INTERRELATIONSHIPS BETWEEN THE STOCK RETURNS OF BRAZILIAN COMPANIES THAT MAKE UP THE SÃO PAULO STOCK EXCHANGE INDEX
The objective of this paper was to verify the interrelationships between the stock returns of 33 Brazilian companies that make up the São Paulo Stock Exchange Index (IBOVESPA), from January 2006 to June 2018, using the principal components analysis (PCA), applied on the residuals of the VAR-GARCH...
| Main Authors: | , |
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| Format: | Article |
| Language: | Portuguese |
| Published: |
Universidade Presbiteriana Mackenzie
2020-07-01
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| Series: | Revista de Economia Mackenzie |
| Subjects: | |
| Online Access: | http://editorarevistas.mackenzie.br/index.php/rem/article/view/13122 |