A MAP OF THE BRAZILIAN STOCK MARKET

Leonidas Sandoval ()
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Leonidas Sandoval: Insper, Instituto de Ensino e pesquisa, Rua Quatá, 300, São Paulo, SP, 04546-2400, Brazil

Advances in Complex Systems (ACS), 2012, vol. 15, issue 05, 1-40

Abstract: The correlation matrix of stocks returns is used in order to create maps of the São Paulo Stock Exchange (BM&F-Bovespa), Brazil's main stock exchange. The data refer to the year 2010, and the correlations between stock returns lead to the construction of a minimum spanning tree and of asset graphs with a variety of threshold values. The results are analyzed using techniques of network theory. Also, using data from 2007 to 2010, a study is made on the dynamics of the network formed by stocks from that same stock exchange.

Keywords: Networks; minimum spanning tree; asset graph (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (5)

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DOI: 10.1142/S0219525912500427

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