IDEAS home Printed from
   My bibliography  Save this paper

Empirical analysis of the emerging Brazilian stock market: scaling and volatility


  • A. A. Perez Jr. and J. M. P. Moser


We consider the Bovespa economic index (Ibovespa) from January 1994 to the present. Starting directly from this high resolution data we study the statistical properties of the time evolution of the Ibovespa. In order to obtain price dynamics information we find the probability density function (pdf) of the Ibovespa price changes and by means of the so-called probability of return we find a useful power-law scaling behavior depending on the time interval. We also develop a statistical analysis about the rare occurence of large positive or negatives returns in the Brazilian market. In another words we study the temporal evolution of the volatility of the Ibovespa. The knowledge of these occurences could help to find the convenient hedging strategies, mainly it could help to find the frequency of riskless hedging

Suggested Citation

  • A. A. Perez Jr. and J. M. P. Moser, 2001. "Empirical analysis of the emerging Brazilian stock market: scaling and volatility," Computing in Economics and Finance 2001 174, Society for Computational Economics.
  • Handle: RePEc:sce:scecf1:174

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item



    JEL classification:

    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:sce:scecf1:174. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.