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Possible causes of long-range dependence in the Brazilian stock market

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  • Cajueiro, Daniel O.
  • Tabak, Benjamin M.

Abstract

While the presence of long-range dependence in the asset returns seems to be a stylized fact, the issue of arguing the possible causes of this phenomena is totally obscure. Trying to shed light in this problem, we investigate the possible sources of the long-range dependence phenomena in the Brazilian Stock Market. For this purpose, we employ a sample which comprises stocks traded in the Brazilian financial market (BOVESPA Index). The Hurst exponent here is considered as our measure of long-range dependence and it is evaluated by six different methods. We have found evidence of statistically significant rank correlation between specific variables of the Brazilian firms which subscribe stocks and the long-range dependence phenomena present in these stocks.

Suggested Citation

  • Cajueiro, Daniel O. & Tabak, Benjamin M., 2005. "Possible causes of long-range dependence in the Brazilian stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 345(3), pages 635-645.
    • Handle: RePEc:eee:phsmap:v:345:y:2005:i:3:p:635-645
    DOI: 10.1016/j.physa.2004.07.017
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    Cited by:

    1. Bariviera, Aurelio F. & Basgall, María José & Hasperué, Waldo & Naiouf, Marcelo, 2017. "Some stylized facts of the Bitcoin market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 484(C), pages 82-90.
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    3. Tan, Pei P. & Galagedera, Don U.A. & Maharaj, Elizabeth A., 2012. "A wavelet based investigation of long memory in stock returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(7), pages 2330-2341.
    4. Bernardo Alves Furtado & Isaque Daniel Rocha Eberhardt, 2016. "A Simple Agent-Based Spatial Model of the Economy: Tools for Policy," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 19(4), pages 1-12.
    5. Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Nicholas Kilimani & Amandine Nakumuryango & Siobhan Redford, 2014. "Predicting BRICS stock returns using ARFIMA models," Applied Financial Economics, Taylor & Francis Journals, vol. 24(17), pages 1159-1166, September.
    6. Sensoy, A., 2013. "Effects of monetary policy on the long memory in interest rates: Evidence from an emerging market," Chaos, Solitons & Fractals, Elsevier, vol. 57(C), pages 85-88.
    7. Boainain, Pedro G. & Valls Pereira, Pedro L., 2009. "“Ombro-Cabeça-Ombro”: Testando a Lucratividade do Padrão Gráfico de Análise Técnica no Mercado de Ações Brasileiro [Head and Shoulder: testing the profitability of graphic pattern of technical anal," MPRA Paper 15653, University Library of Munich, Germany.
    8. González-Pla, Francisco & Lovreta, Lidija, 2019. "Persistence in firm’s asset and equity volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
    9. Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2010. "Contemporaneous aggregation and long-memory property of returns and volatility in the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4844-4854.
    10. Arouxet, M. Belén & Bariviera, Aurelio F. & Pastor, Verónica E. & Vampa, Victoria, 2022. "Covid-19 impact on cryptocurrencies: Evidence from a wavelet-based Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 596(C).
    11. Anju Bala & Kapil Gupta, 2020. "Examining The Long Memory In Stock Returns And Liquidity In India," Copernican Journal of Finance & Accounting, Uniwersytet Mikolaja Kopernika, vol. 9(3), pages 25-43.
    12. Bariviera, Aurelio Fernández, 2011. "The influence of liquidity on informational efficiency: The case of the Thai Stock Market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4426-4432.
    13. Aditi Singh & Madhumita Chakraborty, 2017. "Examining Efficiencies of Indian ADRs and their Underlying Stocks," Global Business Review, International Management Institute, vol. 18(1), pages 144-162, February.
    14. Lahmiri, Salim, 2015. "Long memory in international financial markets trends and short movements during 2008 financial crisis based on variational mode decomposition and detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 437(C), pages 130-138.
    15. Carpinteyro, Martha & Venegas-Martínez, Francisco & Martínez-García, Miguel Ángel, 2018. "Modeling Returns of Stock Indexes through Fractional Brownian Motion Combined with Jump Processes and Modulated by Markov Chains," MPRA Paper 90549, University Library of Munich, Germany.
    16. Lisana B. Martinez & M. Belén Guercio & Aurelio Fernandez Bariviera & Antonio Terceño, 2018. "The impact of the financial crisis on the long-range memory of European corporate bond and stock markets," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 45(1), pages 1-15, February.
    17. Sensoy, A., 2013. "Time-varying long range dependence in market returns of FEAS members," Chaos, Solitons & Fractals, Elsevier, vol. 53(C), pages 39-45.
    18. Cajueiro, Daniel O. & Tabak, Benjamin M., 2007. "Characterizing bid–ask prices in the Brazilian equity market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 373(C), pages 627-633.
    19. A. M. M. Shahiduzzaman Quoreshi & Reaz Uddin & Viroj Jienwatcharamongkhol, 2019. "Equity Market Contagion in Return Volatility during Euro Zone and Global Financial Crises: Evidence from FIMACH Model," JRFM, MDPI, vol. 12(2), pages 1-18, June.
    20. Bernardo Alves Furtado & Patrícia Alessandra Morita Sakowski & Marina Haddad Tóvolli, 2015. "A Complexity Approach for Public Policies," Discussion Papers 0205, Instituto de Pesquisa Econômica Aplicada - IPEA.
    21. Furtado, Bernardo Alves & Eberhardt, Isaque Daniel Rocha, 2015. "Modelo espacial simples da economia: uma proposta teórico-metodológica [A simple spatial economic model: a proposal]," MPRA Paper 67005, University Library of Munich, Germany.
    22. Bhandari, Avishek, 2020. "Long memory and fractality among global equity markets: A multivariate wavelet approach," MPRA Paper 99653, University Library of Munich, Germany.

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