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Type: Artigo
Title: Possible Causes of Long Range Dependence in the Brazilian Stock Market
Authors: Cajueiro, Daniel Oliveira
Tabak, Benjamin Miranda
Abstract: While the presence of long-range dependence in the asset returns seems to be a stylized fact, the issue of arguing the possible causes of this phenomena is totally obscure. Trying to shed light in this problem, we investigate the possible sources of the long-range dependence phenomena in the Brazilian Stock Market. For this purpose, we employ a sample which comprises stocks traded in the Brazilian financial market (BOVESPA Index). The Hurst exponent here is considered as our measure of long-range dependence and it is evaluated by six different methods. We have found evidence of statistically significant rank correlation between specific variables of the Brazilian firms which subscribe stocks and the long-range dependence phenomena present in these stocks.
Keywords: Emerging markets
Hurst exponent
Long-range dependence
Rank correlation
Publisher: Physica A
Citation: CAJUEIRO, Daniel O.; TABAK, Benjamin M. Possible causes of long-range dependence in the Brazilian stock market. Physica A, v. 345, 2005, pp. 635-645.
Access Type: Acesso Aberto
Document date: 11-Aug-2004
Appears in Collections:PPG - Revistas e Artigos Científicos

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