INTERRELATIONSHIPS BETWEEN THE STOCK RETURNS OF BRAZILIAN COMPANIES THAT MAKE UP THE SÃO PAULO STOCK EXCHANGE INDEX

  • Edson Zambon Monte UFES
  • Felipe Fantin Almeida UFES

Resumo

The objective of this paper was to verify the interrelationships between the stock returns of 33 Brazilian companies that make up the São Paulo Stock Exchange Index (IBOVESPA), from January 2006 to June 2018, using the principal components analysis (PCA), applied on the residuals of the VAR-GARCH model. In general, the results of this study revealed the presence of interrelation between the stock returns which compose the IBOVESPA and that the interdependence and the correlation pattern vary over time, which can directly impact the investment decisions of economic and financial agents, especially with regard to the diversification of their asset portfolios.

Biografia do Autor

Edson Zambon Monte, UFES

Professor; Membro do Grupo de Pesquisa em Econometria (GPE); Universidade do Espírito Santo (UFES)

Felipe Fantin Almeida , UFES

Estudante de graduação em Economia; UFES

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Publicado
2020-07-02
Seção
Artigos