Empirical analysis of the emerging Brazilian stock market: scaling and volatility

A. A. Perez Jr. and J. M. P. Moser

No 174, Computing in Economics and Finance 2001 from Society for Computational Economics

Abstract: We consider the Bovespa economic index (Ibovespa) from January 1994 to the present. Starting directly from this high resolution data we study the statistical properties of the time evolution of the Ibovespa. In order to obtain price dynamics information we find the probability density function (pdf) of the Ibovespa price changes and by means of the so-called probability of return we find a useful power-law scaling behavior depending on the time interval. We also develop a statistical analysis about the rare occurence of large positive or negatives returns in the Brazilian market. In another words we study the temporal evolution of the volatility of the Ibovespa. The knowledge of these occurences could help to find the convenient hedging strategies, mainly it could help to find the frequency of riskless hedging

Keywords: Econophysics (search for similar items in EconPapers)
JEL-codes: C10 C22 C43 (search for similar items in EconPapers)
Date: 2001-04-01
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf1:174

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