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Has recent financial crisis changed permanently the correlations between BRICS and developed stock markets?

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  • Zhang, Bing
  • Li, Xindan
  • Yu, Honghai

Abstract

The paper finds recent financial crisis has changed permanently the correlations between BRICS and developed U.S. and Europe stock markets. 70% of BRICS stock markets’ conditional correlation series demonstrate an upward long-run trend with the developed stock markets. Our results provide convincing evidence that the reducing diversification benefits are a long-run and world-wide phenomenon, especially after recent financial crisis.

Suggested Citation

  • Zhang, Bing & Li, Xindan & Yu, Honghai, 2013. "Has recent financial crisis changed permanently the correlations between BRICS and developed stock markets?," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 725-738.
    • Handle: RePEc:eee:ecofin:v:26:y:2013:i:c:p:725-738
    DOI: 10.1016/j.najef.2013.05.003
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    More about this item

    Keywords

    BRICS stock market; Developed stock market; Conditional correlation; Long-run trend;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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