Avaliação da correlação da rentabilidade de empresas da bolsa de valores: um estudo baseado em séries temporais durante a pandemia de COVID-19

Abstract

The capital market offers us different types of investments and one of these options is the issuance and subscription of stocks. Investing in the stock market, buying and selling stocks, presents a risk and a return. There is a certain difficulty in predicting information about stock values, so some criteria are very important to be observed to compose an efficient investment portfolio. Some of them are: investor profile, stock returns, time series and correlation. For moderate investors it is interesting to compose a diversified portfolio, where investments show a weak correlation and thus prevent the fall of one stock from influencing the others. A factor that strongly impacted the Brazilian stock exchange was the COVID-19 pandemic, where in mid-January and April 2020, the main stock exchanges in the world suffered a fall. Due to these consequences, investors start to handle money in a different way. This work aims to analyze the performance of some companies listed on the brazilian's stock exchange market, they are: Vale do Rio Doce, Banco Itaú, Petrobrás, Ambev, Cielo, Magazine Luiza and Tesla. These companies were observed during the COVID-19 pandemic, more precisely between December 1, 2019 and July 30, 2021. For this, a notebook was developed in Google Collaboration, which provided us with the necessary information about the companies and finally, the correlation coefficient of profitability between them was calculated. For this case, it is evident that most companies' profitability is correlated at some level. The highest correlations were identified between the company Petrobrás and Itaú (ρ = 0.67) and the companies Petrobrás and Vale do Rio Doce (ρ = 0.66), with values close to the strong correlation. The weakest correlations were between the companies Vale do Rio Doce and Tesla (ρ = 0.04) and Ambev and Tesla (ρ = 0.00). Thus, in this case, the recommendation is that conservative investors should seek to invest in Tesla (TSLA), Magazine Luiza (MGLU3.SA) and another company from the others. This is because the fall or rise in the value of each company's profitability is independent, minimizing risk. It is noteworthy that this work is not an investment recommendation, as the performance observed during the chosen period may not be repeated and the companies were selected for convenience. Therefore, this conclusion work has a scientific purpose.