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Pereira, J. R. Nonlinear correlations among variations of Sao Paulo Exchange Index (IBOVESPA) and stock price variations. 2010. 67 f. Dissertacao (Mestrado em Controladoria e Contabilidade) – Faculdade de Economia, Administracao e Contabilidade de Ribeirao Preto, Universidade de Sao Paulo, Sao Paulo, 2010. Correlations among stock price variations and stock market indices variations are important in understanding the relationship between return and risk involved in the allocation of resources (investments). According to the risk involved there exists an appropriate return. This issue is addressed by the CAPM – Capital Asset Pricing Model –, based on the premise that the systematic risk of an asset can be measured by its sensitivity to market movements and it is assumed that the returns are linearly related to the fluctuations of a market index with a known degree of sensitivity. However, nonlinear relationships may occur. Thus, the present study analyzes a global measure of correlation of information coming from theory, which measures any type of relationship between two variables, i.e. linear and nonlinear. The goal here is to show the presence of nonlinear correlations in the Brazilian capital market. The overall correlation obtained is expressive and greater than the linear correlation across the sample of 33 stock assets from the theoretical portfolio of Sao Paulo Exchange Index (IBOVESPA), from May 2001 to April 2008, totaling 84 months (7 years).

Estudo de correlações não lineares entre variações do Índice da Bolsa de Valores de São Paulo (IBOVESPA) e variações de preço de ações