Cross-correlation analysis on Brazilian gasoline retail market

A.S. Nascimento Filho, Eder Johnson de Area Pereira, Paulo Ferreira, T.B. Murari and M.A. Moret

Physica A: Statistical Mechanics and its Applications, 2018, vol. 508, issue C, 550-557

Abstract: In this paper we investigate the cross-correlations between Brazilian gasoline retail markets in fifteen capitals. The hypothesis that is not expected any strong cross-correlation or anti cross-correlation between these markets was tested by applying the multi-scale cross correlation analysis in the of Average Retail Margin of gasoline type C. Our empirical results support a significant cross-correlation value between three capitals of Southeast region for both short-term and long-term, regardless of time scale (weeks). Moreover, São Paulo–Belo Horizonte and São Paulo–Rio de Janeiro pairs presented strong correlation from time scale of thirty three weeks. And also São Paulo market seems exerts some regional influence in the Average Retail Margin behaviors. The main contribution is that cross-correlations results have importance in terms of taking decisions for investors as well as for Brazilian energy policies.

Keywords: Fuel; Average Retail Margin; Tacit collusion (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0378437118306952
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:508:y:2018:i:c:p:550-557

DOI: 10.1016/j.physa.2018.05.143

Access Statistics for this article

Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis

More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Catherine Liu ().