Analise de convergência de performance ˆ das bolsas de valores: a situacão do ˜ Ibovespa no cenário mundial

Abstract

This paper applies the convergence technique proposed by Phillips and Soul (2007) to a panel containing most relevant worldwide stock exchanges indices. Corroborating Antzolautos et al. (2008), there is no evidence of a common trend. The S˜ao Paulo Stock Exchange Index (Ibovespa) is the oldest one of the group with the highest level of the trend for the dynamic transition, which is comprised by volatile indices of stock exchanges with a reasonable level of maturity, located in Central and Latin American economies with high rates of inflation. The second club comprises most of the indices, characterized by a higher level of maturity and tradition of financial markets and development, located basically in Europe, North America and Asia. The third club, with only four indices, has no clear patterns. The macroeconomic, geographical and financial patterns observed can be useful to infer about the post world financial crisis behavior of stock exchanges.