Inter-relações entre os índices financeiros setoriais da Bolsa de Valores de São Paulo e o índice Ibovespa

Abstract

This paper aims to verify the interrelationships between the stock market sector indexes of the São Paulo Stock Exchange and the IBOVESPA index. The autoregressive vector model and the Johansen cointegration test were used. Results showed there is no long-term relationship (cointegration) between the indexes. However, there is an interdependence between the indexes in the short term, revealing that the positive or negative effects can be disseminated among the indices analyzed, which can directly impact the investment decisions of economic and financial agents, especially regarding the diversification of their asset portfolios.