Long-term correlations and cross-correlations in IBovespa and constituent companies

We study auto-correlations and cross-correlations of IBovespa index and its constituent companies. We use Detrended Fluctuation Analysis (DFA) to quantify auto-correlations and Detrended Cross-Correlation Analysis (DCCA) to quantify cross-correlations in absolute returns of daily closing prices of I...

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Bibliographic Details
Published in:Physica A 2018-02, Vol.492, p.1431-1438
Main Authors: de Lima, Neílson F., Fernandes, Leonardo H.S., Jale, Jader S., de Mattos Neto, Paulo S.G., Stošić, Tatijana, Stošić, Borko, Ferreira, Tiago A.E.
Format: Article
Language:English
Subjects:
Correlation
DCCA
DFA
IBovespa
Market efficiency
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Summary:We study auto-correlations and cross-correlations of IBovespa index and its constituent companies. We use Detrended Fluctuation Analysis (DFA) to quantify auto-correlations and Detrended Cross-Correlation Analysis (DCCA) to quantify cross-correlations in absolute returns of daily closing prices of IBovespa and the individual companies. We find persistent long-term correlations and cross-correlations which are weaker than those found for USA market. Our results indicate that market indices of developing markets exhibit weaker coupling with its constituents than for mature developed markets. •Applications of DFA and DCCA analysis to the Brazilian stock market and its companies.•The results found a long term correlation between the IBovespa and the its companies.•The experimental results were divided by productive sectors of the Brazilian market.•A comparison between the USA and Brazilian Markets was done.
ISSN:0378-4371
1873-2119
DOI:10.1016/j.physa.2017.11.070