کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
9728082 1480217 2005 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Possible causes of long-range dependence in the Brazilian stock market
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
پیش نمایش صفحه اول مقاله
Possible causes of long-range dependence in the Brazilian stock market
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 345, Issues 3–4, 15 January 2005, Pages 635-645
نویسندگان
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