Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 492, Issue -, Pages 1431-1438Publisher
ELSEVIER
DOI: 10.1016/j.physa.2017.11.070
Keywords
IBovespa; DFA; DCCA; Market efficiency; Correlation
Categories
Funding
- CNPq [310441/2015-3]
- CAPES [310441/2015-3]
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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.
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