The relationship between oil prices and the Brazilian stock market

Paulo Ferreira, Eder Johnson de Area Pereira and Marcus Silva

Physica A: Statistical Mechanics and its Applications, 2020, vol. 545, issue C

Abstract: Crude oil remains a very important product not only because of its regular use, but also because it is a very important financial asset, influencing the economy as a whole. In this paper, we assess how WTI oil price shocks are related with the Brazilian economy as a whole, but also with each of the listed companies in Ibovespa, searching for the relationships with different economic activities. Based on the Detrended Cross-Correlation Analysis correlation coefficient, which allows us to analyse the impacts for different time scales, we conclude unsurprisingly that the most affected sectors are those most related with the use of oil. However, another important result is the significant correlation between oil price shocks and the returns of the financial sector, showing this particular sector’s exposure to oil, i.e., this is one of the sectors most correlated with oil returns. This is relevant not only for investors but also for authorities, because possible future oil shocks could have a high impact on the Brazilian financial sector

Keywords: Brazilian stock market; Correlation coefficient; Detrended cross-correlation analysis; Oil price (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:545:y:2020:i:c:s0378437119320874

DOI: 10.1016/j.physa.2019.123745

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