Os retornos no mercado acionário brasileiro e a distribuição hiperbólica: um estudo empírico
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2002
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The research aimed at testing whether Brazilian stock market returns follow a hyperbolic distribution. The tests considered the daily returns of an aggregate stock market index - the Ibovespa Index - and of 30 individual stocks during the June-30-1994 to December-31-1999 period and during three subperiods into which this time span can be broken down. Results indicate that the hyperbolic distribution is a good representation for the returns of the Ibovespa Index, no matter which period is considered, and constitutes notable improvement upon the normal distribution. For the individual stocks, however, results are not inequivocal: the proportion of stocks for which the hyperbolic distribution is a good representation ranges from a minimum of 30 percent to a maximum of 75 percent, depending on the period of analysis. Even for the Ibovespa Index, however, the hyperbolic distribution does not seem to capture extreme returns.