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Estudo e análise estatística no mercado de ações brasileiro
| Content Provider | Semantic Scholar |
|---|---|
| Author | Nervis, Jonis Jecks Crepaldi, Antonio Fernando |
| Copyright Year | 2012 |
| Abstract | The objective of this paper is to verify and analyze the existence in Brazil of stylized facts observed in financial time series: volatility clustering, probability distributions with fat tails, the presence of long run memory in absolute return time series, absence of linear return autocorrelation, gain/loss asymmetry, aggregative gaussianity, slow absolute return autocorrelation decay, trading volume/volatility correlation and leverage effect. We analyzed intraday prices for 10 stocks traded at the BM&FBovespa, responsible for 52.1% of the Ibovespa portfolio on Sept. 01, 2009. The data analysis confirms the stylized facts, whose behavior is consistent with what is observed in international markets. |
| Starting Page | 304 |
| Ending Page | 320 |
| Page Count | 17 |
| File Format | PDF HTM / HTML |
| DOI | 10.11132/rea.2012.615 |
| Volume Number | 11 |
| Alternate Webpage(s) | https://repositorio.unesp.br/bitstream/handle/11449/134955/ISSN1676-7608-2012-11-03-304-320.pdf?isAllowed=y&sequence=1 |
| Alternate Webpage(s) | https://doi.org/10.11132/rea.2012.615 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
