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Interrelationships Between The Stock Returns Of Brazilian Companies That Make Up The Sãƒo Paulo Stock Exchange Index

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  • Edson Zambon Monte

    (Universidade Federal do Espírito Santo (UFES))

  • Felipe Fantin Almeida

    (Universidade Federal do Espírito Santo (UFES))

Abstract

The objective of this paper was to verify the interrelationships between the stock returns of 33 Brazilian companies that make up the São Paulo Stock Exchange Index (IBOVESPA), from January 2006 to June 2018, using the principal components analysis (PCA), applied on the residuals of the VAR-GARCH model. In general, the results of this study revealed the presence of interrelation between the stock returns which compose the IBOVESPA, and that the interdependence and the correlation pattern vary over time, which can directly impact the investment decisions of economic and financial agents, especially concerning the diversification of their asset portfolios.

Suggested Citation

  • Edson Zambon Monte & Felipe Fantin Almeida, 2020. "Interrelationships Between The Stock Returns Of Brazilian Companies That Make Up The Sãƒo Paulo Stock Exchange Index," Revista de Economia Mackenzie (REM), Mackenzie Presbyterian University, Social and Applied Sciences Center, vol. 17(1), pages 115-145, January-J.
    • Handle: RePEc:aft:journl:v:17:2:2020:jan:jun:p:115-145
    DOI: 105935/1808-2785/rem.v17n1p.115-145
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    More about this item

    Keywords

    Financial market; Brazil; dependent data; principal component analysis; financial econometrics.;
    All these keywords.

    JEL classification:

    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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