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Quantifying cross-correlation between Ibovespa and Brazilian blue-chips: The DCCA approach

2015; Elsevier BV; Volume: 424; Linguagem: Inglês

10.1016/j.physa.2015.01.002

1873-2119

Marcus Fernandes da Silva, Éder Johnson de Area Leão Pereira, Aloísio Machado da Silva Filho, Arleys Pereira Nunes de Castro, José García Vivas Miranda, Gilney Figueira Zebende,

Market Dynamics and Volatility

The objective of this paper is to demonstrate the influence of the blue-chips companies in the stock market. In this, we apply the detrended cross-correlation coefficient ρDCCA at the São Paulo stock market (Ibovespa, Brazil). Initially we found that there is a positive cross-correlation between these companies and the index. Afterwards, we show that the cross-correlation coefficient value depends on the time scale and the specific company (blue-chips). Thus, this type of analysis lets to infer what is the most adherent company with Ibovespa. Also, in this paper we analyze, in the point of view of ρDCCA, the 2008 financial crisis (before/after). Altogether, the results show that there is more cross-correlation between Ibovespa index the blue-chips after the 2008 crisis.