isk-dependent centrality in the Brazilian stock marke

Autor(es)

Alexandre, Michel ^{[1, 2]} ; De Moraes, Kaue L. ^[3] ; Rodrigues, Francisco A. ^[4]

Afiliação do(s) autor(es)

^[1] Univ Sao Paulo, Cent Bank Brazil, SBS Q3 B3, BR-70074900 Brasilia, DF - Brazil

^[2] Univ Sao Paulo, Inst Math & Comp Sci, SBS Q3 B3, BR-70074900 Brasilia, DF - Brazil

^[3] Univ Sao Paulo, Dept Econ, Av Prof Luciano Gualberto 908, BR-05508010 Sao Paulo - Brazil

^[4] Univ Sao Paulo, Inst Math & Comp Sci, Av Trab Sao Carlense 400, BR-13566590 Sao Carlos - Brazil

• Tipo de documento: Artigo Científico
• Fonte: JOURNAL OF COMPLEX NETWORKS; v. 10, n. 1 DEC 20 2021.
• Citações Web of Science: 0

Resumo

The purpose of this article is to calculate the risk-dependent centrality (RDC) assessing the Brazilian stock market. We computed the RDC for assets traded on the Brazilian stock market between January 2008 and June 2020 at different levels of external risk. We observed that the ranking of assets based on the RDC depends on the external risk. Rankings' volatility is related to crisis events, capturing the recent Brazilian economic-political crisis. Moreover, we computed the RDC employing an empirically computed external risk level, relying on the Emerging Markets Bond Index index. We show that some economic sectors (oil, gas and biofuels and financial) become more central during crisis periods. Moreover, the volatility of the RDC is positively correlated with the external risk level. (AU)

• Processo FAPESP: 19/23293-0 - Predição e inferência em sistemas complexos
• Beneficiário: Francisco Aparecido Rodrigues
• Modalidade de apoio: Auxílio à Pesquisa - Regular