Quantifying cross-correlation between Ibovespa and Brazilian blue-chips: The DCCA approach

Marcus Fernandes da Silva, Eder Johnson de Area Pereira, Aloisio Machado da Silva Filho, Arleys Pereira Nunes de Castro, José Garcia Vivas Miranda and Gilney Figueira Zebende

Physica A: Statistical Mechanics and its Applications, 2015, vol. 424, issue C, 124-129

Abstract: The objective of this paper is to demonstrate the influence of the blue-chips companies in the stock market. In this, we apply the detrended cross-correlation coefficient ρDCCA at the São Paulo stock market (Ibovespa, Brazil). Initially we found that there is a positive cross-correlation between these companies and the index. Afterwards, we show that the cross-correlation coefficient value depends on the time scale and the specific company (blue-chips). Thus, this type of analysis lets to infer what is the most adherent company with Ibovespa. Also, in this paper we analyze, in the point of view of ρDCCA, the 2008 financial crisis (before/after). Altogether, the results show that there is more cross-correlation between Ibovespa index the blue-chips after the 2008 crisis.

Keywords: DCCA cross-correlation coefficient; Blue-chips; Time series (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (21)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:424:y:2015:i:c:p:124-129

DOI: 10.1016/j.physa.2015.01.002

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