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Analysis of stylized facts in the Brazilian stock market

Grant number: 10/06445-6
Support type:Scholarships in Brazil - Scientific Initiation
Effective date (Start): August 01, 2010
Effective date (End): July 31, 2011
Field of knowledge:Engineering - Production Engineering
Principal researcher:Antonio Fernando Crepaldi
Grantee:Thálita Rovina Martins
Home Institution: Faculdade de Engenharia (FE). Universidade Estadual Paulista (UNESP). Campus de Bauru. Bauru , SP, Brazil

Abstract

The empirical analysis of the financial market investigates the common statistical characteristics to the most of assets, instruments and in different time periods, nominating them stylized facts. The discovery of the stylized facts intensified the research for its understanding and of the mechanism that explains these behaviors in order to improve the modeling of risk of the financial market. The main objective of this project is to analyze the stylized facts of the series of asset returns and volatility of the Brazilian stock market, using a diary frequency time data of São Paulo Stock Exchange index, IBOVESPA. The proposed methodology consists in analyzing several behaviors of time series, of the asset returns and volatility, from graphical analysis and using measure methods like kurtosis and DFA (Detrended Fluctuation Analysis) exponent.

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