Risk-dependent centrality in the Brazilian stock market
Statistical Finance
2021-03-17 v1
Abstract
The purpose of this paper is to calculate the risk-dependent centrality (RDC) of the Brazilian stock market. We computed the RDC for assets traded on the Brazilian stock market between January 2008 to 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 have found a negative correlation between the average volatility of assets' ranking based on the RDC and the average daily returns on the stock market. It goes in hand with the hypothesis that the rankings' volatility is higher in periods of crisis.
Keywords
Cite
@article{arxiv.2103.09059,
title = {Risk-dependent centrality in the Brazilian stock market},
author = {Michel Alexandre and Kauê Lopes de Moraes and Francisco Aparecido Rodrigues},
journal= {arXiv preprint arXiv:2103.09059},
year = {2021}
}
Comments
12 pages, 7 figures, 2 tables