, 2012. "A Map Of The Brazilian Stock Market," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 15(05), pages 1-40.
    • Handle: RePEc:wsi:acsxxx:v:15:y:2012:i:05:n:s0219525912500427
    DOI: 10.1142/S0219525912500427
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    References listed on IDEAS

    as
    1. Yik Wen Goo & Tong Wei Lian & Wei Guang Ong & Wen Ting Choi & Siew-Ann Cheong, 2009. "Financial Atoms and Molecules," Papers 0903.2099, arXiv.org.
    2. Daniel J. Fenn & Mason A. Porter & Peter J. Mucha & Mark McDonald & Stacy Williams & Neil F. Johnson & Nick S. Jones, 2009. "Dynamical Clustering of Exchange Rates," Papers 0905.4912, arXiv.org, revised Apr 2010.
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    Citations

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    Cited by:

    1. Coletti, Paolo, 2016. "Comparing minimum spanning trees of the Italian stock market using returns and volumes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 246-261.
    2. Sandoval, Leonidas, 2014. "To lag or not to lag? How to compare indices of stock markets that operate on different times," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 403(C), pages 227-243.
    3. Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
    4. Pereira, Hernane Borges de Barros & Rosário, Raphael Silva do & Pereira, Eder Johnson de Area Leão & Moreira, Davidson Martins & Ferreira, Paulo & Miranda, José Garcia Vivas, 2022. "Network dynamic and stability on European Union," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 587(C).
    5. Majapa, Mohamed & Gossel, Sean Joss, 2016. "Topology of the South African stock market network across the 2008 financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 445(C), pages 35-47.

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    1. Leonidas Sandoval Junior, 2011. "A Map of the Brazilian Stock Market," Papers 1107.4146, arXiv.org, revised Mar 2013.
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