BRIC and the U.S. Financial Crisis: An Empirical Investigation of Stocks and Bonds Markets

Título: BRIC and the U.S. Financial Crisis: An Empirical Investigation of Stocks and Bonds Markets

Autores: Marcelo Bianconi, Joe A. Yoshino and Mariana O. Machado de Sousa

Sinopse: We examine empirical evidence of the behavior of stocks and bonds from BRIC nations by using daily data from January 2003 to July 2010. We present unconditional and conditional empirical results depending upon a simple measure of U.S. financial stress. In the long term, BRIC bond markets deviate much more from the U.S. financial stress measure than the BRIC bonds and stocks that deviate among themselves. Stock and bond return correlations for Brazil and Russia are significantly large and negative. The own correlations are more important in determining the evolution of the conditional correlations relative to unexpected news. Dynamic conditional correlations between stock returns, bond returns and U.S. financial stress increase after the Lehman Brothers’ event in September 2008, except for the bond returns in India.

Data da publicação: January 2013

Periódico/Editora: Emerging Markets Review, ELSEVIER

Edição: Volume 14 (2013) pp. 76-109

Palavras-chave: BRIC, Stock–bond returns, Conditional volatility, Dynamic conditional correlation, Financial crisis