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Current financial globalization allows for a strong connection between markets and high speed capital flow. In the case of emerging countries, such as Brazil, this flow can be observed more clearly regionally, that is, between the country’s own sectors. However, at moments when the market is showing higher risks, this capital flow intensifies and a cause and effect of this transmission can be observed in the sectors. For risk managers, it is of the utmost importance to comprehend how markets relate to one another so as to develop efficient protection strategies. Faced with this scenario, this study aims to investigate whether there is risk transmission between Ibovespa’s sector indices using the causality in variance approach. The obtained results show there is transmission of volatility between sectors of the Brazilian economy. Causality between assets is, in general, bidirectional, which corroborates established theory. Additionally, in moments of crisis there is greater volatility between financial assets, increasing risk transmission between markets.

Transmissão de risco entre os índices setoriais do Ibovespa: uma aplicação do teste de causalidade em variância