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A Map Of The Brazilian Stock Market

Author

Listed:
  • LEONIDAS SANDOVAL

    (Insper, Instituto de Ensino e pesquisa, Rua Quatá, 300, São Paulo, SP, 04546-2400, Brazil)

Abstract

The correlation matrix of stocks returns is used in order to create maps of the São Paulo Stock Exchange (BM&F-Bovespa), Brazil's main stock exchange. The data refer to the year 2010, and the correlations between stock returns lead to the construction of a minimum spanning tree and of asset graphs with a variety of threshold values. The results are analyzed using techniques of network theory. Also, using data from 2007 to 2010, a study is made on the dynamics of the network formed by stocks from that same stock exchange.

Suggested Citation

  • Leonidas Sandoval, 2012. "A Map Of The Brazilian Stock Market," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 15(05), pages 1-40.
    • Handle: RePEc:wsi:acsxxx:v:15:y:2012:i:05:n:s0219525912500427
    DOI: 10.1142/S0219525912500427
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    References listed on IDEAS

    as
    1. Yik Wen Goo & Tong Wei Lian & Wei Guang Ong & Wen Ting Choi & Siew-Ann Cheong, 2009. "Financial Atoms and Molecules," Papers 0903.2099, arXiv.org.
    2. Daniel J. Fenn & Mason A. Porter & Peter J. Mucha & Mark McDonald & Stacy Williams & Neil F. Johnson & Nick S. Jones, 2009. "Dynamical Clustering of Exchange Rates," Papers 0905.4912, arXiv.org, revised Apr 2010.
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    Citations

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    Cited by:

    1. Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
    2. Coletti, Paolo, 2016. "Comparing minimum spanning trees of the Italian stock market using returns and volumes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 463(C), pages 246-261.
    3. Sandoval, Leonidas, 2014. "To lag or not to lag? How to compare indices of stock markets that operate on different times," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 403(C), pages 227-243.
    4. Pereira, Hernane Borges de Barros & Rosário, Raphael Silva do & Pereira, Eder Johnson de Area Leão & Moreira, Davidson Martins & Ferreira, Paulo & Miranda, José Garcia Vivas, 2022. "Network dynamic and stability on European Union," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 587(C).
    5. Majapa, Mohamed & Gossel, Sean Joss, 2016. "Topology of the South African stock market network across the 2008 financial crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 445(C), pages 35-47.

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    1. Leonidas Sandoval Junior, 2011. "A Map of the Brazilian Stock Market," Papers 1107.4146, arXiv.org, revised Mar 2013.
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