Risk-dependent centrality in the Brazilian stock market. (19th January 2022)

• Record Type: Journal Article
• Authors: Alexandre, Michel; De Moraes, Kauê L; Rodrigues, Francisco A
• Editors: Estrada, Ernesto
• Is Part Of: Journal of complex networks. Volume 10:Number 1(2022)
• Publication Date: 2022-01-19
• Subjects: risk-dependent centrality -- stock market -- complex networks; Numerical analysis -- Periodicals; Computer networks -- Periodicals; Social networks -- Periodicals; 518.05
• DOI: 10.1093/comnet/cnab054
• Languages: English
• ISSNs: 2051-1310

Abstract

Abstract: The purpose of this article is to calculate the risk-dependent centrality (RDC) assessing the Brazilian stock market. We computed the RDC for assets traded on the Brazilian stock market between January 2008 and June 2020 at different levels of external risk. We observed that the ranking of assets based on the RDC depends on the external risk. Rankings' volatility is related to crisis events, capturing the recent Brazilian economic-political crisis. Moreover, we computed the RDC employing an empirically computed external risk level, relying on the Emerging Markets Bond Index index. We show that some economic sectors (oil, gas and biofuels and financial) become more central during crisis periods. Moreover, the volatility of the RDC is positively correlated with the external risk level.