Structure and Dynamics of the Brazilian Stock Market: A Correlation Analysis

23 Pages Posted: 25 Aug 2014

See all articles by Shawn Leahy

Shawn Leahy

Boston University

Sary Levy Carciente

Boston University; Academia Nacional de Ciencias Economicas; Universidad Central de Venezuela

H. Eugene Stanley

Boston University - Center for Polymer Studies

Dror Y. Kenett

Financial Industry Regulatory Authority (FINRA); Johns Hopkins University

Date Written: August 23, 2014

Abstract

The impacts of the Subprime Financial crisis resulted in generally similar decline and volatility in both developed and emerging stock markets. However, in the aftermath of the crisis, the performance of emerging economies was stronger. To investigate this phenomena, this paper seeks to gauge the structure of one of the BRICS economies, the Brazilian stock market, for the period 2003 -- 2013, to determine possible determinants of this behavior.

Using a Pearson and partial correlation analysis we find that the IBOVESPA index has little affect on the magnitude of the correlations of its components. This finding differs from results obtained recently for developed markets. Finally, we introduce a novel method to investigate the cohesion and dynamics of financial markets that provide new insights into the structure and dynamics of the stock market and its relation to the real economy.

Keywords: Brazil, Partial correlation, Financial Markets, Emerging Markets

JEL Classification: G01, G15, D84

Suggested Citation

Leahy, Shawn and Levy Carciente, Sary and Stanley, H. Eugene and Kenett, Dror Y., Structure and Dynamics of the Brazilian Stock Market: A Correlation Analysis (August 23, 2014). Available at SSRN: https://ssrn.com/abstract=2484648 or http://dx.doi.org/10.2139/ssrn.2484648

Shawn Leahy

Boston University ( email )

595 Commonwealth Avenue
Boston, MA 02215
United States

Sary Levy Carciente

Boston University ( email )

595 Commonwealth Avenue
Boston, MA 02215
United States

Academia Nacional de Ciencias Economicas ( email )

Palacio de las Academias
Caracas, DC 1010
Venezuela

Universidad Central de Venezuela ( email )

University City
Los Chaguaramos
Caracas, 1050
Venezuela

HOME PAGE: http://www.sarylevy.com

H. Eugene Stanley

Boston University - Center for Polymer Studies ( email )

Boston, MA 02215
United States

Dror Y. Kenett (Contact Author)

Financial Industry Regulatory Authority (FINRA) ( email )

Washington, DC
United States

Johns Hopkins University ( email )

Baltimore, MD 20036-1984
United States

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