Long-range correlations and nonstationarity in the Brazilian stock market

Rogério L. Costa and G.L. Vasconcelos

Physica A: Statistical Mechanics and its Applications, 2003, vol. 329, issue 1, 231-248

Abstract: We report an empirical study of the Ibovespa index of the São Paulo Stock Exchange in which we detect the existence of long-range correlations. To analyze our data, we introduce a rescaled variant of the usual detrended fluctuation analysis that allows us to obtain the Hurst exponent through a one-parameter fitting. We also compute a time-dependent Hurst exponent H(t) using 3-year moving time windows. In particular, we find that before the launch of the Collor Plan in 1990 the curve H(t) remains, in general, well above 12, while afterwards it stays close to 12. We thus argue that the structural reforms set off by the Collor Plan has lead to a more efficient stock market in Brazil. We also suggest that the time dependence of the Ibovespa Hurst exponent could be described in terms of a multifractional Brownian motion.

Keywords: Long memory processes; Detrended fluctuation analysis; Hurst exponent; Econophysics; Multifractional Brownian motion (search for similar items in EconPapers)
Date: 2003
References: View complete reference list from CitEc
Citations: View citations in EconPapers (41)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:329:y:2003:i:1:p:231-248

DOI: 10.1016/S0378-4371(03)00607-1

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