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

被引：9

作者：

de Lima, Neilson F. ^{[1
]}

Fernandes, Leonardo H. S. ^{[3
]}

Jale, Jader S. ^{[3
]}

de Mattos Neto, Paulo S. G. ^{[2
]}

Stosic, Tatijana ^{[3
]}

Stosic, Borko ^{[3
]}

Ferreira, Tiago A. E. ^{[3
]}

机构：

[1] Fed Inst Sci Educ & Technol, Rio Grande Do Norte, Brazil

[2] Univ Fed Pernambuco, Ctr Informat, Recife, PE, Brazil

[3] Univ Fed Rural Pernambuco, Dept Stat & Informat, Recife, PE, Brazil

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2018年 / 492卷

关键词：

IBovespa; DFA; DCCA; Market efficiency; Correlation; DETRENDED FLUCTUATION ANALYSIS; MULTIFRACTAL PROPERTIES; TEMPERATURE RECORDS; PRICE FLUCTUATIONS; STOCK MARKETS; VOLUME CHANGE; TIME-SERIES; DEPENDENCE; COMMODITIES; VOLATILITY;

D O I：

10.1016/j.physa.2017.11.070

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：1431 / 1438

页数：8

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