Objectives - (i) measure the connectivity between the spillovers of returns from the financial and non-financial sectors of the Brazilian stock market; (ii) estimate the spillovers of individual returns for each sector, in order to identify periods of higher and lower profits over a period of around 8 years; (iii) investigate the existence of relationships between these repercussions between pairs of sectoral indices, evaluating how much each specific sector transfers to each other and to the market as a whole. Methodology – We researched eight of the most relevant sectoral indices on the São Paulo Stock Exchange (B3) and estimate Diebold-Yilmaz spillover index and frequency decompositions of Barunik-Krehlik. Results – there is an overall connection of 66% in the financial and non-financial sectoral indices, with a peak of 83%. The consumer, energy and public services sectors stand out as significant sources of primary spillovers.
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