Long-term correlations and cross-correlations in IBovespa and constituent companies

Neílson F. de Lima, Leonardo H.S. Fernandes, Jader S. Jale, Paulo S.G. de Mattos Neto, Tatijana Stošić, Borko Stošić and Tiago A.E. Ferreira

Physica A: Statistical Mechanics and its Applications, 2018, vol. 492, issue C, 1431-1438

Abstract: We study auto-correlations and cross-correlations of IBovespa index and its constituent companies. We use Detrended Fluctuation Analysis (DFA) to quantify auto-correlations and Detrended Cross-Correlation Analysis (DCCA) to quantify cross-correlations in absolute returns of daily closing prices of IBovespa and the individual companies. We find persistent long-term correlations and cross-correlations which are weaker than those found for USA market. Our results indicate that market indices of developing markets exhibit weaker coupling with its constituents than for mature developed markets.

Keywords: IBovespa; DFA; DCCA; Market efficiency; Correlation (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:492:y:2018:i:c:p:1431-1438

DOI: 10.1016/j.physa.2017.11.070

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