Abstract
We report an empirical study of the Ibovespa index of the São Paulo Stock Exchange in which we detect the existence of long-range correlations. To analyze our data, we introduce a rescaled variant of the usual detrended fluctuation analysis that allows us to obtain the Hurst exponent through a one-parameter fitting. We also compute a time-dependent Hurst exponent H( t) using 3-year moving time windows. In particular, we find that before the launch of the Collor Plan in 1990 the curve H( t) remains, in general, well above 1 2 , while afterwards it stays close to 1 2 . We thus argue that the structural reforms set off by the Collor Plan has lead to a more efficient stock market in Brazil. We also suggest that the time dependence of the Ibovespa Hurst exponent could be described in terms of a multifractional Brownian motion.
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