INTERRELATIONSHIPS BETWEEN THE STOCK RETURNS OF BRAZILIAN COMPANIES THAT MAKE UP THE SÃO PAULO STOCK EXCHANGE INDEX

Edson Zambon Monte () and Felipe Fantin Almeida ()
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Edson Zambon Monte: Universidade Federal do Espírito Santo (UFES)
Felipe Fantin Almeida: Universidade Federal do Espírito Santo (UFES)

Revista de Economia Mackenzie (REM), 2020, vol. 17, issue 1, 115-145

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.

Keywords: Financial market; Brazil; dependent data; principal component analysis; financial econometrics. (search for similar items in EconPapers)
JEL-codes: C55 C58 G11 (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:aft:journl:v:17:2:2020:jan:jun:p:115-145

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