COMPARATIVE ANALYSIS OF THE VOLATILITY OF THE STOCK OF THE SUGAR AND ETHANOL COMPANIES WITH TO THE IBOVESPA

Abstract

This paper aims to compare the volatility of stock returns of in the sugar and ethanol companies and compare them to the IBOVESPA. The stocks that make up the study are the shares of Group Cosan, the Group São Martinho and Açúcar Guarani. This analysis is important to the managers of portfolios, which make decisions on how to allocate investments, know the history and current relationship between the volatilities of assets. The returns were calculated using the difference in the Napier’s logarithm the closing price on daily stock and index. The volatilities were calculated using the monthly standard deviation of daily returns. The results show that the returns of the shares of companies in the sugar and ethanol companies are more volatile that the returns of the IBOVESPA, on average, but there were periods where one of the companies presented lower volatility compared to the index.