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

Daniel Cajueiro and Benjamin Tabak

Physica A: Statistical Mechanics and its Applications, 2005, vol. 345, issue 3, 635-645

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.

Keywords: Emerging markets; Hurst exponent; Long-range dependence; Rank correlation (search for similar items in EconPapers)
Date: 2005
References: View complete reference list from CitEc
Citations: View citations in EconPapers (27)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:345:y:2005:i:3:p:635-645

DOI: 10.1016/j.physa.2004.07.017

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