FATOS ESTILIZADOS E CORRELAÇÃO NO SETOR BANCÁRIO BRASILEIRO

Abstract

This paper use different univariate models to perform the stilized facts in finance in four series from brazilian stock market between August/02/1994 to October/02/2000, three private and one public. The results show that most of series have non normal distribution, leverage effect, volatility clustering and high persistence in volatility. Is noted that the state bank has low medium return by comparison to others private banks. Using the constant conditional correlation model of Bollerslev(1990), the growth in correlation between the volatility from financial system, after the implementation of program of privatization of states banks is evident, in special between the state and private banks.