Exploring asymmetry in dependence between B3 indexes: A copula analysis
DOI:
https://doi.org/10.31501/rbee.v24i1.15137Abstract
The innovative research explored asymmetric dependence among Brazilian market indices, challenging the conventional copula approach that traditionally assumes symmetric dependencies among random variables. While many studies focus on this perspective, this work highlights that reality often exhibits asymmetric patterns, where one variable influence another in distinct ways. Using daily data from the Ibovespa and sectoral indices of B3, we applied the innovative method of asymmetric copula developed by Junker, Griessenberger, and Trutschnig (2021). The results revealed subtle asymmetry in the contemporaneous dependence between the Ibovespa and B3 sectoral indices, indicating that the strength of dependence of
the Ibovespa on economic sectors was slightly higher than the reverse dependence. These findings represent a significant contribution to a deeper understanding of dependency dynamics in Brazilian financial market data.
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