Risk-dependent centrality in the Brazilian stock market

Michel Alexandre, Kau\^e Lopes de Moraes and Francisco Aparecido Rodrigues

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Abstract: The purpose of this paper is to calculate the risk-dependent centrality (RDC) of the Brazilian stock market. We computed the RDC for assets traded on the Brazilian stock market between January 2008 to June 2020 at different levels of external risk. We observed that the ranking of assets based on the RDC depends on the external risk. Rankings' volatility is related to crisis events, capturing the recent Brazilian economic-political crisis. Moreover, we have found a negative correlation between the average volatility of assets' ranking based on the RDC and the average daily returns on the stock market. It goes in hand with the hypothesis that the rankings' volatility is higher in periods of crisis.

Date: 2021-03
New Economics Papers: this item is included in nep-fmk and nep-rmg
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