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Portuguese and Brazilian stock market integration: a non-linear and detrended approach

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Abstract

Besides the historical heritage that Portugal and Brazil share, the last two decades have also shown an increase in some economic indicators, such as the percentage of imports/exports and foreign direct investment. In order to take advantage of all the benefits, the countries should increase economic integration, stock market integration being one of the possibilities. In this context, this paper analyses stock market integration between these two countries, using non-linear methodologies: detrended fluctuation analysis, detrended cross-correlation analysis and detrended moving-average cross-correlation analysis. Using the main stock indexes, and splitting the sample in six different periods, the main conclusion is that integration between these two countries increased over time. However, since 2013, the integration pattern has decreased, with the economic crisis both countries suffered being the main factor.

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Notes

  1. Later applications show the possibility of including other polynomial trends (see, for example, Kantelhardt et al. 2001)

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Acknowledgments

Paulo Ferreira is pleased to acknowledge financial support from Fundação para a Ciência e a Tecnologia (grant UID/ECO/04007/2013) and FEDER/COMPETE (POCI-01-0145-FEDER-007659)

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Authors and Affiliations

  1. CEFAGE-UE, IIFA, Universidade de Évora, Largo dos Colegiais 2, 7000, Évora, Portugal

    Paulo Ferreira

  2. Escola Superior Agrária de Elvas, Instituto Politécnico de Portalegre, Portalegre, Portugal

    Paulo Ferreira

  3. Universidade Europeia, Lisbon, Portugal

    Paulo Ferreira

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  1. Paulo Ferreira
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Correspondence to Paulo Ferreira.

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Ferreira, P. Portuguese and Brazilian stock market integration: a non-linear and detrended approach. Port Econ J 16, 49–63 (2017). https://doi.org/10.1007/s10258-017-0127-z

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